Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Mon, 29 Apr 2024 16:21:45 +0000
Limit order is not executed correctly during backtesting in replay mode
View Count: 580
| [2020-04-27 17:43:40] |
| User355493 - Posts: 23 |
|
Hello Sierra-Team, I have created a small automated trading program via spreadsheets. But a backtesting in replay mode gives completely wrong results, because bid and ask are not updated (sometime it takes 3-4 candles). I have read the hint that tick-data are needed here: Auto Trade System Back Testing: Using Actual Bid and Ask Prices During Back Test But no matter what I set, I get a completely wrong result (40 ticks difference!!). What is wrong here ? Or is there a setting where simply the "current price" is used when touching the LMT order ? Without an approximation any function concerning automated trading is useless if it cannot be tested properly (without running 2 months sim mode in realtime). Used Sierra-Chart Version: 2088 / package 5 Many thanks for the help. |
 LMT_Not_Executed_during_Backtesting_Trading_System.PNG / V - Attached On 2020-04-27 17:40:56 UTC - Size: 133.53 KB - 206 views LMT_Not_Executed_during_Backtesting_Trading_System_tickdata.PNG / V - Attached On 2020-04-27 17:41:00 UTC - Size: 19.34 KB - 199 views LMT_Not_Executed_during_Backtesting_Trading_System_wrongFill.png / V - Attached On 2020-04-27 17:41:05 UTC - Size: 109.29 KB - 198 views |
| [2020-04-27 18:53:38] |
| |
|
We want you to use Sierra Chart version 2092 and see if it resolves the issue: Software Download: Fast Update But if at times, there is a problem with the bid and ask data from the exchange not being up-to-date, then what we recommend doing instead is changing the Intraday Data Storage Time Unit to 1 Second: Data/Trade Service Settings: Intraday Data Storage Time Unit (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Settings) 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: 2020-04-27 18:56:21
|
| [2020-04-27 19:12:26] |
| User355493 - Posts: 23 |
|
Thank you. With the update it seems to work now. Unbelievable, so simple... and I´ve tried different settings for some Hours also this one which you mentioned above and which is described here: Trade Simulation: Trade Simulation Accuracy and Bid/Ask Prices During Replays |
To post a message in this thread, you need to log in with your Sierra Chart account: