Extended Backtest (Trade,Ask+Bid). Which feed triggers stops

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wilkinsw
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Extended Backtest (Trade,Ask+Bid). Which feed triggers stops

Postby wilkinsw » 30 Aug 2015

Hi,

I'm running extended backtests using:

Data1: Trade
Data2: Ask
Data3: Bid

Which are triggering buy and sell stop orders?

tony
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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby tony » 30 Aug 2015

I'm likely stating the obvious. Your question relates to stop orders (i.e. market orders) which would be the last tick, which could be either the bid or the ask at that time. So I would say the last "trade." I haven't used bid and ask on backtesting, but would assume the one advantage is knowing if the bid / ask flipped when you have a limit order waiting to fill. That way price doesn't have to "trade through" your limit to fill, as the bid and ask have flipped thus allowing you to fill.

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby wilkinsw » 31 Aug 2015

Tony, don't think you understood the question. By stop order, I mean stop order.

What is the logic for stoptriggered=true in MC when running an extended backtest. Which price series is referenced for the trigger. It doesn't specify in the literature.

The answer should be data1=trade. This is the case for exchange traded products (real world trading), but I understand it might be different for FX.

I just want to check that the bid/ask data series are not being used to determine whether stoptriggered=true, as to nail down the validity of this modelling tool in MC.

BTW...should be a one word answer.....Dataseries1, 2 or 3??

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby tony » 31 Aug 2015

You may want to contact support directly to get an answer. Your stop order, when triggered is being sent as a "market order" as you know. It should work based on the close "last trade" triggering the market order and then it's a matter of where the bid and ask are in terms of what price you get. In theory that's how it should work, again, sounds like you know that. As for how the backtesting engine is designed in that regards, I would contact support directly. You'll have an answer within an hour.

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby wilkinsw » 31 Aug 2015

Happy to ask the question here Tony. The answer will then help others.

When I said a "stop" order I meant a stop order. Ie An order with a trigger. I meant it the first time and still mean it now. Stop orders are NOT always sent as market orders once triggered. I'm not differentiating between a stopmarket and a stoplimit order as it's not important here. Tony, might be useful to know that stopmarket orders do not exist in the context of trading CME products.

The original question is simple, the answer should be too. I'm not looking for an answer based on conjecture, but thanks all the same Tony.

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby tony » 31 Aug 2015

Was just trying to help, no need for a lesson from you. And you are not correct in regards to CME products. You can likely answer this question yourself if you go back and look at your results, versus demanding someone answer a question for you, and one never formed properly in the first place. No need to reply here.

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby wilkinsw » 31 Aug 2015

Prove me wrong re CME. You'll regret that one! All stop orders are sent as stop limit orders to globex, fact, else are rejected by the exchange gateway.

Sounds like you did need the lesson mate!

You obviously think the question was poorly formed as you never understood it!

You seemed to think my question was "can someone give me a vague opinion on how they think extended backtesting works?".

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby tony » 31 Aug 2015

For every trade I make with ES I send a stop order. It's literally written as sell at market; I don't specify stop limit and the order is never rejected. It goes on the market as a limit a few points away from my stop price in case the market moved insanely fast, I would fill but it remains a stop order monitored until price is met in which case it fills at that price and the limit is cancelled. The order is not rejected by the CME when I send a stop immediately upon taking a new position.

Your original question was "Which are triggering buy and sell stop orders?" The options being a bid, ask or "trade." A bid or ask is not going to trigger a stop. So the answer would be "trade." Using quotes because I'm not sure why you decided to choose trade as an option. The bid and the ask determine the fill.

By the way data1, data2, and data3, are data series, which are sub charts.

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Re: Extended Backtest (Trade,Ask+Bid). Which feed triggers s

Postby wilkinsw » 01 Sep 2015

I don't specify stop limit and the order is never rejected. It goes on the market as a limit a few points away from my stop price in case the market moved insanely fast, I would fill but it remains a stop order monitored until price is met in which case it fills at that price and the limit is cancelled. The order is not rejected by the CME when I send a stop immediately upon taking a new position.
What are you talking about?

"it goes on the market as a limit a few points away from my stop price" - like I said stopmarket (and any market order) do not exist per se for CME products. The FIX/FAST and MDP3.0 tags specifying a market order do not exist for CME as they do for say Eurex. You are only ever sending a stoplimit order or marketable limit order. Yes, the limit portion might be far into market, but it's still a limit order. It is your broker API that is making the interpretation of your order, without which a "stopmarket" or "market" order would be rejected. If your broker isn't interpreting, then it is likely that you are using broker side synthetic orders, not native to the exchange. In which case exchange compatibility is irrelevant.
I would fill but it remains a stop order monitored until price is met in which case it fills at that price and the limit is cancelled
???

The limit portion is the actual order that gets filled following a stop trigger. It's not cancelled.
The order is not rejected by the CME when I send a stop immediately upon taking a new position.
That's because your broker is sending a stoplimit order!! Else it would be rejected as explained above.
So the answer would be "trade." Using quotes because I'm not sure why you decided to choose trade as an option. The bid and the ask determine the fill.
Because I'm not interested in the fills!!!!!!! That wasn't the question. The question was regarding the trigger!! This is turning into a Monty Python sketch.
By the way data1, data2, and data3, are data series, which are sub charts.
You lost me there I'm afraid.


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