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Backtest Market and Limit order fill price difference
View Count: 983
| [2016-06-28 09:11:44] |
| wat - Posts: 67 |
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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 - 257 views 2016-04-07 market.png / V - Attached On 2016-06-27 15:07:18 UTC - Size: 6.44 KB - 249 views |
| [2016-06-29 05:39:14] |
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None of the information you provided us allows us to answer this question. We must see the Fill line in the Trade Activity Log for the order fill. Here are instructions: https://www.sierrachart.com/index.php?page=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport We checked the code and we do see the condition where if the bid and ask prices are away from the last trade price, that the fill price for a Stop market order will be one tick worse than the last trade price, but not more. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-06-29 06:44:14
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| [2016-06-29 15:47:53] |
| wat - Posts: 67 |
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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 - 252 views  tradeActivityLog.txt - Attached On 2016-06-29 15:35:01 UTC - Size: 7.12 KB - 258 views |
| [2016-06-30 22:56:29] |
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The only issue we see is this particular fill: 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 Also, we just asked for one single Trade Activity Log line. We did not need all this excess information. It is unnecessary and burdensome. Please do not provide anything we do not ask for. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-07-01 09:34:13
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| [2016-07-01 09:08:33] |
| User287992 - Posts: 51 |
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Sure, I just wanted to make sure you have all the information. Anyway this concerns A LOT of situations, I could post quite a few of these. Is there any solution possible, for example such as I suggested above? This makes BT quite unreliable. Thank you. |
| [2016-07-01 10:06:34] |
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We forgot to say that a solution to this has been done and will be out in the next release.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-07-01 10:06:54
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