Search results

Thanks to all of you for your replies. I think I will work with the requirement of trade-through at this time. I will think about improving the execution later.

Sorry if I was not clear about my question. In general for backtesting strategies with limit orders one requires that the price moves through the order level before one can assume the order to be filled. For example, suppose the current ES trading level is 1410.50 (this is the close on a bar...

I am looking for some guidance from HFT traders and those who have knowledge of how the HFT systems and infrastructure work. For limit orders in backtesting non-HFT strategies I require that price trade through the limit order before assuming the order to be filled. For an HFT strategy...