what's the match rules for tick backtest engine?
I want to backtest hft maker strategy tick by tick.
The current quote is:
Sell: 101 Volume: 80
Buy: 100 Volume: 30
I put buy order at price 100 with volume 10. Does the backtest engine consider the pending orders?
What time is it when my order matched? Sell trade reach 100 or cross 100 or between them?