Thanks to all of you for your replies. I think I will work with the requirement of trade-through at this time. I will think about improving the...
Sorry if I was not clear about my question. In general for backtesting strategies with limit orders one requires that the price moves through...
I am looking for some guidance from HFT traders and those who have knowledge of how the HFT systems and infrastructure work. For limit orders...
Separate names with a comma.