I'm working on a C++ forex simulator (hard, hard work).
Just wondering if anyone here knows the best algorithm for estimating missing data. eg. If a bar's OHLC values are 21,25,13,19 and theres an OCO order for a buy @ 25 and a sell @ 13 whats the best (most accurate) way of measuring which one is more likely to have been triggered first.
Should I consider the values of previous bar(s)? I can't look into the future, well technically looking at the close price is looking to the future. Should I just use the least value of high-open / open-low
My brain is really fried with this one..
Just wondering if anyone here knows the best algorithm for estimating missing data. eg. If a bar's OHLC values are 21,25,13,19 and theres an OCO order for a buy @ 25 and a sell @ 13 whats the best (most accurate) way of measuring which one is more likely to have been triggered first.
Should I consider the values of previous bar(s)? I can't look into the future, well technically looking at the close price is looking to the future. Should I just use the least value of high-open / open-low
My brain is really fried with this one..