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Open Bug report MC-2378

Backtest and live trading is not consistent

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Description

Hi guys

There seems to be a difference between automated trading and the back test engine in terms of the messages passed to the strategy regarding orders being filled/cancelled/rejected. The Environment.CalcReason seems to always reflect Default in back testing with all the options checked in the Strategy Properties under "Recalculate on Broker Events". Additionally, none of the "OnBroker****" methods are fired either. While the manual does point out this distinction on p. 65 it not quite clear why that is the case and why the developer should be burdened with two different execution paths in a strategy to handle this discrepancy, one for back testing and another for live trading.

The back test engine should simulate the broker as best possible and as such should raise these events irrespective of whether the strategy is running in a back test or live. I believe this is also an issue with the TradeManager API and OCO orders looking at other issues logged. It would be good to smooth out these issues in order to bring the back test more in line with what would happen in a live trading scenario. This obviously also applies for the portfolio back testing. Thank you in advance for feedback.

Kind regards
Ettienne

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Comments (1)
#1
user-offline.png  MultiCharts Support (MultiCharts)
Jan 31, 2018 - 04:57
Hello Ettienne,

Backtesting cannot simulate broker activity and events. To have it simulated please use a Sim or Demo account from any of the supported brokers or the prebuilt Paper Trader broker profile simulator.
Changes:
  •   icon_status.pngStatus changed: Under Review => Not a bug
  •   icon_milestone.pngMilestone changed: Not determined => Declined/Not a Bug/Will not Fix/Cannot Reproduce/Duplicated
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