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Open Feature request MC-1574

BackTesting Fill Limit order when price goes beyond limit price by X points is not always realistic

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Assume X=1 points and the following strategy applied to @CL (Crude Oil) 1min bar chart
If CO then Begin
If C>O then Buy next bar at C limit
Else SellShort next bar at C Limit;

Date 1140109
8:08 Buy next bar at C Limit
8:08 C=92.81
8:09 Open=92.80 High=92.84 Low=92.80 Close=92.83
8:09 Filled @ "Buy 1 @ 92.80"

Issue: Choosing the above sensitivity with X=1 points we want to make sure that our limit order is filled for sure at the original price or better
When bar Opens at 92.80 (below our Long Entry Limit Price at 92.81) system fills as at 92.80 as limit order becomes in effect market order.
However not having T&S resolution and only 1min bar data to ensure we are filled at 100% realistic price system should report that we are filled at 92.81
If Open was 92.79 instead of 92.80 then again realistically it could report us filled at 92.80 i.e. 1 points above bar Open

Steps to reproduce this issue

Here is my suggestion:
For a Long Limit Price next bar at Y with X points (X>0)sensitivity:
IF Open next bar = Long Limit Price no need for any alteration as system correctly reports filled at Original Limit price.

Comments (2)
user-offline.png  MAtricks (MAtricks)
Jan 29, 2014 - 07:32

This feature definitely needs improvement. It does not work.

user-offline.png  Alex MultiCharts (Alex MultiCharts)
Jul 31, 2015 - 00:04
Issue basics
  • Type of issue
    Feature request
  • Category
  • Targeted for
    MultiCharts 9.1 (RELEASED)
  • Status
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
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