Mariner Backtesting - ARCA midpoint limit buy Logic

Accept the order if the limit is greater than 0

Fill the order at the midpoint of the bid/ask if the last price is less than the midpoint and the midpoint locks or crosses the limit.

midpoint = (ask + bid) / 2.0

The number of shares filled is the symbol's ask_size * lot_size or order shares, whichever is smaller. If the number of shares filled doesn't completely fill the order, the remainder of the order is put back into the queue for later fill attempts. This fill provides liquidity.

Example:

round((120.33 + 121.08) / 2.0, 4) == 120.7050

Example 1 (limit buy, filled order): We place an arca_midpoint_limit_buy on GOOG for 800.

Since 798.43 < 798.5000, the order gets filled at 798.5000

Example 2 (limit buy, unfilled order): We place an arca_midpoint_limit_buy on GOOG for 800.

Since 798.61 > 798.5000, the order will not be filled yet. The order will be postponed until later.

The order can be cancelled at any time