Backtesting Assumptions:
- Fill limit order when trade takes place at limit price or better
- Fill limit order when trade price goes beyond limit price by [0] points
In the second option, what is exactly a 'point'? In terminology of e-mini futures for example, a Point is distance between whole prices (Big Points) and a Tick is minimum price movement. That is, with an instrument (e.g. ES) with BigPointValue=50, MinMove=25, PriceScale=0.01
Code: Select all
TickValue = BigPointValue * MinMove * PriceScale
= 50*25*0.01 = 12.5
Does 'point' in the Backtesting Assumptions above indicate a BigPoint step or a Tick step?
Please clarify this in the documentation.
If it means a Big Point step, then how can we enter a Tick step? It does not allow to enter fractions like 0.25. In E-mini S&P (ES) for example each Big Point step is 4 Tick steps. It makes a lot of sense to Fill limit order when trade price goes beyond limit price by 1 tick step (0.25 big points), rather than 1 point (4 ticks).
Thanks!