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Direct MessagesDate/Time: Thu, 19 Sep 2024 22:03:40 +0000
Post From: Trading Spreadsheets FX and precision
| [2014-02-26 12:03:47] |
| MotoMoto - Posts: 47 |
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I was doing some testing in FX using SC FXCM data. Using SC v1097, and using SIM (but not replay) As I was getting right down to some tick data to try some things, I noticed a few issues with precision that I had not noticed before, and used this an example in order to really see what happens. While I follow there are issues with some data feeds, and that there are also occurrences whereby the bids and offers need to be surpassed/bettered for certain orders to be traded. However - This instance seems to be one regarding precision.(for want of a better word) It might be particular to spreadsheets and FX, but I just wanted to clarify a few things regards limit orders. ............... This is a fairly simple test. Buy if the blue line swings up.Exit if it swings down I set $j$71 Buy Entry: Order Type. M=Market,L=Limit,S=Stop,SL=Stop-Limit,MIT=MarketIfTouched (read/write): $j$71 = “l” $j$72=”M” and Limit or Stop Price - Buy Entry (K) (read/write): $j$22 = E3+$j$21 Basically - when there is a trigger to buy, buy at the trigger price + 1 tic as a limit order. 1 - attached is a chart of what happened. Trade 1 - The limit order on the first trade seemed to make sense. 2 bars passed before the limit order was filled.The prices where approximately correct given its FX and there is some rounding. Trade 2 - this seemed to send a limit order of 4 tics above the trigger price. This then causes other calculations to be slightly off (in the chart Point 3 shows the blue line where it should be, but the thin green line is where the trigger is calculated off the actual entry. (all fine, except the actual entry should be at a limit order) 2 - attached is also a blown up version to show the actual trigger prices. (Note: the sell order at market was fine - sell at market means market.) Basically - I thought there might have been issues regards, the spreadsheets being a little slow, hence the trigger price and the limit price moves, but this did not make sense, OR maybe its FX and SIM trading via FXCM, OR something to do with 1 tic range bars - maybe I am missing something else? I would have thought a limit order should be sent AT THE PRICE (plus one tic) that the green arrow is showing - the last price for that bar - regardless if the bar is a range bar or not. Or is something extra missing. (I also have have the system set to only trigger on bar close) Thanks. Date Time Of Last Edit: 2014-02-26 13:06:04
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