Support Board

Date/Time: Tue, 07 May 2024 07:07:55 +0000

Post From: Limit order Fills on Replay

[2017-03-02 22:31:28] Link To Thread - Link To Post [Go To First Post]
User794640 - Posts: 33
It would make backtesting results way more accurate to do what you mentioned. Add an option for a limit order to fill at the limit price exactly (If price trades through it of course). When the bid/ask get separated it makes back tests results extremely misleading compared to live results. For example, I just ran a backtest where I had a 20 tick take profit limit order show that I got a fill at 60 ticks of profit. No way I can rely on that info for live trading. I would love to be able to have a backtest that fills if price trades through the limit order BUT the fill price is always exactly the limit order and also if the stop price trades at all provide a fill at the stop price. I can adjust for slippage on my own or you could add a slippage estimate number if you wanted the user to be able to control estimate average slippage per trade. Date Time Of Last Edit: 2017-03-02 22:41:13