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Extra-Delay Fill (slower than Fill =3) #479143
02/22/20 18:31
02/22/20 18:31
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
Serious User
AndrewAMD  Online OP
Serious User

Joined: Feb 2017
Posts: 1,718
Chicago
jcl,

Can there be a fill mode which is more conservative than Fill = 3?

For Fill=3: "With daily bars, this mode simulates order entry at the open price of the next day."

The extra-delay fill description: "With daily bars, this mode simulates order entry at the close price of the next day."

Re: Extra-Delay Fill (slower than Fill =3) [Re: AndrewAMD] #479148
02/24/20 11:04
02/24/20 11:04
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
You can simulate this by delaying your trade signal by 1 day. But out of curiosity, for what purpose do you need that?

Re: Extra-Delay Fill (slower than Fill =3) [Re: AndrewAMD] #479149
02/24/20 11:14
02/24/20 11:14
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
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AndrewAMD  Online OP
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Joined: Feb 2017
Posts: 1,718
Chicago
Pessimism.

Also, if I’m using daily data for different international futures markets, the opens occur at different times, so the best assumption is that the fill is extra late.


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