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      Mariner Backtesting - BATS midpoint limit buy Logic

      Check Logic

      Accept the order if the limit is greater than 0

      Fill Logic

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

      midpoint = (ask + bid) / 2.0

       

      See the ARCA Midpoint limit buy page for general examples on how midpoint orders are filled.

      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.

      Cancel Logic

      The order can be cancelled at any time