SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Thu Sep 19, 2019 8:15 am

All times are UTC + 3 hours




Post new topic Reply to topic  [ 2 posts ] 
Author Message
PostPosted: Thu Sep 25, 2014 8:57 pm 
Offline

Joined: Thu Sep 18, 2014 5:32 pm
Posts: 28
Hi

What is the current logic used to simulate fills of resting passive orders?

Is there a way for me to modify that logic?

I am asking for reference to Simulation mode.

I have a strategy which is quoting wider than the best bid and offer. These wide quotes are sometimes being incorrectly filled when i use only Quote data; i was assuming these orders would only fill when

myBid.price >= QuoteData.ask
or
myAsk.price <= QuoteData.bid


Top
 Profile  
 
PostPosted: Fri Sep 26, 2014 3:59 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
Hi,

in OQ2014 you can code and plugin your own execution simulator. Let me know if you want to use OQ2014 and need some guidence.

Regards,
Anton


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB® Forum Software © phpBB Group