When I run my backtest on 1 minute bars instead of getting fills at my limit entries the backtest has my orders filled at the high when long and the bottom when short. What trouble may cause this and does this represent my order sitting on the bid/offer and maybe not filling?
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Hello vt2009,
Some items to keep in mind when reviewing the historical fills of a back test:
· During a backtest you can select conservative or liberal fill algorithms which will produce different results. Fills are determined based on 4 data points, OHLC of a bar since that is the only information that is known during a backtest.
· During simulation using real-time live market data or Market Replay, the fill algorithm is dynamic in that it uses incoming market data (both price and volume) to determine if an order should be filled or not.
· During real-time live brokerage trading, orders are filled according to market dynamics.
For more information on this behavior, please review the following link on this topic:
ChipNinjaTrader Customer Service
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