Definition
The value any indicator held at the most recent matching fill. The level is frozen at entry instead of rolling forward, so a stop written against it is a real stop rather than a trailing one.
Parameters
Inner indicator, Asset, Order side, Order status
Example condition
`Minimum Price(SPY, 5 Minute) at last Filled Buy entry of SPY` — the swing low that was there when the position was opened, which stays put for the life of the trade.Usage notes
This reads order state, so a book using it cannot be evaluated on the fast columnar path. Reach for it when the level genuinely has to be anchored to a fill.
Use in a strategy
Add this indicator to a strategy condition, choose its supported parameters and compare the output with the threshold required by your rule. Preserve the same interval and lookback when comparing backtests.
After saving the condition, inspect its asset, interval, lookback and comparison operator against the parameters above. If no trades occur, check whether the condition ever became true and whether the requested input data exists for that period. A missing input is not a zero-valued signal. An indicator produces an input to a rule. It does not establish future returns, and data availability can differ across assets and periods.