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Direct MessagesDate/Time: Fri, 17 May 2024 19:48:18 +0000
Post From: Backtest Market and Limit order fill price difference
| [2016-06-29 15:47:53] |
| wat - Posts: 67 |
|
Hello, I had to run another backtest and got a bit different prices but the problem is same. We get noticeably better price by limit (10 ticks) which makes strategy looks better than it should: Limit: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID
Order 2016-04-07 10:54:37.301 [Sim]GC-201608-NYMEX Simulated order canceled 94967 94967 Stop 1 Sell 1233.7 Canceled Sim1 Close 94965 Order 2016-04-07 10:54:37.300 [Sim]GC-201608-NYMEX Canceling order due to sibling fill 94967 94967 Stop 1 Sell 1233.7 Pending Cancel Sim1 Close 94965 Fill 2016-04-07 10:54:37.299 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1237.2 Ask: 1237.3 Last: 1237.2 94966 94966 Limit 1 Sell 1235.7 Filled 1237.2 1 Sim1 Close 94966.6 Order 2016-04-07 10:54:37.298 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1237.2 Ask: 1237.3 Last: 1237.2 94966 94966 Limit 1 Sell 1235.7 Filled 1237.2 1 Sim1 Close 94965 1 Order 2016-04-07 10:54:37.125 [Sim]GC-201608-NYMEX Simulated order accepted 94967 94967 Stop 1 Sell 1233.7 Open Sim1 Close 94965 1 Order 2016-04-07 10:54:37.124 [Sim]GC-201608-NYMEX Simulated order accepted 94966 94966 Limit 1 Sell 1235.7 Open Sim1 Close 94965 1 Order 2016-04-07 10:54:37.123 [Sim]GC-201608-NYMEX Auto-sent child from parent fill 94967 Stop 1 Sell 1233.7 Order Sent Sim1 Close 94965 1 Order 2016-04-07 10:54:37.122 [Sim]GC-201608-NYMEX Auto-sent child from parent fill 94966 Limit 1 Sell 1235.7 Order Sent Sim1 Close 94965 1 Order 2016-04-07 10:54:37.121 [Sim]GC-201608-NYMEX Order modified internally 94967 Stop Sell 1233.7 Pending Child-Client Sim1 Close 94965 1 Order 2016-04-07 10:54:37.120 [Sim]GC-201608-NYMEX Modifying Attached Order from parent modification/fill. Parent ref. price: 1234.7. Requested Price: 1233.7. Requested Quantity: 0 94967 Stop Sell 1234.7 Pending Modify Sim1 Close 94965 1 Order 2016-04-07 10:54:37.119 [Sim]GC-201608-NYMEX Order modified internally 94966 Limit Sell 1235.7 Pending Child-Client Sim1 Close 94965 1 Order 2016-04-07 10:54:37.118 [Sim]GC-201608-NYMEX Modifying Attached Order from parent modification/fill. Parent ref. price: 1234.7. Requested Price: 1235.7. Requested Quantity: 0 94966 Limit Sell 1236.7 Pending Modify Sim1 Close 94965 1 Fill 2016-04-07 10:54:37.117 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1234.6 Ask: 1234.7 Last: 1235.7 94965 94965 Stop Limit 1 Buy 1235.7 1235.7 Filled 1234.7 1 Sim1 Open 1 94965.5 Order 2016-04-07 10:54:37.116 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1234.6 Ask: 1234.7 Last: 1235.7 94965 94965 Stop Limit 1 Buy 1235.7 1235.7 Filled 1234.7 1 Sim1 Open Order 2016-04-07 10:52:45.006 [Sim]GC-201608-NYMEX Simulated order accepted 94965 94965 Stop Limit 1 Buy 1235.7 1235.7 Open Sim1 Open Order 2016-04-07 10:52:45.005 [Sim]GC-201608-NYMEX Auto-trade: Replay 300.0X: GC-201608-NYMEX [CB] [M] 5 Min #1 | Denzel 0.9.2 | BuyEntry | Bar start Date-Time: 2016-04-07 10:50:00.000 | Last: 1233.4 94965 Stop Limit 1 Buy 1235.7 1235.7 Order Sent Sim1 Open Order 2016-04-07 10:52:45.004 [Sim]GC-201608-NYMEX Auto-trade: Replay 300.0X: GC-201608-NYMEX [CB] [M] 5 Min #1 | Denzel 0.9.2 | BuyEntry | Bar start Date-Time: 2016-04-07 10:50:00.000 | Last: 1233.4. Attached Order. Server side OCO order 94967 Stop Sell 1234.7 Pending Child-Client Sim1 Close 94965 Order 2016-04-07 10:52:45.003 [Sim]GC-201608-NYMEX Auto-trade: Replay 300.0X: GC-201608-NYMEX [CB] [M] 5 Min #1 | Denzel 0.9.2 | BuyEntry | Bar start Date-Time: 2016-04-07 10:50:00.000 | Last: 1233.4. Attached Order. Server side OCO order 94966 Limit Sell 1236.7 Pending Child-Client Sim1 Close 94965 Market: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID
