Alexandre Catarino
aab5391d80
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Adds Unit Test For Limit Price Above/Below Open See `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.