Fill price for limit is not accurate(IOG/bar magnifier tick)

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vking
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Fill price for limit is not accurate(IOG/bar magnifier tick)

Postby vking » 07 Jun 2012

Hello MC Team - I am trying to enter the queue at a specific limit order - before the price reaches there - with IOG turned on and also with bar magnifier 1 tick mode turned on. On few occasions I am getting a "better" fill as per the strategy report. I would assume it might not be possible to get a positive slippage with already queued limit orders. Is there any setting that I can use for strategy setting - to make sure - I won't get a "better" fill? trying to avoid any positive slippage from the strategy point of view.

The trades where I got positive slippage - the bar opened at a better price than limit price(queued). To mimic real world (intraday) - the order is supposed to be filled at the limit price and not at a better price.

thanks

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Henry MultiСharts
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Re: Fill price for limit is not accurate(IOG/bar magnifier t

Postby Henry MultiСharts » 08 Jun 2012

Hello Vking,

With IOG and Bar Magnifier (1 tick) enabled on historical data the script is calculated on the Open value of the main data series, then OHLC of each bar of the detailed data series selected in bar magnifier, then on the Close of the main data series. Order is filled only on these O-OHLC-C values. The only possibility to have more positive slippage seems to be when the limit price is between two tick prices.

How to get the order filled at exact price- use regular historical calculation mode. No IOG. No Bar Magnifier. The script is calculated on the bar close. It is considered that all prices were within the bar (Price movement assumption is used). Order filled on any price within the bar.


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