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Open Feature request MC-1672

REALISTIC FILLS FOR BACKTESTING

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Description

I request that Multicharts improve the fill models used in backtests. The current fill models in some cases are unrealistic, and can produce backtests which are dramatically different from what would happen in live trading.
::Limit Order Realistic Fill::
-Fill at Limit order price only.
Notes
Regardless of where price is, there should be no improvement. Even if there is a true gap in historical data, in real time, your order would probably fill that gap and be filled at its price.
-A fill will only happen once price has traded through the Limit price an inputted amount of ticks.
Notes
We have a feature for this already, but in some cases the fills are improved to the inputted tick amount instead of ensuring that price trading through our order the inputted amount.
::Market Order Realistic Fill::
-Fill at Market Price less an inputted amount of "spread" or "slippage". Buy market orders to be filled N ticks above market order price and Sell market orders to be filled N ticks below market order price.
Notes
Currently, the fill model in Multicharts for Mark orders adjusts them by a simple profit deduction (slippage setting). This is not adequate. In live trading, Market orders are filled at a different price than what they are placed at because of the bid/ask spread. If we place a buy market order at 100, we will get filled at 101. Just as if we place a sell market order at 100, we will get filled at 99. This miscalculates all profit targets, stop-losses, and everything else calculated off our fill price... which in a backtests, makes profit targets much more likely to execute and stoloss orders less likely to execute. Thus, we get overly-optimistic back-test results which are not accounted for by a simple profit deduction (slippage setting).
I realize that these issues could be remedied with bid/ask/trade data and the extended back-testing feature, but these are a couple easily implemented features for trade only data which is much more common and makes life a lot easier.
http://www.multicharts.com/discussion/viewtopic.php?f=1&t=46638

Example:
http://www.multicharts.com/discussion/download/file.php?id=7769

Steps to reproduce this issue

Place a live or demo trade in the markets :)

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