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backtest work around CalculaitonOnBarClose

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    backtest work around CalculaitonOnBarClose

    I have a strategy with unmanage order with EnterLongLimit() on a support level, if price touch the level but close above. the order will not be executed.

    Would you have a way to work around the CalculationOnBarClose = false issue so that order can be execute on the level when backtesting a strategy?

    #2
    er111222, you could try submitting the order to a finer series to simulate getting an intrabar fill -

    You can submit orders to different Bars objects. This allows you the flexibility of submitting orders to different timeframes. Like in live trading, taking entry conditions from a 5min chart means executing your order as soon as possible instead of waiting until the next 5min bar starts building. You can achieve this by

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      #3
      In ES the strategy use 1 range bar chart, it touch the level and close 1 tick above it, so EnterLongLimit has no fill. So there is no way to work around this?

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        #4
        Guess I'm not sure what your asking exactly here - to clarify : a limit order that is only touched does not have to fill - with the default fill algorithm it would need to trade through to fill this type of order, you can use here the liberal fill algorithm provided as well to getting filled on touches in your backtest, however don't expect that to be happening live every-time...

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