How many ticks past for Equities? (filling limit orders)

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ZaphodB
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How many ticks past for Equities? (filling limit orders)

Postby ZaphodB » 09 Aug 2022

Greetings,

I feel like a big portion of my learning with MC over the years has been learning all the different ways MC can give you unrealistically good backtesting results (understanding IBOG, bar magnifier, spreads, latency, etc). I think I've eliminated many of the issues and I'm getting more realistic backtests but not sure how many ticks past I should use for filling limit orders when backtesting on equities. For futures, I usually do 1 tick past for the backtest. However, if I assumed the typical spread with the equities I trade was 4 cents, does that mean I should set the "ticks past for filling limit orders" to 4? ( I'm not doing extended backtesting with bid/ask data)

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ZaphodB
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Re: How many ticks past for Equities? (filling limit orders)

Postby ZaphodB » 09 Aug 2022

I just found this wiki article: https://www.multicharts.com/trading-sof ... ssumptions

According to that, it waits until the price gets past your limit but then fills at the price that is past your limit (instead of the original limit price). That's unfortunate because I just want to get realistic fills without having to use a chart with bid/ask data. Is there a better way to do this?

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Kate MultiCharts
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Re: How many ticks past for Equities? (filling limit orders)

Postby Kate MultiCharts » 10 Aug 2022

Hello ZaphodB,

We’d recommend using Slippage instead to achieve your goal. By default it’s only applied to Stop and Market orders, but you can adjust the registry to apply it to Limit orders as well (it's a secret, so don't tell anyone :wink: ):
  1. Close all MultiCharts components and make sure there are no hanging processes in Task Manager -> Details tab -> Description column
  2. Launch Registry Editor (regedit.exe). You can find it by typing it into the Windows search bar.
  3. Go to this path: HKEY_CURRENT_USER\Software\TS Support\MultiCharts\StrategyProp
  4. Double-click the UseSlippageForAllTypes key
  5. Set Value data to 1

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ZaphodB
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Re: How many ticks past for Equities? (filling limit orders)

Postby ZaphodB » 11 Aug 2022

Ok, that's funny because I was trying to think of a way to do that. I was thinking about requiring 4 ticks past to fill orders and also setting slippage to the value of 4x min move. It's an improvement but not perfect because if the price moves more than 4x min move in the 4 ticks past, you're still going to get an overly optimistic fill. I'll work with it for now but please add me to the list of people that would like to see an option where orders fill at the original limit price as the ticks move past (when requiring ticks past to fill limit orders). I've seen a few old threads on the subject and it seems like it would be a valuable feature for anyone trading on 5 minute bars (or equivalent) or less. Thanks again for the information and I'll work with that for now.


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