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      Mariner Backtesting - NASDAQ loc buy Logic

      NASDAQ LOC BUY dcd42fdf-190c-420a-9fed-08b32210d11e Check Logic

      The NASDAQ LOC BUY order order must be placed at least 5 minutes (factoring in transmission latency) before the close for it to be accepted.

      If submitted after the 5 minute mark it must offset a SELL imbalance.

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

      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 10 minutes before market close (factoring in transmission latency).