backtesting: order not filled
Posted: Mar 10 2010
Hello,
in my backtest , i have intrabar order generation enabled
for 1 min 6EH0 bars.
Each script call is written to a logfile [LOGFILE] (see below).
Also each action.
As you can see, my mc script initiates a short trade at 1.510000
the script command is:
SellShort ("Short") NbrContracts contracts next bar at 1.510000 limit;
But this order gets not filled (marketposition remains 0), but it should because a subsequent tick
is above my limit [The Tick] (see below).
[LOGFILE]
01.12.2009 11:36:00 Short open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82 price=1.510000
01.12.2009 11:36:00 TICK open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82
01.12.2009 11:36:00 TICK open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82
01.12.2009 11:36:00 TICK open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82
[The Tick which should cause simulation to fill order]
01.12.2009 11:37:00 TICK open=1.510200 close=1.510200 high=1.510200 low=1.510200 #=83
01.12.2009 11:37:00 TICK open=1.510200 close=1.510200 high=1.510200 low=1.510200 #=83
...no fill
Anyone know, why my limit order was not filled, even market goes over
its limit price ?
(# for barnumber)
thank you
in my backtest , i have intrabar order generation enabled
for 1 min 6EH0 bars.
Each script call is written to a logfile [LOGFILE] (see below).
Also each action.
As you can see, my mc script initiates a short trade at 1.510000
the script command is:
SellShort ("Short") NbrContracts contracts next bar at 1.510000 limit;
But this order gets not filled (marketposition remains 0), but it should because a subsequent tick
is above my limit [The Tick] (see below).
[LOGFILE]
01.12.2009 11:36:00 Short open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82 price=1.510000
01.12.2009 11:36:00 TICK open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82
01.12.2009 11:36:00 TICK open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82
01.12.2009 11:36:00 TICK open=1.509800 close=1.509800 high=1.509800 low=1.509800 #=82
[The Tick which should cause simulation to fill order]
01.12.2009 11:37:00 TICK open=1.510200 close=1.510200 high=1.510200 low=1.510200 #=83
01.12.2009 11:37:00 TICK open=1.510200 close=1.510200 high=1.510200 low=1.510200 #=83
...no fill
Anyone know, why my limit order was not filled, even market goes over
its limit price ?
(# for barnumber)
thank you