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
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