when backtesting and using limit orders I am finding that if the candle immediately following the order passes through my EntryPrice then the order triggers correctly. However, if the price backtracks and goes no where near the EntryPrice the order is still filled at either the high or the low of that candle, whichever is closest.
Attached is an example of 2 trades, one triggering correctly and the other incorrectly.
My strategy uses the following;
EnterShortLimit(Convert.ToInt32(DefaultQuantity), EntryPrice, "Short Trade");
TraceOrders output shows the order always requesting the correct limit price, however this is not always filled correctly.
Thanks in advance for your help.
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