Date/Time: Tue, 17 May 2022 15:04:18 +0000
Post From: Backtesting fill prices
|milo2020 - Posts: 7|
'Intraday Data Storage Time Unit' is set to 1 second. I am using SC Historical Data. I have tried lmt orders as well as stp lmt orders. No matter what I try, I do not get a realistic fill price during backtesting.
Example: Spreadsheet set to buy if price exceeds horizontal line at 86.91. The bar that exceeds this has a high of 86.98 and closes at 86.96. I have a STP LMT with offset of 1, therefore I should get filled at 86.92 or 86.93. However, I get filled at 86.97. Over the course of hundreds of trades this difference of 5 to 10 ticks renders my backtesting useless.
Am I doing something wrong, or is there no way to have a buy trigger occur in the middle of a bar during backtesting and have the system give me a realistic price instead of a price near the close of that bar? Thanks.