It fills at worse prices. Which is why it's named 'penalty'. Otherwise we had called it 'bonus'.
This will simulate stop fills more realistically...but limits?
If you just want an order not to fill at Entry, you need no extra variable. Simply add something to Entry.
This would not work you optimize an Entry limit. A "safety margin" would guard against picking the exact highs/lows.
Can negative Penalty be made to work the way I originally suggested? (in Train)
