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Date/Time: Thu, 09 May 2024 23:41:12 +0000

Post From: Accurate Trading System Backtesting shows inaccurate order fills

[2020-05-07 21:36:19] Link To Thread - Link To Post [Go To First Post]
Marion2025 - Posts: 13
Hello I am backtesting a trading strategy using the "Accurate Trading System Backtest Mode" on 1 min bars of historical data. Many of the simulated order fills are occurring way outside the price bars. I have attached a screenshot for reference. My data source is Interactive Brokers. I have set "Intraday Storage Time Unit" to 1 tick and "Number of stored time and sales records" to 10000 My suspicion is that the underlying data contains inaccurate bid/ask values that are not consistent with the OHLC bars. I have tried the Bar Based Backtest but still see inaccurate fills outside the OHLC range. I am unable to solve the problem


SC Fill Errors.PNG / V - Attached On 2020-05-07 21:35:53 UTC - Size: 30.49 KB - 255 views