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 Post subject: Random Fill Probability
PostPosted: Thu Sep 21, 2017 11:56 am 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 208
Dear Team,

I am looking into a solution, at which I would want to be able, to set a % probability, that an order, where the limit price is only touched, not trades through (for a long order, where the market ticks below the entry) get filled. The idea is, to make the Backtest more realistic.

Is there a way, that I could set this?
If not, would that be possible that you include this functionality, in the execution provider?

Or do you have any other idea, how I could implement this, with coding my own execution provider? What I cannot get my head around, how can I check not report a fill back. Do I need to access the data then from FileServer to check, if an order is filled, or how could I implement this?

Regards
Mike


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PostPosted: Thu Sep 21, 2017 2:48 pm 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 392
Hello mikembb,
the feature will be added in next release.

Properties for ExecutionSimulator:
UseProbability true/false
Probability values between 0 and 1


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PostPosted: Thu Sep 21, 2017 11:17 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
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thanks. that is promising.

Is there a way, that I can have an instrument strategy, which have a different fill probability for each market then?

Or would I need to create a new strategy for each instrument and then assign a unique execution provider to each?

Regards
Mike


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PostPosted: Fri Sep 22, 2017 9:29 am 
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Joined: Wed May 05, 2010 9:49 pm
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Perhaps unique ExecutionProvider will be better in your case.


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PostPosted: Fri Sep 22, 2017 11:44 am 
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Joined: Tue Oct 13, 2009 12:19 pm
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What does that mean? That I code one myself?

Would you mind sharing your code base for the execution provider so that I have a good starting point to ammend?

Thanks
Mike


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