Date/Time: Tue, 28 Nov 2023 14:09:16 +0000
Simulated or All Simulated
View Count: 906
|Richard Reyes - Posts: 98|
I am back testing an automated trading strategy and while in "Replay/Back Test Fills" everything looks great. When I go to the "Trades" tab and chose "Simulation Fills Choice" I switch out of "Replay/Back Test Fills" and switch to "All Fills", I get more trades (fills) on the chart, but still closely resembling the "Replay/Back Test Fills". When I switch to "Simulation Fills", I see the chart trades change to some real bad fills and not as many, just maybe the last 15 trades (fills). What is happening and why such a big change in the different "Fills" types? Why do the "Simulation Fills" change so drastically from the other fills and which "Fills" should I rely on, "Simulation Fills" or "All Fills"? Many Thanks
Sierra Chart Engineering - Posts: 104368
For description of each of these Simulation fill sources, refer to:
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:
For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
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|vegasfoster - Posts: 444|
A couple things I've learned about replays.
First, if you are replaying a strategy, the trades will be logged as replay/backtest fills, but when you get caught up to the current time and your strategy is still running the trades will change to being simulation orders. So if you have trades in simulation and you flatten in simulation then your stats can be messed up depending on what you are displaying. So if I am replaying and hit the current time, then I manually delete any simulation orders that occurred from the trade activity log, which generally doesn't happen unless I have walked away for a while, and then I back up the chart to just before the current time, start the replay again at .1 speed and flatten in replay mode to get accurate stats.
Second, if you run a replay and don't clear old trade simulations and orders first, then any old trades during the same period will still be in the trade log messing up your stats, even though you can't the order fills on the chart.
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