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Hi Alex: Unless I am not understanding Sudhir, he is concerned that even
though backtesting will indeed show a fill occuring when the price is
touched, as you say, in real trading no such fill may occur. Thus he is
trying to code his system to backtest a limit fill on a crossover, which
would most likely ensure a fill. Anyway, that's what I think he means- -
Sudhir?
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, October 18, 2004 9:31 AM
Subject: Re: Backtest ideas ?
> Sudhir,
>
> > I am testing a strategy on forex data. The strategy works
> >in short term (15 min bar) so the prices of entry and exit are
> >calculated and limit orders are placed on next bar. The problem I
> >am facing is the limit price can be highest or lowest of the next
> >bar. Since the price did not cross my limit price there is no
> >guarantee of the fill.
>
> Limit orders don't work that way. The price doesn't need to cross
> your limit price. Touching your limit price is sufficient.
>
> Here's a quote from the TS2000i EL reference manual. Note the
> phrases "at or under" and "at or over."
>
> "The statement 'Buy next bar at 100 limit' opens a long position
> during the next bar at the first price available at or under 100.
> Similarly, the statement 'ExitShort next bar at 50 stop' closes a
> short position during the next bar at the first traded price at or
> over 50. It is possible for stop and limit orders not to be filled
> (i.e., price never reached); in this case, the orders are canceled
> at the close of the bar."
>
> > To test this now I want to check that on the bar where I am
> >entering / exiting the price did cross my limit price and high /
> >low was more / less atleast by 1 pip . IF it didn't then I dont
> >want to take it as valid entry or exit and then system should look
> >for entry / exit on next bar.
>
> According to the manual, you don't need to check for crossing. If
> the price either touches or crosses your limit price, the order will
> be filled.
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> // __) Unicorn Research Corporation -- http://unicorn.us.com
>
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