Limit Order Execution Assumptions for Portfolio Backtester: Difference between revisions

← Older edit

Limit Order Execution Assumptions for Portfolio Backtester (view source)

Revision as of 13:27, 3 August 2021

285 bytes added , 3 August 2021

no edit summary

KateMultiCharts

Bureaucrats, Administrators

1,312

edits

@@ Line 2: / Line 2: @@
 Portfolio Backtester works with all prices between Open, High, Low, Close of a bar, [[Intra-bar Price Movement Assumptions|assuming that all these prices are real]], since '''[[Bar Magnifier]] feature is not available for Portfolio Backtester'''.
-Limit order execution behavior for backtesting can be modified in the '''Backtesting''' tab of '''Strategy Properties''' window. To open this window, make a '''right-click on "Strategy 1" ''' and select '''Show Properties...'''.
+Limit order execution behavior for backtesting can be modified in the '''Backtesting''' tab of '''Strategy Properties''' window. To open this window, make a '''right-click on "Strategy 1" ''' in Portfolio Tree and select '''Show Properties...'''.
 There are 4 different variants:
-# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.</div>
+# Instrument resolution is 1 tick. Backtesting Assumptions is set to '''Fill limit order when trade takes place at limit price or better'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.</div>
-# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 125.
+# Instrument resolution is 1 tick. Backtesting Assumptions is set to '''Fill limit order when trade price goes beyond limit price by 3 points'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 125.
-# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.</div>
+# Instrument resolution is '''not''' 1 tick. Backtesting Assumptions is set to '''Fill limit order when trade takes place at limit price or better'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.</div>
-# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 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.
+# Instrument resolution is '''not''' 1 tick. Backtesting Assumptions is set to '''Fill limit order when trade price goes beyond limit price by 3 points'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 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.
-[[Category:Portfolio Backtester]]
+TIF (time in force) is specified by default depending on the selected option.
+When '''Fill limit order when trade takes place at limit price or better''' option is selected, GTC (Good-Till-Canceled) will be set. <br>
+When '''Fill limit order when trade price goes beyond limit price by X points''' option is selected, DAY time in force will be used.
+For other backtesting orders GTC is used by default.
+[[Category:Portfolio Trading]]