Difference between revisions of "Limit Order Execution Assumptions for Portfolio Backtester"
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There are 4 different variants: | There are 4 different variants: | ||
| − | # | + | # 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> |
| − | # | + | # 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. |
| − | # | + | # 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> |
| − | # | + | # 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. |
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| + | TIF (time in force) is specified by default depending on the selected option. | ||
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| + | 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. | ||
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| + | For other backtesting orders GTC is used by default. | ||
[[Category:Portfolio Trading]] | [[Category:Portfolio Trading]] | ||
Latest revision as of 13:27, 3 August 2021
Limit orders are filled at a specific price or better (for long better = lower, for short better = higher). Portfolio Backtester works with all prices between Open, High, Low, Close of a bar, 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" in Portfolio Tree and select Show Properties....
There are 4 different variants:
- Instrument resolution is 1 tick. 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.
- Instrument resolution is 1 tick. 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.
- Instrument resolution is not 1 tick. 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.
- Instrument resolution is not 1 tick. 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.
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.
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.
