Limit Order Execution Assumptions
Revision as of 16:39, 13 February 2013 by Andrew MultiCharts (talk | contribs) (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...")
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 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.
