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Date/Time: Tue, 26 Nov 2024 13:24:05 +0000
Post From: How are entry/exit Price calculated for MKT orders on Historical BackTest?
| [2014-04-29 11:57:38] |
| Israel Gottlieb - Posts: 14 |
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I have a simple AutoTrade system (trade signals based on MACD & Stochastic) that uses MKT orders only; it also executes such orders only on Bar Completion (sc.GetBarHasClosedStatus() == BHCS_BAR_HAS_CLOSED). When running a backtest on historical data, the fill prices don't seem to follow any clear pattern; they certainly do not (consistently) correspond to the CLOSE of the bar where filled. What algorithm is used to determine the fill price? Is it documented? Further, the date for entry/exit given in Trade Activity is often 1 bar prior to the one where the entry/exit signal occurred. (I checked this by logging all trade signal data for each Autotrade iteration.) Why?? In some cases, the fill price is identical to the CLOSE of this prior bar, where the trade signal could not possibly have been recognized yet. (Again, documentation??) Thanks Much, IG |