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Date/Time: Sun, 19 May 2024 00:28:38 +0000

Post From: Replay incorrect

[2024-04-22 14:48:43] Link To Thread - Link To Post [Go To First Post]
Julien Vieillard - Posts: 6
I apologize if my previous explanation of the issue was unclear. The problem I'm encountering is that orders are not being executed at the desired price level. I've coded a study to execute an order when the price touches the previous day's VPOC. However, when I run a chart replay to test a strategy, in 60% of cases, orders are not executed at the desired price level but rather between 6 and 7 ticks before they should be executed. For example: The previous day's VPOC is at a price of 2280.0. The current day's price opens at 2300.1. The order is executed around 2280.7 instead of 2280.0. In real trading, the order is executed at the desired price or 2 to 3 ticks later, but never before the current price touches the desired price. How can I obtain the most accurate replay possible? I hope this clarifies my issue. I would appreciate any assistance you can provide in resolving this matter.