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Someone offline pointed out that my statement about market orders only
getting filled on the open of the bar isn't true in the real world. He's
right of course. You can place a market order anytime. This was my reply
to clarify what I was talking about....
Yeah, you're right about discretionary trading. It was late when I typed
that. I was thinking from the point of view of a mechanical system
trader. It's important that your backtesting on historical data and real
trading on live data work the same way. Otherwise, you're sinking into
discretionary chaos that can't be backtested. That's why orders only get
placed at the close of the bar and a market order can be assumed to be
filled at the open of the next bar. If that's too long to wait, you need
to shorten the bar interval, all the way down to one tick if necessary.
--
Dennis
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