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EOD Market Order; what price is used?

Posted By hairy_mug 10 Years Ago
Posted Monday May 26 2008
I build a system and test against the "paper broker".

When it fills a market order, what price does it use? For EOD is market the H+L*.5 (average price)?

and does it base the fill on today's price OR the next day's price?

Clearly, when the system goes live, the entry orders I place (based on the scan) will be delayed by a day; the exit market orders will also be delayed...

Just trying to get ny head around it...


Posted Monday May 26 2008
If you submit a market order at the end of a bar (which is when you normally would do it), it will be filled at the open of the next bar, using the open price.  I think the only way for it *not* to be filled on the open currently is if you have TradeInsideBars enabled, or if you are trading a live system using tick data.


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