StrategyAnalyzer: Limit Orders filled very often at better price

[nicanor.babula]

Hi there,

Is it normal to have in backtest limit orders often filled at a better price (but always with 1 tick) even though I enabled "Fill limit orders on touch" and also enabled "Enforce immediate fills"?

My trader colleage is very worried about this.

Please see the following screenshot:

http://take.ms/ydUF7

Thanks a lot!

[NinjaTrader_PatrickH]

Hello nicanor.babula,

Thank you for your post.

This would not be expected based on the settings in the screenshot. Can you test the attached strategy in the Strategy Analyzer and advise if the same behavior is seen on the Limit Orders that fill?

I look forward to your response.

[nicanor.babula]

Hello,

Thanks for your answer.

No, your strategy doesn't have that issue, but you're using the managed orders mode.

I'm using unmanaged.

Please advise.

Thanks

[NinjaTrader_PatrickH]

Hello nicanor.babula,

Thank you for the additional details.

I will run some tests on my end and follow up with you here.

[NinjaTrader_PatrickH]

Hello nicanor.babula,

Thank you for your patience.

Are the orders filling at the same time as positions are open from other orders? This could explain the average price being the average of two filled orders.

I tested my very basic strategy as Unmanaged and still did not see the item you saw. Attached is my Unmanaged version.

Please let me know if you are able to confirm the average price is due to a position already existing.

[nicanor.babula]

Hi Patrick,

Thanks for your time.

No, our strategy only opens a strategy at a time. It only opens positions when flat.

I'm running it on CL.

I'll test your strategy and come back with results.