Mariner Backtesting - NYSE LOO buy Logic

Limit on Open Logic

The order is accepted if submitted any time before the market opens.

The order is filled at the opening print (aka O print) on exchange 'N' or 'A' if the opening 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 ask_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 can be cancelled at any time before the market opens.