Mariner Backtesting - NYSE LOC sell Logic

Limit on Close Logic

The order is accepted if submitted at least 5 minutes before the market close. If submitted less that 5 minutes before the close, there must be an imbalance on the correct side. If submitted less than 2 minutes before the close must be submitted as LOC IO. (Up to 29th October 2018 the offset was 10 minutes before the close).

The order is filled at the closing print (aka 6 print) on exchange 'N' or 'A' if the closing price locks or crosses the limit. If the order cannot be filled at the closing price, it is cancelled. The number of shares filled is the symbol's bid_size * lot_size. If the order is partially filled, the remainder will be cancelled at the end of the simulation since there is at most one closing print for each symbol. This fill takes liquidity.

The order must be cancelled at least 15 minutes before the market close (factoring in transmission latency)