Limit orders setting  [SOLVED]

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soacm
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Limit orders setting  [SOLVED]

Postby soacm » 01 Nov 2022

Hi everyone, I am trying to make the back test results as reliable as possible, using a strategy that implements limit orders. I already added $30 as slippage x trade (trading Gold futures), does anyone have suggestions on what settings should I use with limit orders?
Thank you.

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Svetlana MultiCharts
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Re: Limit orders setting

Postby Svetlana MultiCharts » 02 Nov 2022

Hi soacm,

Slippage in Strategy Properties – Properties is not applied to limit orders.
A good method to make backtesting more precise is described in this article.
Also you may want to use Fill limit order when trade price goes beyond limit price by X points option.

soacm
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Re: Limit orders setting

Postby soacm » 02 Nov 2022

Hi soacm,

Slippage in Strategy Properties – Properties is not applied to limit orders.
A good method to make backtesting more precise is describe in this article.
Also you may want to use Fill limit order when trade price goes beyond limit price by X points option.
Hi, I am using the following code for my entries

Code: Select all

var: lowd1(0); lowd1 = LowS(1); buy next bar at lowd1 Limit;
The strategy has slippage added in the settings and according to your answer it is not applied to limit orders, but the performance report clearly has it (see screenshot).
Thank you.
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Svetlana MultiCharts
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Re: Limit orders setting

Postby Svetlana MultiCharts » 02 Nov 2022

Limit orders never slip in a worse direction; therefore, slippage is not applied by default. The only way to change it is by means of a special option in the registry. If you want to return to the default behaviour, please contact our support directly for the instruction.

soacm
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Re: Limit orders setting

Postby soacm » 02 Nov 2022

Limit orders never slip in a worse direction; therefore, slippage is not applied by default. The only way to change it is by means of a special option in the registry. If you want to return to the default behaviour, please contact our support directly for the instruction.
I wanted to use slippage on limit entries in order to somehow replicate live conditions. I was not aware of the Backtesting assumptions feature, thank you for your answer.

soacm

wilkinsw
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Re: Limit orders setting

Postby wilkinsw » 04 Nov 2022

Interesting topic.

Multicharts is there I way I can achieve the following fill cost assumptions:

1)-Resting stop fill cost
2)-Resting limit fill cost
3)-Aggressor, next bar, fill cost (market/ aggressor limit/ instantly converted stop)

Re the second point: I work to the assumption that I'm filled on touch (using a market if touched synthetic limit order when live).

Would be great if I can input these three fill type costs in MC. Is there a way?

Currently I take an average cost and apply it to all fills.... but if my signals input parameters change, this average value also changes, meaning manual changes to costs keep having to be made.

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Svetlana MultiCharts
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Re: Limit orders setting

Postby Svetlana MultiCharts » 08 Nov 2022

Interesting topic.

Multicharts is there I way I can achieve the following fill cost assumptions:

1)-Resting stop fill cost
2)-Resting limit fill cost
3)-Aggressor, next bar, fill cost (market/ aggressor limit/ instantly converted stop)

Re the second point: I work to the assumption that I'm filled on touch (using a market if touched synthetic limit order when live).

Would be great if I can input these three fill type costs in MC. Is there a way?

Currently I take an average cost and apply it to all fills.... but if my signals input parameters change, this average value also changes, meaning manual changes to costs keep having to be made.
Hi wilkinsw,

Unfortunately there is no such feature.


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