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Order behaviour when backtesting with Quote data
http://www.smartquant.com/forums/viewtopic.php?f=44&t=10263
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Author:  drolles [ Sun Jul 22, 2012 1:26 pm ]
Post subject:  Order behaviour when backtesting with Quote data

Hi,

Could I please check some order basics with OQ when using Tick / Quote data?

When using FX quote data (pulled down from IQFeed) to backtest I’m using Limit orders to get into positions. I want to check that I’m using LimitOrder in the right way.

If I want to put a Limit order above the market to go short I would do it in the following way:
Code:
LimitOrder(OrderSide.Sell, psize, RoundToTick(Instrument, (GetBars(timeframe).Ago(0).High + Instrument.TickSize)), "Short Entry");
And this order would not be executed until the Bid had risen until it was above "GetBars(timeframe).Ago(0).High + Instrument.TickSize", is that correct?

Thanks and regards,

drolles

Author:  Baraz Sergey [ Mon Jul 23, 2012 9:57 am ]
Post subject:  Re: Order behaviour when backtesting with Quote data

yes, this is correct if you have FillOnQuote=true and FillOnBar=FillOnTrade=false.

Regards,
Sergey.

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