Bug Report

TradeMingZhi
06 Nov 2021, 19:06

on 0 spread result is the same lol

TradeMingZhi
06 Nov 2021, 19:27 ( Updated at: 21 Dec 2023, 09:22 )

even if there is no buy position at all, and only the sell order it dosen't get filled??? wtf

Take profit can't be processed differently than a limit order obviously something is broken.

PanagiotisCharalampous
08 Nov 2021, 08:22

Hi Quant_Vs_Market,

Can you please provide us with the cBot source code? Please also check if this happens when backtesting using tick data instead.

Best Regards,

Panagiotis 

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TradeMingZhi
08 Nov 2021, 15:11

RE:

PanagiotisCharalampous said:

Hi Quant_Vs_Market,

Can you please provide us with the cBot source code? Please also check if this happens when backtesting using tick data instead.

Best Regards,

Panagiotis 

Join us on Telegram and Facebook

can't give source code and yes on tickdata it works fine. because:

Limit orders are only filled by Bid/Ask Of last tick or 1 min open if you're using 1 min data source.

Whereas TakeProfit orders logic takes into account max price a bar was minus spread so these are way more accurate for backtesting.

Backtesting would be sooo much more efficient and faster if it just accounted for max prices instead of looking at open Bid/Ask, basically just use same code as TakeProfit has.

because if you had a open order it makes sense you would have been filled if price went there.

PanagiotisCharalampous
08 Nov 2021, 15:17

Hi Quant_Vs_Market,

If you are using limit orders or any other logic that depends on tick data information for execution, it is not advisable to use any datasource other than tick data. The resuls will be inacurrate no matter what convention we use for the execution. 

Best Regards,

Panagiotis 

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TradeMingZhi
08 Nov 2021, 16:36 ( Updated at: 08 Nov 2021, 16:37 )

RE:

PanagiotisCharalampous said:

Hi Quant_Vs_Market,

If you are using limit orders or any other logic that depends on tick data information for execution, it is not advisable to use any datasource other than tick data. The resuls will be inacurrate no matter what convention we use for the execution. 

Best Regards,

Panagiotis 

Join us on Telegram and Facebook

I know but for my purposes it would be accurate enough since i place trades not that frequently and would make backtesting so much faster which is better in my opinion to find strategies faster rather than optimised a bit more.

may have to code my own backtesting engine then =/