Backtester fills Limit Orders in a different price on lowest time frame
Backtester fills Limit Orders in a different price on lowest time frame
18 Aug 2022, 22:41
Dear Spotware,
I went through the same trades o cTrader 4.1 and 4.2.20 to see why balance curves are different. Found out that backtester on 4.1 handles wrongly limit orders on the lowest time frame (1 min bars from csv as an input). Backtester on 4.2.20 is better than 4.1. However, there are still bugs on 4.2.20. I will skip 4.1 since it is obsolete. And focus on 4.2.20.
On 4.1 we can see that the limit order was created with volume 197000 (I use 4.1 here, because this information is not available on 4.2.20 for some reason?). Limit order entry price is 1.1101 and SL is at 1.11509 - I believe these numbers are coming from cBot.
Now I refer to 4.2.20 :
This limit order is filled at 1.1131. Entry price was 1.1101, filled at 1.1131, where did I get extra 30 pips jump to fill the order ?
SL by design was at 1.11509, for some reason SL is moved to 1.11810. Looks like SL was moved higher due to 30 pips jump on entry price ?
Replies
PanagiotisCharalampous
19 Aug 2022, 08:18
Hi there,
Can you share the cBot you are using to get these results?
Best Regards,
Panagiotis
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@PanagiotisCharalampous
userUser
18 Aug 2022, 22:47 ( Updated at: 21 Dec 2023, 09:22 )
RE:
Also, by design every trade is risking $1000 +/-1%.
This rule is respected in 4.1 (first screen).
But this rule is not respected in 4.2.20 (second screen). On 4.2.20 the error gets up to 300%. And this is the same 197k volume order described in the post above.
@userUser