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Direct MessagesDate/Time: Tue, 23 Apr 2024 15:34:53 +0000
[Programming Help] - Partial Fills
View Count: 907
| [2018-01-22 12:46:22] |
| User39772 - Posts: 311 |
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Hello, I coded a trading system and during Backtest I see partial fills. E.g. The system buys 9999 EUR/USD @ entry condition and sells first 158 EUR/USD and then 9841 EUR/USD after the exit condition is met. I did not code any partial fills. This behaviour happens several times and of course has effects on my hit rate and fee structure. How can I avoid such kind of effects while backtesting ? |
| [2018-01-23 15:55:18] |
| User39772 - Posts: 311 |
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Please reply and see attached file. The posiiion size here is e.g 3910 for a single trade but in the Trade Activity Log two trades are visible with size 67 and size 3843 which in sum is 3910. In the system source code I do not use any partial orders depending on the size, so it must have sth. to do with the sc internals. Another question is, would it be possible to change the Activity Log in such a way that Enty Date and Entry Time are separate columns. The current solutions generates trouble if I want to import this into excel. Either the Date column disappears or I have to manually adjust the header naming and order. Looking forward to your soon reply. |
Fills.JPG| [2018-01-24 17:17:12] |
| User39772 - Posts: 311 |
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Hello, if you intend to ignore this issue in the same way you ignored my other issue "Runup/DD", please at least let me know, so that I do not wait any longer for a resonse. Best regards. |
| [2018-01-25 05:15:00] |
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The other post about the run-up/drawdown is not within the scope of our support. You are also expected to read the documentation and you will find that you can access the maximum open position profit and loss: Automated Trading From an Advanced Custom Study: s_SCPositionData Structure Members Sierra Chart does not implement partial fills for simulated trading. You can see what would seem like that when reversing a position where there is a separate order to flatten the existing position. So really this is something that you have to do your own research on as to why you see what would seem like a partial fill. In the system source code I do not use any partial orders depending on the size, so it must have sth. to do with the sc internals. 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: 2018-01-25 05:15:44
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