Using the Strategy Wizard all backtests are based on "Calculate On Bar Close". Unless I am missing something this seems to result in some real issues with reliability of the back test. When I do realtime testing I am getting order rejections with comments like "cannot have limit price smaller than current bid" when all I am doing is trying to sell at the high of the previous bar.. very frustrating and still not entirely sure why the system doesn't then sell "at market" seeing as the current bid is a better price than the limit price it tried to sell at.
If I were to pay for historical tick data would this solve the issue and get the backtest to incorporate all of these situations?
It was very frustrating to build a system that was robust and profitable based on backtesting and then find in realtime the strategy wouldn't execute.
I might add this was based on an FOREX system, again if a Futures system would be better i'm happy to go that route
Thanks
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