limit order in real word is different with Backtest

Hi,

I trade Forex in IB with MC using limit order. However, I find the limit order which MC sent to IB is totally different with the MC real time simulation or back test. (MC real time simulation and back test result is the same. )

How could I make the created limit order is exactly the same with simulation or back test?

I reviewed the setting in MC, there is no setting involved with changing limit order.

Hi,

I trade Forex in IB with MC using limit order. However, I find the limit order which MC sent to IB is totally different with the MC real time simulation or back test. (MC real time simulation and back test result is the same. )

How could I make the created limit order is exactly the same with simulation or back test?

I reviewed the setting in MC, there is no setting involved with changing limit order.

What do you mean by "totally different" ?

Can you give some real life examples?

Hi,

I trade Forex in IB with MC using limit order. However, I find the limit order which MC sent to IB is totally different with the MC real time simulation or back test. (MC real time simulation and back test result is the same. )

How could I make the created limit order is exactly the same with simulation or back test?

I reviewed the setting in MC, there is no setting involved with changing limit order.

What do you mean by "totally different" ?

Can you give some real life examples?

Thanks for your rapid response. Here is the situation(all limit order):

Time GBP.AUD Sent Price Filled Price Backtest Price Simulation Price
12/18/2014 03:24:01 Buy 1.90645 1.90606 1.90580 1.90580
12/18/2014 03:34:16 Sell 1.90890 1.90890 1.90905 1.90905
12/18/2014 04:39:00 Buy 1.91395 1.91358 1.91360 1.91360
12/18/2014 04:42:01 Sell 1.91485 1.91600 1.91620 1.91620
12/18/2014 01:30:01 Buy 1.91545 1.91509 1.91520 1.91520
12/18/2014 02:00:30 Sell 1.91365 1.91365 1.91365 1.91365

Back-testing limit orders in MC is dangerous... Its been reported many many times. Its sad that we have to create strategies around MC limitations and not use common features of the market places.

Maybe some day........

Back-testing limit orders in MC is dangerous... Its been reported many many times. Its sad that we have to create strategies around MC limitations and not use common features of the market places.

Maybe some day........

Hi ,

The issue is NOT if limit order can be filled or not.

The issue is created limit order price is different with real time simulation or back test.

Until now, I satisfy the filled performance.

Please see the breakdown (all limit order):

Time GBP.AUD Sent Price Filled Price Backtest Price Simulation Price
12/18/2014 03:24:01 Buy 1.90645 1.90606 1.90580 1.90580
12/18/2014 03:34:16 Sell 1.90890 1.90890 1.90905 1.90905
12/18/2014 04:39:00 Buy 1.91395 1.91358 1.91360 1.91360
12/18/2014 04:42:01 Sell 1.91485 1.91600 1.91620 1.91620
12/18/2014 01:30:01 Buy 1.91545 1.91509 1.91520 1.91520
12/18/2014 02:00:30 Sell 1.91365 1.91365 1.91365 1.91365

Yes, I know.. And welcome to the party There are quite a few more surprises for you as your venture into this.

Yes, I know.. And welcome to the party There are quite a few more surprises for you as your venture into this.

Any suggestion? or experience to share?

Regards

yoyo1990, if you consider the price of the generated order incorrect - you need to validate your order generation variables/functions values in the code that generates this order. You can follow these guidelines to get started.