Strategy Orders vs Real-World Orders

As you begin working with TradeStation, it's important to understand that an entry or exit 'order' in a strategy is not exactly the same thing as placing an order in the real-world using the Trade Bar. That's because strategy orders are also applied to historical data as well as to current market data. And when applying strategy orders to historical data, the TradeStation strategy-engine uses the available price data to see if the order could have been filled and marks the bar chart with arrows to indicate where that fill might have occurred.  

By comparison, a real-world order is submitted to the market and is filled only when an actual trade occurs. And as you may have experienced, sometimes the market may hit your price without your order being filled because there were many other orders already in the market at the same price.

It's especially important to understand this difference between strategy orders and real-world orders when it comes time to automate a strategy since it's very likely that the actual market fills will not exactly match those fills approximated by the strategy as it plays out in real-time.