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Forums>StrategyQuant (formerly named Genetic Builder)>Feature Requests>[IMPORTANT REQUEST!] Limit orders – Fill when Touched/Exceeded = MUST BE IMPLEMENTED INTO SQ4!

  • #115481 |
    Karish
    Customer
    578 Posts

    @Mark @tomas262

     

    This feature must be implimented into SQ4!,

    As Kevin Davey explains in the following video, he explains that his trading platform (TradeStation) got a feature to backtest Limit order Fill when touched/Exceeded

    he explains that to have a more accurate backtest with Limit orders it is better to use the option: Limit order Fill when Exceeded

    that means when the price exceeds the limit order price by few ticks/pips (would be great if we can choose that value also*) it will have much more realistic approach rather then using Fill when touched.

     

     

    please check the following video:

    https://www.youtube.com/watch?v=CqmlQrWp9mQ

    start watching from 30:34!

     

    here also some more info about this:

    https://www.youtube.com/watch?v=zQlowjJDdZk

    start watching from 27:40!

    #138991
    Customer
    402 Posts

    I guess the same goes for Stop orders. And thats why “trade on bar open only” gives more reliable results. SQ3 also clearly have the problem explained on video nr 2 (timestamp 31:13). At least for us Ninjatrader (data) users it is hughe problem.

    #192236
    Customer
    57 Posts

    @Mark @tomas262

    This feature must be implimented into SQ4!,

    As Kevin Davey explains in the following video, he explains that his trading platform (TradeStation) got a feature to backtest Limit order Fill when touched/Exceeded

    he explains that to have a more accurate backtest with Limit orders it is better to use the option: Limit order Fill when Exceeded

    that means when the price exceeds the limit order price by few ticks/pips (would be great if we can choose that value also*) it will have much more realistic approach rather then using Fill when touched.

    please check the following video:

    https://www.youtube.com/watch?v=CqmlQrWp9mQ

    start watching from 30:34!

    here also some more info about this:

    https://www.youtube.com/watch?v=zQlowjJDdZk

    start watching from 27:40!

    +1

    AndrEAs

    #192406
    Administrator
    755 Posts

    Hello,

    this is part for SQ3 already for testing using NinjaTrader engine (default / liberal fill) but the same logic could be added for other platforms in SQ4 I think. Will forward this to Mark

    #192449
    Administrator
    3116 Posts

    Guys, thanks for suggestions. As far as I remember now by default it works in a way that stop order is activated when price is touched and limit only if it is exceeded.
    But it depends also on trading engine, NinjaTrader handles it differently than MetaTrader.

    We can make this configurable, in any case, we are developing our trading engines to match the respective trading platform, so it should behave as same in SQ.

    Mark
    StrategyQuant architect

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