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 Post subject: backtesting problem
PostPosted: Thu Mar 21, 2013 12:09 pm 
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Joined: Wed Aug 08, 2007 6:32 pm
Posts: 224
Hi,
When using limit orders and back testing OQ is creating fills even when the trade data shows that the price never traded. It appears to be an issue where new bar is published and registers a fill but the price has never traded. Has anyone else experienced this problem. I can post the data if needs be. Is the solution to turn off OnBarfill and use only OntradeFill.


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 Post subject: Re: backtesting problem
PostPosted: Fri Mar 22, 2013 10:48 am 
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Joined: Wed Oct 08, 2003 1:06 pm
Posts: 833
Hi,

Yes, if you have a tick data it is always a good idea to turn FillOnBar off. Besides, there can be a problem with bars described here:
viewtopic.php?f=64&t=9789&hilit=BarFilter

Regards,
Sergey.


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