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During historic calculation MultiCharts .NET emulates the movement within the bar, tick by tick, upon which the order can be filled. The emulation of the price movement within the bar, by default, is executed with the '''[[Intra-bar Price Movement Assumptions]]''', upon all possible ticks.
Where the price moved at the beginningmoves after Open, towards High or Low of the bar, is specified by the proximity of Open to High or Low: if Open is closer to High, then ticks the price movement will be emulated (upon '''[[Intra-bar Price Movement Assumptions]]''': ) as Open –> High -> Low -> Close, or: if Open is closer to Low as Open –> Low -> High -> Close. At all the sectors of it, all possible ticks are calculated with the minimum price step.But in real-time the emulation with [Intra-bar Price Movement Assumptions] does not occur, every tick, received from the data source, is used.
To emulate the price movement within the bar more precisely, and to be more precise on historic calculation to real-time calculation, there is Bar Magnifier mode in MultiCharts .NET. To enable Bar Magnifier mode, select Strategy Properties, at this dialog window, click on Backtesting tab and select Use Bar Magnifier at Backtesting Precision section.
Using this mode, a Limit order will be filled upon Limit price and better, only if there will be the price on the bar that is better than the Limit by specified number of points.
<div style="background-color: #E5F6FF;padding: 10px">'''Example 1:'''
Parameters of the symbol MinMove= 1, PriceScale=0.01, Backtesting Assumptions –classic, when the volume is always enough for the Limit application execution (Fill limit order when trade takes place at limit price or better) or Fill limit order when trade price goes beyond limit price by 0 point.<br>
Let’s try to fill Sell Limit order with the price 12.44 on the bar with the prices: Open=12.23 High=12.45 Low=11.05 Close=11.96.:<br>Then, check <ol><li>Check if the order can be filled at Open. As Since Open < Limit price, then this order cannot be filled at this the Open price.<br></li>Let’s see, <li>Check if the order can be filled at all the ticks from Open (12.23) to High (12.45), as Open os is closer to High, than to Low.<br>
<br>
12.23 – does not satisfy.<br>
…<br>
12.43 – does not satisfy.<br>
12.44 – does not satisfy this order. This satisfies, order is filled at this price 12,44.<br><br></li></ol>
</div>
<br><div style="background-color: #E5F6FF;padding: 10px">'''Example 2:'''
Parameters of the symbol MinMove=1, PriceScale=0,01, Backtesting Assumptions – lack of volume emulation for the immediate Limit order filling (Fill limit order when trade price goes beyond limit price by 2 points).<br>
Let’s try to fill the Sell Limit order at the price 12.44 on the bar with the prices: Open=12.23 High=12.45 Low=11.05 Close=11.96.:<br>1. <ol><li>Check, if it is possible to to fill the order can be filled at Open. As Since Open < Limit price, then the this order cannot be filled at this the Open price.<br></li>2. <li>Check, if it is possible to fill the orders order can be filled at all the ticks from Open (12.23) to High (12.45), as Open is closer to High , than to Low.<br></li><br>
12.23 – does not satisfy.<br>
12.24 – does not satisfy.<br>
…<br>
12.43 – does not satisfy.<br>
12.44 – the price satisfies, but the order will be filled at this price only in case, if the price on the given bar is better by 2 points.<br>12.45 – the price satisfies the order, but it is only one 1 point higher than the Limit price(we need 2 points higher). The order at 12.44 is not filling yet.<br>3. Let’s check <br><li>Check if the order can be filled at the sector of the movement from High->to the Low of the bar. <br></li><br>12.45 – the price satisfies the order, but it is only one 1 point higher than the Limit price(we need 2 points higher). The order at 12.44 is not filling yet.<br>12.44 – the price satisfies, but the order will be filled at this price only in case, if the price on the given bar is better by 2 points.<br>
12.43 – does not satisfy.<br>
…<br>
</ol>
So, the order on this bar cannot be filled according to the chosen Limit orders execution emulation settings.
[[Category:4. Understanding PowerLanguage .NET]]
