Support Board

Date/Time: Tue, 07 May 2024 05:10:41 +0000

Post From: Limit order Fills on Replay

[2017-03-03 06:29:45] Link To Thread - Link To Post [Go To First Post]
User794640 - Posts: 33
The only practical solution is for us to add an option to not use the actual bid and ask prices and to estimate them instead during the back test. Is this something that can be done without much if any new development? I remember seeing in the documentation, bids/offers are already being estimated in the bar based back test. This exact issue is why I've moved away from Ninjatrader because of these price improvements of limit order fills. I feel this is a very critical issue because people shouldn't be taking trading ideas live to the market thinking they have historical data to stand behind but the historical backtesting is flawed because of this bid/ask - price divergence. I appreciate your time. Edit: I just went through and did a bar based backtest. The results weren't similar to the replay backtest as I'm trading with range bars BUT the whole price improvement issue on the limit orders completely went away. Date Time Of Last Edit: 2017-03-03 06:40:21