Limit Orders on backtest

[gsapir]

Hi.

I'm implementing a robot that is using limit orders.
I noticed there is a checkbox called : "Fill limit orders on touch"

what does it mean exactly ?
what is the best- realistic way to test a limit-based robot ?

thanks
G

[NinjaTrader_AlanP]

Hello gsapir,

Fill limit orders on touch is going to apply to historical orders. For example, if you turn your strategy on at 9am, but had it been running at 7am, the strategy would have submitted a limit order at 2320.50, which was the low of the day and 1 contract traded at that price, its unlikely your limit order would have been filled. Thus enabling this setting would assume your strategy position was long.

Please let us know if you need further assistance.

[gsapir]

"if you turn your strategy on at 9am, but had it been running at 7am" - what ?!?!

if I turn my strategy on at 9am how it had been running at 7am ?

I didn't understand your example, can you try again with a screenshot from a backtest or a chart ?

[NinjaTrader_AlanP]

Hello gsapir,

Please see Strategy Position vs. Account Position for a better explanation of a strategy position.

http://ninjatrader.com/support/forum/showthread.php?p=19872#post19872

Please let us know if you need further assistance.

[topo54]

I have another problem - I am running a strategy in Playback mode , tick order fill .
Is working fine but often the strategy is stopped because I am not flat. I change the parameters to a slippage of 1000 ticks - still is doing the same. Sp what can I do to be sure that my limit order is filled?

[NinjaTrader_ChelseaB]

Hello topo54,

Just like when you are calling your broker and placing limit orders, there is no way to guarantee a fill of a limit order because you are not able to control the market. Limit orders fill at the specified price or better. If the price does not meet the order the order will not fill.

Use a market order if you want a guaranteed fill.

Use a limit order if you want to ensure that you get a specific price or better if the order does get filled.

Slippage can only be applied up to the distance of the high or low of the bar.

https://ninjatrader.com/support/helpGuides/nt8/slippage.htm