I'm backtesting this on 1 minute bars and my fills have some slippage.
Q1: Is this slippage an artifact of using 1 minute bar test data or for some other reason? Q2: If I run the strategy live on 1 minute bars should I expect to get filled at the limit order price or at the nearest 1 minute bar close?
Here's an example of how I'm using ExitLongStopLimit:
Given: a longLimitEntry = 1.0000 and PriceTarget_1 = 0.0050
exitlong_1 = ExitLongStopLimit(0, true, quantity, ((longLimitEntry * (1 + PriceTarget_1))), longLimitEntry * (1 + PriceTarget_1), signalName, fromEntrySignal);
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