Pending orders filled with very large slippage in backtesting
Pending orders filled with very large slippage in backtesting
18 Jun 2016, 11:29
Hi everyone,
I am testing an algo, which places a number of pending stop orders. I then use order label to match it to opened positions to know when an order is filled. I noticed that in backtesting I occasionally get very large slippage for the orders - almost 10pips! This is extremely strange and makes the whole platform quite unusable. I have tried cleaning the backtesting cache as you suggested in one of the forum posts. Any further idea? Here is an example - testing against GBPUSD for the period 09/05/2016 - 16/05/2016, my original pending order was this:
ID=283; label=Order328; Sell/Stop 10,000@1.44484; TP=1.44084/40pips, SL=1.44784/30pips
Find the position using Positions.Find(order.Label, Symbol, order.TradeType)
Open position: ID=284; label=Order328; Sell 10,000@1.44385; TP=1.44084, SL=1.44784
By the time this happens I have already placed a few hundreds of orders at different levels, possibly close to 1.44385 as well, but with different labels. Could it be that your internal cache mixes up orders/positions? I am quite sure my labels are unique.
Thanks!