Order 2016-04-07 10:54:37.301 [Sim]GC-201608-NYMEX Simulated order canceled 95126 95126 Stop 1 Sell 1234.8 Canceled Sim1 Close 95124 Order 2016-04-07 10:54:37.300 [Sim]GC-201608-NYMEX Canceling order due to sibling fill 95126 95126 Stop 1 Sell 1234.8 Pending Cancel Sim1 Close 95124 Fill 2016-04-07 10:54:37.299 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1237.2 Ask: 1237.3 Last: 1237.2 95125 95125 Limit 1 Sell 1236.8 Filled 1237.2 1 Sim1 Close 95125.16 Order 2016-04-07 10:54:37.298 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1237.2 Ask: 1237.3 Last: 1237.2 95125 95125 Limit 1 Sell 1236.8 Filled 1237.2 1 Sim1 Close 95124 1 Order 2016-04-07 10:54:37.125 [Sim]GC-201608-NYMEX Simulated order accepted 95126 95126 Stop 1 Sell 1234.8 Open Sim1 Close 95124 1 Order 2016-04-07 10:54:37.124 [Sim]GC-201608-NYMEX Simulated order accepted 95125 95125 Limit 1 Sell 1236.8 Open Sim1 Close 95124 1 Order 2016-04-07 10:54:37.123 [Sim]GC-201608-NYMEX Auto-sent child from parent fill 95126 Stop 1 Sell 1234.8 Order Sent Sim1 Close 95124 1 Order 2016-04-07 10:54:37.122 [Sim]GC-201608-NYMEX Auto-sent child from parent fill 95125 Limit 1 Sell 1236.8 Order Sent Sim1 Close 95124 1 Order 2016-04-07 10:54:37.121 [Sim]GC-201608-NYMEX Order modified internally 95126 Stop Sell 1234.8 Pending Child-Client Sim1 Close 95124 1 Order 2016-04-07 10:54:37.120 [Sim]GC-201608-NYMEX Modifying Attached Order from parent modification/fill. Parent ref. price: 1235.8. Requested Price: 1234.8. Requested Quantity: 0 95126 Stop Sell 1234.7 Pending Modify Sim1 Close 95124 1 Order 2016-04-07 10:54:37.119 [Sim]GC-201608-NYMEX Order modified internally 95125 Limit Sell 1236.8 Pending Child-Client Sim1 Close 95124 1 Order 2016-04-07 10:54:37.118 [Sim]GC-201608-NYMEX Modifying Attached Order from parent modification/fill. Parent ref. price: 1235.8. Requested Price: 1236.8. Requested Quantity: 0 95125 Limit Sell 1236.7 Pending Modify Sim1 Close 95124 1 Fill 2016-04-07 10:54:37.117 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1234.6 Ask: 1234.7 Last: 1235.7 95124 95124 Stop 1 Buy 1235.7 Filled 1235.8 1 Sim1 Open 1 95124.15 Order 2016-04-07 10:54:37.116 [Sim]GC-201608-NYMEX Trade simulation fill. Bid: 1234.6 Ask: 1234.7 Last: 1235.7 95124 95124 Stop 1 Buy 1235.7 Filled 1235.8 1 Sim1 Open Order 2016-04-07 10:54:00.036 [Sim]GC-201608-NYMEX Simulated order accepted 95124 95124 Stop 1 Buy 1235.7 Open Sim1 Open Order 2016-04-07 10:54:00.035 [Sim]GC-201608-NYMEX Auto-trade: Replay 300.0X: GC-201608-NYMEX [CB] [M] 5 Min #1 | Denzel 0.9.2 | BuyEntry | Bar start Date-Time: 2016-04-07 10:50:00.000 | Last: 1234.7 95124 Stop 1 Buy 1235.7 Order Sent Sim1 Open Order 2016-04-07 10:54:00.034 [Sim]GC-201608-NYMEX Auto-trade: Replay 300.0X: GC-201608-NYMEX [CB] [M] 5 Min #1 | Denzel 0.9.2 | BuyEntry | Bar start Date-Time: 2016-04-07 10:50:00.000 | Last: 1234.7. Attached Order. Server side OCO order 95126 Stop Sell 1234.7 Pending Child-Client Sim1 Close 95124 Order 2016-04-07 10:54:00.033 [Sim]GC-201608-NYMEX Auto-trade: Replay 300.0X: GC-201608-NYMEX [CB] [M] 5 Min #1 | Denzel 0.9.2 | BuyEntry | Bar start Date-Time: 2016-04-07 10:50:00.000 | Last: 1234.7. Attached Order. Server side OCO order 95125 Limit Sell 1236.7 Pending Child-Client Sim1 Close 95124 Is it possible to get backtest mode where the filled price is same as order price? We would appreciate that because then the backtest would be closer to realtime trading than it is now. We did a lot of comparison and the best conclusion we came up with is that we get requested price most of the time. |
 market.png / V - Attached On 2016-06-29 15:34:59 UTC - Size: 4.92 KB - 254 views  tradeActivityLog.txt - Attached On 2016-06-29 15:35:01 UTC - Size: 7.12 KB - 259 views |