Support Board

Date/Time: Tue, 21 May 2024 07:13:13 +0000

Post From: Backtest Market and Limit order fill price difference

[2016-06-28 09:11:44] Link To Thread - Link To Post [Go To First Post]
wat - Posts: 67
Hello, we are running backtest over years using StopLimit and Stop orders and receiving statistically noticeable differences: StopLimit gives us better price while Stop gives us worse price most of the time. The order price was 1233,1. Limit: [Sim]GC-201608-NYMEX Long 2016-04-07 10:54:37 2016-04-07 10:54:37 1232.1 1234.6 1 1 1 245.38 1252.28 260.00 0.00 260.00 0.00 100.00% 96.15% 96.15% 4.62 vs Market: [Sim]GC-201608-NYMEX Long 2016-04-07 10:54:37 2016-04-07 10:54:37 1233.2 1234.6 1 1 1 135.38 762.28 150.00 -10.00 150.00 -10.00 93.75% 93.75% 87.50% 4.62 Both of these situations are not close to reality where we usually get requested price. Would it be possible to add option to get requested price and not rely on ask/bid prices as they are far from realtime trading experiences? We run backtest using same strategy where only difference on order type. As you can see in attachments the price difference is quite big and it makes harder for us to evaluate the result statistics. Thank you.


2016-04-07 limit.png / V - Attached On 2016-06-27 15:07:15 UTC - Size: 5.09 KB - 261 views 2016-04-07 market.png / V - Attached On 2016-06-27 15:07:18 UTC - Size: 6.44 KB - 251 views