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Same fills for StopMarket and StopLimit orders on range bars?

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    Same fills for StopMarket and StopLimit orders on range bars?

    Hello Ninja!

    I have run some backtests on range bars and compared the fills for the different entry order methods. My results show that I get the same fills for orders placed 1 tick above the market on Stop-Market orders and Stop-Limit orders. I would expect at difference since Stop-Limit orders shouldn't fill on touch (when property IsFillLimitOnTouch = FALSE) and thus no trades with MFE = 0 should occur for Stop-Limit orders. I have also compared the fills for entry orders methods below the market and there I do see the expected difference between Limit orders and MIT orders.
    Shouldn't there be a difference in fills between Stop-Limit orders and Stop-Market orders on range bars?

    My test was done:
    - with historical tick data in the Strategy Analyzer
    - time frame = range bars (5 ticks)
    - entry order stop price = 1 tick above market
    - property IsFillLimitOnTouch = FALSE
    - OrderFillResolution = Standard

    /Poseidon_Sthlm

    #2
    Hello Poseidon_Sthlm,

    To confirm, limit orders are requiring a 1 tick through, however, the limit price of a stop limit does not, is this correct?

    This is the confirmed behavior. From our development;
    "We don't have the 'FillLimitOrderOnTouched' concept implemented for stop limits orders. Stop limit orders simply fill at the stop limit price as long as it sits inside of the open/high of the fill bar. This is different then limits orders which have the feature to require pass through or not. "

    Feature request SFT-2321 was created for stop limit orders to be affected by slippage the same as a limit order in backtest. I have submitted your vote to this request.
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Thanks for the quick answer.
      Sorry, my misstake. I thought that the property IsFillLimitOnTouch = False also would affect Stop-Limit Orders.

      /Poseidon_Sthlm

      Comment

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