Disliked{quote} Global equity closure is good, iff we determine the minimum number of market orders to use to calculate it. Given the high ratio of pending orders I see in most TS setups, it's good to increase the minimum market orders to get a good calculation of "basket" equity closureIgnored
However, a dilemma is presented here since we do not know in advance how many orders will actually hit the market.
Although we do have some idea of the likely orders hitting the market and I would say that 6-7 trades are typically opened on a TS Order 3.
If I introduce the Dynamic Feed Approach (DFA) which involves slotting in an appropriate new trade (either @ market or pending order) as soon as a trade completes then this adds a twist.
How might DFA alter things?
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