Support Board
Date/Time: Mon, 13 Jan 2025 02:24:51 +0000
Post From: Limit order Fills on Replay
| [2017-03-02 15:55:34] |
| User794640 - Posts: 33 |
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Good morning. I'm testing some strategies on CL futures market using the attached orders from the order window and a strategy coded in ACSIL. What I'm finding is limit orders are frequently getting filled at prices not possible/probable in the real market. Limit orders getting a few and sometimes more ticks of price improvements. For example: I am long CL futures 1 contract, on the attached orders screen I set it up for a bracket order of 8 tick target and 8 tick stop. I often get filled for 10 tick profits. In the real market, my limit order would get taken at the 8 ticks. I've traded manually for years and don't think I've ever had a price improvement on a limit order in a liquid market like crude. Is there a setting to force a fill at the target limit price instead of allowing price improvement? edit: I'm using the Accurate back testing system replay method of testing. I have also messed around with the "update chart internal" setting. I've tried 100 plus I've also tried down to 50. I have a fast machine with and i7 6 core CPU and fast SSD drive, 16 GB memory if any of that is helpful. Date Time Of Last Edit: 2017-03-02 16:03:48
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