Cap PIQ when book crosses past resting price#847
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richleigh wants to merge 1 commit into
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Do we not already have this feature with https://betcode-org.github.io/flumine/advanced/#simulation_available_prices |
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Let me verify - it could be that early PRO data from 2015/2016 isn't quite the same as live recorded data |
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Simulated orders weren't filling when the book crossed past their resting price but no real trade landed at that exact level, which happened when liquidity at the price was cancelled or never present.