Difference between revisions of "Limit Order Execution Assumptions"
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(Created page with "Limit orders are filled at a specific price or better (for long better = lower, for short better = higher). In backtesting MultiCharts either works with all prices between Ope...") |
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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 | + | Limit orders are filled at a specific price or better (for long better = lower, for short better = higher). |
| + | In backtesting MultiCharts works: | ||
| + | * Either with all prices between Open, High, Low, Close of a bar, [[Intra-bar Price Movement Assumptions|assuming that all these prices are real]]; | ||
| + | * Or with specific prices only, when 1 tick resolution is chosen or [[How Signals are Calculated|Bar Magnifier]] is used. | ||
Limit order execution assumptions can be modified in the '''Backtesting''' tab of '''Strategy Properties''' window. | Limit order execution assumptions can be modified in the '''Backtesting''' tab of '''Strategy Properties''' window. | ||
There are 4 different variants: | There are 4 different variants: | ||
| − | # Chart resolution is 1 tick or Bar Magnifier of any resolution is enabled. | + | # 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> |
| − | # Chart resolution is 1 tick or Bar Magnifier of any resolution is enabled. | + | # 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. |
| − | # Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. | + | # 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> |
| − | # hart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. | + | # hart 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. |
[[Category:Backtesting]] | [[Category:Backtesting]] | ||
Revision as of 16:47, 13 February 2013
Limit orders are filled at a specific price or better (for long better = lower, for short better = higher). In backtesting MultiCharts works:
- Either with all prices between Open, High, Low, Close of a bar, assuming that all these prices are real;
- Or with specific prices only, when 1 tick resolution is chosen or Bar Magnifier is used.
Limit order execution assumptions can be modified in the Backtesting tab of Strategy Properties window.
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.Example: Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.
- 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.
- 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.
- hart 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 @ 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.
