Limit Order Execution Assumptions

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Limit orders are filled at a specific price or better (for long better = lower, for short better = higher). In backtesting MultiCharts works:

Limit order execution behavior for backtesting can be modified in the Backtesting tab of Strategy Properties window.

There are 4 different variants:

  1. Chart resolution is 1 tick or Bar Magnifier of any resolution is enabled. Backtesting Assumptions is set to Fill limit order when trade takes place at limit price or better.
    Example: Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.
  2. Chart resolution is 1 tick or Bar Magnifier of any resolution is enabled. Backtesting Assumptions is set to Fill limit order when trade price goes beyond limit price by 3 points.
    Example: Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 125.
  3. Chart resolution is not 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to Fill limit order when trade takes place at limit price or better.
    Example: Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.
  4. Chart resolution is not 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to Fill limit order when trade price goes beyond limit price by 3 points.
    Example: Generated order: sellshort limit @ 121; order is filled @ 124 if 124 price is between High and Low; order is not filled at all if there is not 124 price between High and Low of the bar.
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