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thank you to all who responded.
"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."
i was thinking it might have something to do with assumptions TS makes about
movement within a bar. i looked at the chart closer it appears that on this
particular bar the order is open (above limit order) and close below open
which should make the assumed order open - hi made first - low made last -
close. this should force TS to give me the specified limit price. but i'm
still getting filled on the low.
for example (this is a different bar):
the system is placing an order at 93 21/32
the next bar is:
O = 93 11/16 (.6875)
H = 93 7/8 (.875)
L = 93 5/8 (.625)
C = 93 13/16 (.8125)
Fill = 94 3/4 (.750)
note that the open is 1/32 above the order. the close is above the open
which means that TS will assume the low was made first and the hi last.
thus i would expect TS to give me the order at 21/32 but it fills me at
94.750. where did it get that number?? IMO the only way it could have
gotten it is if it rounded the the nearest 1/8. so i changed the min tick
size but that didn't seem to make difference (i didn't reboot TS but
shouldn't have to right?)
I tried TradeWynne's idea but my system must work differently than yours
cause TS was treating the price as you would expect (as 62.5 not 0.0625).
Again I think this has to do with the minimum tick settings but as typical
of (at least old) omega software, it doesn't work the way you'd expect it
to.
i'll let you know if and when i fix it and what i did.
> -----Original Message-----
> From: Bob Fulks [mailto:bfulks@xxxxxxxxxxxx]
> Sent: Friday, February 25, 2000 5:23 AM
> To: frwd@xxxxxxxx
> Cc: List, Omega; List, Code
> Subject: CL_Re: More EL Mystery...
>
>
> 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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