Hi Matt,
I’m sure this issue has been raised before, I just couldn’t find an answer.
This is a first for me with one of my systems, and I was wondering if that’s the norm or an aberration. A limit order for a certain stock position was filled at the exact limit price on the 9:30 open, despite the fact the market had gapped higher above that price. A real market trade with any broker would have been filled at market on the open. I was factoring in a fill at the opening price and not my limit price, so I did not make any changes to the order, and was surprised to see what’s transpired.
As you would surely agree, in an opposite situation, where we would have a gap down below a stop price, the trade would be closed with a fill at the opening price and not the stop level, otherwise , it opens up a certain loophole which could be exploited that would not reflect real market behavior).
So I was wondering - Is that how it always works? If not , could you please take a look at my stock system and correct the issue.
Thank you very much!
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Hi, Ofer:
Yes, this was an error. C2 is indeed designed to recognize when the market opens gap-up or gap-down and should (in theory) fill your price at the opening price, not the limit, when appropriate. In this case, there was a data problem, and it didn’t work correctly. I have fixed the wrong execution price.
Matthew
