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Direct MessagesDate/Time: Fri, 03 May 2024 16:46:25 +0000
Incorrect simulated stop execution after high-frequency fill?
View Count: 504
| [2021-02-25 18:00:09] |
| curious16 - Posts: 10 |
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It seems that simulation can result in overly optimistic fills of attached stops. The attached screenshots show the following scenario (ESH21, 24-Feb, 13:43 EST): - 1 long filled at 3923.75 with attached sell stop (market) at 3921.75. - Simulated sell stop (market order) fills at 3922.50 - Immediately prior to the fill of our stop there is a large fill that clears multiple bid levels. All bars between the two vertical green lines on the second and third screenshots occur within the same millisecond (13:44:10.461). It is this large fill that triggers the attached market stop (= crosses the stop level). - The stop should fill at the bid >>after<< the large fill. - Bid/ask data is overlaid on the screenshots (yellow and blue lines). The bid prior to the large fill is the execution level of our stop. However, this bid is no longer valid when our stop is triggered by the large fill. Am I missing something here or does Sierra Chart provide overly optimistic fills in this scenario? Is it possible to configure Sierra Chart to get a correct fill in this simulation scenario? If this is a bug/limitation it would really be helpful to address it as such fast-action large fills often contribute to unrealistically optimistic backtest results. As Sierra Chart has the correct bid/ask data immediately after the large fill, it appears that it should be possible to use this data to correctly fill the stop. Details: Denali Feed and Sierra Chart Order Routing Service. All data loaded with single-trade resolution (the third screenshot shows 1 trade resolution). I got the same result in all replay modes including the "calculate at every tick" mode. |
 LongPos_WithMktStop.jpg / V - Attached On 2021-02-25 17:51:06 UTC - Size: 165.4 KB - 177 views SimulatedStopExecuted.jpg / V - Attached On 2021-02-25 17:51:15 UTC - Size: 149.37 KB - 153 views SimulatedStop_SingleTradeChart.jpg / V - Attached On 2021-02-25 17:51:21 UTC - Size: 165.48 KB - 177 views |
| [2021-02-25 22:43:48] |
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We cannot take the time to concentrate on these details. How trade simulation works is fully documented here: Trade Simulation: How Orders are Filled 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 |
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