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Limit Order Execution Assumptions for Portfolio Backtester

203 bytes removed, 13:27, 3 August 2021
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There are 4 different variants:
# Chart Instrument 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 Instrument 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 Instrument 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># Chart Instrument 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.
Since '''MultiCharts 11''' it is possible to specify '''TIF''' (time in force) for '''Backtesting Assumptions''' in Portfolio. At is specified by default depending on the moment only 2 TIFs are available: '''GTC''' and '''DAY'''selected option.To specify the TIF right-click on the strategy in When '''Portfolio Tree''' and choose '''Show PropertiesFill limit order when trade takes place at limit price or better'''option is selected, GTC (Good-Till-Canceled) will be set. Then go to '''Backtesting''' tab and select <br>When '''Fill limit order when trade price goes beyond limit price by X points'''option is selected, and then the selection of TIFs DAY time in force will be activatedused. For other backtesting orders GTC is used by default.
[[Category:Portfolio Trading]]