Each bar indicates the average price of all fills since the order was placed until either the start of the next bar of the last transaction of the order, whichever is first. When the order is complete, this study terminates.
Get all the fills occurred while executing the order (their prices and quantities). Then,
AvgFillPrice = sum (price[i] * fill_qty[i]) / sum (fill_qty[i]).
Cannot be used with Market Profile.
Average Fill Price parameters
|
Parameter |
Description |
|
Display |
Opens sub-window to set parameters •Color = Line color. •Weight = Line thickness. •Display = Line style: line or histogram. •Text color = Color of order ID text. |
|
MarkIt |
Opens Specify Conditions window. |
|
GW Account ID |
Account identifier. |
|
Place Order GUID |
Order identifier. |