You NEED to add a setting to your Strategy Analyzer that will let it:
1. Fill orders at whatever the price was at the moment the order signal was generated. Not at the opening price of the following bar or following tick.
2. Same as item 1, but must fill on Bid/Ask data if the user has Bid/Ask data. Especially Bid/Ask data that happened in between Last ticks and on Last ticks (if the user has this data).
3. Your Strategy Analyzer's Chart needs to have the same features as your regular chart (such as buttons in the GUI that can be used to display BID/ASK data, multiple instruments and so on.)
PERIOD!
I'm sorry to be harsh, but not having these features is just downright irresponsible and reckless. I can't image how much money your users have lost due to the misleading backtests results the lack of these features has caused.
I've been in the industry a while and am actually in the process of writing a letter to the CFTC suggesting they require all commercial trading/backtesting software have the above mentioned features 1 and 2 to prevent retail traders from misunderstanding backtest results.
SFT-132 does seem like a good idea.
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