 Posted 4/27/2009 12:07:46
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| Hi, I run a live system (with realtime data from IB) and am using the RightEdge paperbroker with the "Use bid/offer to calculate fills if available " option enabled as my broker. Am running 1min bars, and sometimes the trade stays in the pending orders for quite some time (2-5bars) although there is a bid offer available and the order is a market order. Am using 1lot (position size) every time which is the minimum, hence the bid/offer size is not an issue. That way as far, as I understand, when I have a Sell Market Order it should fill me immediately by hitting the first bid (or by lifting the first offer if I have a Buy Market order). However, this is not the case, does the paperbroker wait for an actual trade to take place before filling me?? ie Volume to change?? I am also assuming that my fill is the bid or offer price (Sell/Buy) that way I have the bid/offer effect within my resulting pnl. Is that correct ?? Any advise would be much appreciated Regards George
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Posted 4/28/2009 00:32:33
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| The way the paper trader works, it will process buy orders on ask ticks (which the IB plugin sends when either the ask or ask price changes) and sell orders on bid ticks. It will process both buy and sell orders at the end of a bar, as long as the bar is not empty. So if there are not any trades or changes in the bid/ask, your order wouldn't get filled. The "use bid/ask" option actually only applies when processing bars. When processing ticks, it will use the price of a bid tick to fill sell orders and vice versa for ask ticks, and a trade tick price can be used to fill orders in both directions. Are you using RE2008 Edition 1 or Edition 2? Thanks,
Daniel
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Posted 4/28/2009 04:19:07
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