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Ian:
>If I write a system to buy and sell at specific prices on the next bar,
>will TradeStation (2000i) take into account the price progression
>according to the ticks when calculating the orders?
Yes.
>I seem to recall that TS does some jiggery-pokery and assumes that
>prices closest to the open will be transacted first and those closer to
>the close transacted second.
That's true only if the only data available is the O,H,L,C data.
>But if you actually have tick data, will the trades be executed in
>the correct order?
Yes. From page 127 of the TS2000i EL reference manual (emphasis
mine):
"When tick data is NOT available, TradeStation makes certain
assumptions about how each price bar was formed. These bar
assumptions apply only when the Trading Strategy uses stop and/or
limit orders; they do not apply when it includes only on close or at
market orders...."
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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