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Direct MessagesDate/Time: Tue, 07 May 2024 06:32:58 +0000
Post From: Limit order Fills on Replay
| [2017-03-06 23:33:06] |
| User794640 - Posts: 33 |
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The problem is the order price you are setting. You are using an order price below the current price.
I believe this is an incorrect response, the highlighted row was the closing transaction from the attached orders area. The entry order (one line above highlighted row) generated from my code was to get long via a market order at 36.90 and use the attached orders to put out a stop at 36.80 and a take profit limit order at 37.00. Instead of filling at 37.00 like it should have, it filled at 37.03 which is not possible in the live CL market.So the solution to this is on your side. Please clarify how this is on my side, I've simply triggered a market order and using a 10 tick bracket with the trade window attached orders screen "Could this logic be applied to the replay back test to ensure that price improvement on limit orders doesn't occur?"
Are you okay with your backtesting program filling limit orders blatantly different than how the exchange fills limit orders? A resting sell limit order at 37.00 should NEVER fill at 37.03. Also, this was just one example, I've seen sell limit orders on these simple backtests fill 20 ticks higher. This simply doesn't happen in the real world and it makes these backtests meaningless and quite frankly IMO dangerous for people to rely on these numbers and take their strategy to the live market.
No, we would not do this for replay back testing. Date Time Of Last Edit: 2017-03-06 23:49:58
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