Mariner Backtesting - NASDAQ LOC buy io Logic

Limit on Close Logic

NASDAQ LOC BUY IO (Imbalance Only)

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Check Logic

The NASDAQ LOC BUY IO order can be placed any time before the close (factoring in transmission latency) as long as there is a SELL imbalance for the symbol.

If there is no SELL imbalance, the order must be placed at least 5 minutes before the close as a NASDAQ LOC BUY.

(Up to 29th October 2018 the cutoff was 10 minutes before the close)

Live Trading

For live trading the price specified must be less aggressive than the reference price or it will be reset to the reference price.

If there is no reference price at the time of the order (ie no imbalance) the order will not be accepted.

From 2 minutes before the close until the close it will be re-priced based on the best bid/ask on the Nasdaq book prior to the execution of the closing print.

These restrictions are not simulated.

Fill Logic

The order is filled on NASDAQ at the closing print (aka 6 print) if the closing price locks or crosses the limit. If the order cannot be filled at the closing print, 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.

Cancel Logic

The order must be cancelled at least 5 minutes before market close (factoring in transmission latency).

(Up to 29th October 2018 the cutoff was 10 minutes before the close)