How many ticks past for Equities? (filling limit orders)
Posted: Aug 09 2022
Greetings,
I feel like a big portion of my learning with MC over the years has been learning all the different ways MC can give you unrealistically good backtesting results (understanding IBOG, bar magnifier, spreads, latency, etc). I think I've eliminated many of the issues and I'm getting more realistic backtests but not sure how many ticks past I should use for filling limit orders when backtesting on equities. For futures, I usually do 1 tick past for the backtest. However, if I assumed the typical spread with the equities I trade was 4 cents, does that mean I should set the "ticks past for filling limit orders" to 4? ( I'm not doing extended backtesting with bid/ask data)
I feel like a big portion of my learning with MC over the years has been learning all the different ways MC can give you unrealistically good backtesting results (understanding IBOG, bar magnifier, spreads, latency, etc). I think I've eliminated many of the issues and I'm getting more realistic backtests but not sure how many ticks past I should use for filling limit orders when backtesting on equities. For futures, I usually do 1 tick past for the backtest. However, if I assumed the typical spread with the equities I trade was 4 cents, does that mean I should set the "ticks past for filling limit orders" to 4? ( I'm not doing extended backtesting with bid/ask data)