Are buys/sells executed in the weighted order do all sell get executed followed by buys in weighted order until NSF? Can this be controlled in backtesting?
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When processing market orders, sells are executed first followed by buys.
QUOTE:Of course. For Market order strategies, see the Transaction class example for Weight.
Can this be controlled in backtesting?
You can assign your own Weight for a Limit/Stop strategy too, but real life rules would require that weight to be Time-Of-Day related. WL7 does this automatically for you using the Strategy Advanced Settings > Use Granular Limit/Stop Processing (see Help, intraday data required).
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