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Open Bug report MC-2131

Day and GTC TIF selection in fill assumptions is incorrect

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Description

The "DAY" fill assumption in MC10 is correct for all fills.
The "GTC" assumption is wrong and redundant.
Please remove this TIF option from the backtesting options and default behaviour to "DAY".
The INTRADAY changes to fill assumptions are all correct, which is great. But fills when the open of a new session gaps through a limit order are now only correct when "DAY" is selected.
There shouldn't be an option for TIF on fill assumptions as its effect on fills is beyond the scope of MCs backtesting engine (theoretically, GTCs will slightly increase fill priority in correlation with order book prevalence).
As it currently stands the GTC assumption will potentially cause large outlier losses (that are incorrect) on certain strategies. As it is the default fill assumption in porftolio trader, it has rendered it completely unreliable.

Steps to reproduce this issue

Please see attached the incorrect behaviour. If we have a buy limt order @49. Then market closes at 50. Then opens (new session) and 48. The fill is ALWAYS at 48. Never at 49.

Comments (2)
#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Nov 07, 2016 - 13:59

This functionality is optional.

#0
user-offline.png  Daenerys (Guest)
Nov 07, 2016 - 14:20

Hi Alex,
This is not optional in portfolio trader. The default is the mickey mouse illogical GTC assumption (and using fill on touch is even more incorrect!).
Henry informed me today that a fix will be on the next 10.0 release (not beta 2).

History
Issue basics
  • Type of issue
    Bug report
  • Category
    Usability
  • Targeted for
    MultiCharts 10.0 (RELEASED)
  • Status
    Released
  • Priority
    Not determined
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Reproducability
    Not determined
  • Severity
    Critical
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