Trade Simulation
      Back to home
      1. Support Center
      2. Mariner Backtesting
      3. Trade Simulation

      Mariner Backtesting - NASDAQ loc sell Logic

      Limit on Close Logic

      NASDAQ LOC SELL

      e1302f13-3c4b-4d07-b43d-b7b32f29700a

      Check Logic

      The NASDAQ LOC SELL 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 BUY imbalance.

      (Up to October 29th 2018 this 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 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.

      Cancel Logic

      The order must be cancelled at least 10 minutes before market close (factoring in transmission latency).