 Posted 1/30/2010 20:19:10
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Hi,
I noticed my market order is executed on the next day close for every market order which my system generated.
So for example, if the current close is 1 and the next day close is 2. If I generate long signal when the current close is 1, my long entry order will be executed on 2 (the next day close). Here's the code that I'm using:
position = OpenPosition(PositionType.Long, OrderType.Market, this.Close.Current, getPositionSize(stop_threshold));
I'm using RE2 Beta 14. Is this the right behaviour or somekind of bug?
P.S:If my entry order is executed on next day open, that still makes sense, but next day close is quite weird to me.
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Posted 1/30/2010 21:07:15
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Market orders submitted in the NewBar() method should be filled on the open of the next bar. If this isn't the case, can you provide more information about what is happening?
Thanks,
Daniel
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Posted 1/31/2010 03:07:51
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Hi,
Thanks for the quick response. I've re-checked my trade list, and apparently you are right. My market order does executed at opening the next day. Sorry for the trouble.
Thanks,
Felix
P.S: The reason why i thought it closed on the next day close price is because 'that next day' is a doji day.
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