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PostPosted: Sun Jul 22, 2012 1:26 pm 
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Joined: Sat Feb 25, 2012 8:51 pm
Posts: 154
Hi,

Could I please check some order basics with OQ when using Tick / Quote data?

When using FX quote data (pulled down from IQFeed) to backtest I’m using Limit orders to get into positions. I want to check that I’m using LimitOrder in the right way.

If I want to put a Limit order above the market to go short I would do it in the following way:
Code:
LimitOrder(OrderSide.Sell, psize, RoundToTick(Instrument, (GetBars(timeframe).Ago(0).High + Instrument.TickSize)), "Short Entry");
And this order would not be executed until the Bid had risen until it was above "GetBars(timeframe).Ago(0).High + Instrument.TickSize", is that correct?

Thanks and regards,

drolles


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PostPosted: Mon Jul 23, 2012 9:57 am 
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Joined: Wed Oct 08, 2003 1:06 pm
Posts: 833
yes, this is correct if you have FillOnQuote=true and FillOnBar=FillOnTrade=false.

Regards,
Sergey.


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