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Date/Time: Wed, 08 May 2024 23:51:27 +0000

Post From: Limit order - wrong backtest execution

[2020-06-17 08:26:54] Link To Thread - Link To Post [Go To First Post]
User670970 - Posts: 4
On the following example Nasdaq futures : http://www.sierrachart.com/image.php?Image=158978714972.png I placed 3 sell limit orders 8387.5, 8387.75 and 8388.75. The last price goes through all the orders. Only 8387.5 is triggered. This is normal according to your Trade Simulation: How Orders are Filled the order is only triggered if the bid/ask touches the order. In real all orders would have been triggered or I really didn't understand the CME auction matching engine. If someone can explain to me how a sell limit order can stay in the order book with a last price that goes above several points? The bid and asks are incomplete, that's why the backtests are wrong. Would it be possible to execute the backtest on the last price and not the bid/ask?