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Date/Time: Tue, 07 May 2024 17:53:59 +0000

Post From: Limit order Fills on Replay

[2017-03-02 15:59:46] Link To Thread - Link To Post [Go To First Post]
User794640 - Posts: 33
As a followup, I did the same test with the same bracket orders on a much thicker liquidity instrument (ES) and I'm getting the price improvement on limit take profit orders almost every day. I've tried to use different backtesting speeds on replay and that doesn't seem to matter. I've also tried using the tick for tick accurate system replay and it doesn't seem to make any difference either.