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OOPS! that should be a minus sign in the following:
From:
Buy_Price = Buy_Price + PriceAdj; { Buy_Price = 4.50 + 0.01 }
TO:
Buy_Price = Buy_Price - PriceAdj; { Buy_Price = 4.50 - 0.01 }
Sorry, coffee did kick in yet.
Roger...
-----Original Message-----
From: Roger D. Rines [mailto:rdrines@xxxxxxxxxxx]
Sent: Saturday, May 29, 1999 11:38 AM
To: John Niem Jr; Omega List
Subject: RE: Limit Orders in backtesting unrealistic on tradestation
Consider applying a "x Point" variable pad to your orders to simulate
the market requirement.
For example, if you wanted to "Buy Sugar at 4.50 Limit" the order
might process like this:
PriceAdj = 1 * MinMove; { 1 * 0.01 }
Your Buy_Price variable might change as follows:
Buy_Price = Buy_Price + PriceAdj; { Buy_Price = 4.50 + 0.01 }
Buy at Buy_Price LIMIT;
Roger...
-----Original Message-----
From: John Niem Jr [mailto:djnj@xxxxxxxxxxxx]
Sent: Saturday, May 29, 1999 9:42 AM
To: Omega List
Subject: Limit Orders in backtesting unrealistic on tradestation
It appears that the back-testing of my signals that involve LIMIT
orders are
often "FILLED" when it reached the price on the bar although it
hasn't gone
THROUGH it. This is unrealistic as I may not be getting a fill in
real
life. Is there anyway to make Tradestation to only give a fill when
the
price action moves THOUGH the limit price intead of just TOUCHING it?
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