How to actually confirm whether an order was filled during backtesting in case the buy order price is exactly at the top of the bid?
Example:
Lets say an asset pair has bid and ask at 0.8001/0.8002 for long time periods; how to know or assume when a buy order at 0.8001 is filled if the price oscillates between them for a prolonged time period?
If this question is due to obvious misunderstandings on my side, please do enlighten me.
Any help on this seemingly obvious beginner question is appreciated.
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