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Using marketable limits in NT7


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  #1 (permalink)
bluelou
New York, NY, USA
 
Posts: 2 since Nov 2010
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I'm looking to use marketable limit orders in NT7. For instance, for a long entry I want to lift the ask (i.e., cross the spread).
--Backtest mode: I can get this to work in backtest mode fairly easily just by using Bid/Ask bars objects.

--Real-time w/Sim101: However, when working with real-time data on the Sim101 account I can't seem to get NT to lift the offer.
My limit order looks something like this: EnterLongLimit(GetCurrentAsk(), "MktLimitLong");
In the output window I can see my limit order sitting out there and I can see that ask = limit but there's no fill.

Does anyone know if this is a limitation of the Sim101 account, or NT doesn't support marketable limits, or a flaw in my reasoning?


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  #3 (permalink)
bluelou
New York, NY, USA
 
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I think I've resolved the "marketable limit" issue.

I was submitting a marketable limit correctly but my signal, which also uses bid/ask data, was using 1 tick bars in OnBarUpdate. By moving this part of the signal into OnMarketData my signal is now being updated "on quote" which obviously improves my queue position. Now, I'll have to wait and see how the results come in.


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