Paper Trading Sell Limit Orders
Author: Ray60
Creation Date: 4/13/2009 10:39 AM
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Ray60

#1
I am using Version 5.3.44.
In the Paper trading account I had a SELL Limit order placed. The price moved above the limit price (68.66) for three consecutive 1 minute candles (68.69, 68.70, 68.70) but the close of each candle (68.63, 68.62, 68.63) was below the limit. The SELL Limit was never filled in the paper account whereas it would in a real account. Does this mean in the paper accounts the price must close on a one minute basis to fill a SELL order. Am I missing something?
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Cone

#2
QUOTE:
Am I missing something?
See User Guide: Orders > Paper Trading > How Orders Are Filled

For live trading, if price moved through your limit price, almost for sure that order would always fill. However, there is one case to be aware of when using Limit orders. See: Orders > Portfolio Synch > Theoretical vs. Actual
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Ray60

#3
Note: After I wrote the comment above the Sell Limit @68.66 was filled @ 68.69 on a 1 minute candle with a High of 68.72 and a close of 68.64. It would appear that price must pass over some thresh hold above the Limit order for it to be filled. There may be a programming reason for this but it may not fit the real world.
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Ray60

#4
Cone,
I think I understand. I had the slippage set at 0.10% so an entered limit of 68.66 would have to have a price of 68.66*1.001 = 68.729 for a fill. Is this correct?
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Cone

#5
That's right. Generally, you should disable limit-order slippage for live or paper trading. As described, however, there exists the possibility that the order be filled theoretically, but not actually, which can cause an out-of-synch condition.