Question about Limit Order Execution Assumptions  [SOLVED]

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orad
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Question about Limit Order Execution Assumptions

Postby orad » 15 Jan 2015

When setting Limit Order Execution Assumptions, we have the following options:

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
and a Tick step is BigPointValue/TickValue = 4

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!
Last edited by orad on 16 Jan 2015, edited 1 time in total.

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Dave Masalov
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Re: Question about Limit Order Execution Assumptions  [SOLVED]

Postby Dave Masalov » 16 Jan 2015

Hello orad,

Point is always the minimum possible price increment. For ES it is 0.25.


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