Support Board
Date/Time: Sun, 09 Nov 2025 01:03:03 +0000
Post From: Stop orders in replay
| [2025-10-24 14:56:49] |
| User98657 - Posts: 391 |
|
SC, I'm testing an auto trade study, running it in replay on Accurate Trading System Back Test Mode, and getting some strange results. The charts are Renko 10-Tick. The results are extremely consistent in various replay speeds, so I don't think this is a speed-related issue. Orders are placed, along with a Stop and Target. I will see variances in Entry Order Fills, that's expected of course. I may see variances in Target Order Fills vs Target Order Price, I've ignored those for now, assuming they are slippage. However, I'm seeing variances in the Stop Fill price as compared to the Stop Order price. Also, the Max Open Loss for the trade is correct, according to the "Order" price, but the fill price is still less. The static stop price in this scenario is -30 points. I'm seeing fills at -26.50 points. The first one I checked could be explained by microsecond differences in the order level being touched, thus triggering the actual order and fill. Assuming the builder of the study set the Stop order type as Stop Market would explain that fill at a better price. The next one I checked, however, did not have any price retracement at all, even when I drill down to a two-tick level. This particular Fill occured on 2025-09-30 at 12:21:00.992093 The Order price was 24823.00 (NQZ25), the Fill Price is shown as 24819.50. Looking at the 1-tick chart, I can see that the Fill Price (24819.50) was hit much earlier. The time stamp of the Fill matches the time stamp of the order price of 24823.00 @ 12:21:00.992093, but the TAL shows a Fill Price of 24819.50 and price did not retrace after reaching the higher price. Can you help me understand why the TAL would be reporting the Fill Price differently than the Order Price in this case? |