I am back testing a strategy on multiple data series.
Primary data series: 150 tick
Secondary data series: 1 tick
I am generating all my entry signals in 150 tick data series and executing them as market orders in 1 tick data series. Can you please conform the below order of execution steps are correct or not and correct me if I am wrong.
Example: current testing tick: 150
I have all the code written in OnBarUpdate method in the below order.
1. BarsInProgress =0, will generate the entry signal (current tick 150, 150th tick last price is 1390)
2. BarsInProgress =2, will issue a EnterLong() market order(current tick 150, 150th tick last price is 1390)
Will this order gets filled @ 150 tick with the price 1390 or will it get filled @ 151 ticks last price @1390.25?
In the initialize method I have Slippage=1; and also set the slippage to 1 in back testing properties.
When I verified my results looks like slippage is not applied to the results.
How do I make use of slippage property in this strategy modal with market orders?
Thanks,
gsreddy
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