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Date/Time: Fri, 29 Mar 2024 00:13:48 +0000



Help understanding bar-based backtest fill

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[2020-11-29 16:37:44]
jwick - Posts: 142
I'm trying to understand this line in the documentation for fill logic:
"During a bar based back test, a resting Limit order will not fill at a price better than the Limit price if the bid and ask prices processed are beyond the Limit order price and have triggered the Limit order price. Instead the order will be filled at the Limit order price, which can be a worse price than the processed bid and ask prices."

Unless I am misunderstanding, I am experiencing the opposite (getting a fill better than limit order price) when running a bar based backtest as seen in this fill:

ActivityType  DateTime  Symbol  OrderActionSource  InternalOrderID  ServiceOrderID  OrderType  Quantity  BuySell  Price  Price2  OrderStatus  FillPrice  FilledQuantity  TradeAccount  OpenClose  ParentInternalOrderID  PositionQuantity  FillExecutionServiceID  HighDuringPosition  LowDuringPosition  Note  AccountBalance  ExchangeOrderID  ClientOrderID
Fills  2019-10-14 06:54:00.003  [Sim]MNQ-202012-GLOBEX-USD  Trade simulation fill. Bid: 7814.50 Ask: 7814.75 Last: 7814.50  29626  29626  Stop Limit  1  Buy  7820.75  7820.75  Filled  7814.75  1  Sim1  Open    3  29626.1  7823.00  7801.25    0.00    

The bid/ask is 7814.50/7814.75. The stop/limit price is 7820.75/7820.75. If I understood the documentation, the fill should be at 7820.75; however, I get a fill at the ask of 7814.75 even though the ask price is beyond the limit order price.
[2020-11-30 06:29:27]
Sierra Chart Engineering - Posts: 104368
Therefore, the order must not have been considered a resting limit order.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-11-30 06:29:32

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