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Fixes Limit Price Above/Below Open Case (#7060)
frostbyte_neo 发布于
2023-03-10 17:23:45 +00:00 | 1546 次提交 在此版本后已推送到 master- Adds Unit Test For Limit Price Above/Below Open
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LimitOrderFillsAtOpenWithFavorableGap- Fixes Limit Price Above/Below Open
If we place a buy/sell limit order below/above the current market price in TWS it fills immediately, so we model this behavior by filling with the opening price of the first trade bar.
- Updates Regression Tests
The number of trades did not change as expected. The fills are better because orders are filling with the open price when the new condition is met.
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