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At 11:02 PM -0800 2/24/00, Brian Massey wrote:
>buyPrc = L + 0.0625
>Buy ("B1") At buyPrc Limit;
>
>Here's the problem: when this price finally does get hit,
>tradestation is filling me at the LOW price of the bar, not the price
>I'm specifying AND the open of the bar is not BELOW the limit order.
TradeStation fills the buy limit order at the limit price or any lower price that it sees first.
TradeStation 4.0 assumes an order of how prices move within a bar. If the Open is closer to the Low than is the Close, it assumes that the order is Open, Low, High, Close. It appears that this occurred in your case so TradeStation assumed the low was hit before your limit price so you got filled at the low.
Even if the bar is built from tick data, after the bar is built and on the screen, TradeStation 4.0 then has only the Open, High, Low, and Close of the bar so has to make assumptions about how the price moved within the bar for executing stop and limit orders.
You might have designed it to work differently but this is how it works and it is all clearly explained in the on-line help in "Understanding How TradeStation Simulates Market Activity with Historical Data". (I understand TradeStation 2000i works differently.)
Bob Fulks
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