Limit Order Execution Assumptions for Portfolio Backtester: Difference between revisions
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# Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to '''Fill limit order when trade takes place at limit price or better'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.</div> | # Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to '''Fill limit order when trade takes place at limit price or better'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.</div> | ||
# Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to '''Fill limit order when trade price goes beyond limit price by 3 points'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 if 124 price is between High and Low; order is not filled at all if there is not 124 price between High and Low of the bar. | # Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to '''Fill limit order when trade price goes beyond limit price by 3 points'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 if 124 price is between High and Low; order is not filled at all if there is not 124 price between High and Low of the bar. | ||
Since '''MultiCharts 11''' it is possible to specify '''TIF''' (time in force) for '''Backtesting Assumptions''' in Portfolio. At the moment only 2 TIFs are available: '''GTC''' and '''DAY'''. | |||
To specify the TIF right-click on the strategy in '''Portfolio Tree''' and choose '''Show Properties'''. Then go to '''Backtesting''' tab and select '''Fill limit order when trade price goes beyond limit price by … points''', and then the selection of TIFs will be activated. | |||
[[Category:Portfolio Trading]] | [[Category:Portfolio Trading]] | ||
