|Order behaviour when backtesting with Quote data
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|Author:||drolles [ Sun Jul 22, 2012 1:26 pm ]|
|Post subject:||Order behaviour when backtesting with Quote data|
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:
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,
|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.
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