Mariner Backtesting - LETB arca loo buy Logic

The following conditions must be met for the order to be accepted by the exchange: 1. The order must be submitted to the exchange at least 5 seconds before the open if there is no imbalance. (Transmission latency must be factored in when placing the order) 2. If there is an imbalance, and the order has the right direction (e.g. buying for a sell-imbalance), the order may be submitted any time before the open.

Wait for the opening print (aka O print) on ARCA and then fill the order at the opening price if it locks or crosses the limit. 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 opening print for each symbol. If an opening print on ARCA is not seen within one second after the open, the order is cancelled. If the opening print doesn't lock or cross the limit, the order is cancelled.

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