 Posted 9/27/2010 13:41:49
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I am seeing incorrect prices in back-testing when a bar gaps past the trigger of a stop. When I run a system with multiple products, Rightedge gives me a fill at the trigger. When I run with just one product though the fill is (how I want it) at the open of the next bar.
For example, if a product is trading at 100, and I place a stop to get long at 105, but the next bar opens at 110, I will get the following:
1) A fill at 110 if I am only have that product checked for backtesting
2) A fill at 105 if I have more than one product checked for backtesting
Any clarity as to why this occurs would be appreciated.
Thanks,
Brian
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Posted 9/27/2010 21:30:44
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The behavior depends on whether the bar is the first bar for the day or not. If 110 is the open price for the day, then the price gapped up while the market was closed and the order will be filled at 110. For intraday bars, we assume that the price would move smoothly from the close of one bar to the open of the next bar, so in that case it would be filled at 105.
So the way RightEdge decides whether to gap or not is to keep track of the most recent date it got a price for each symbol, and when it gets a price from a new date, orders can be filled with the "gap" logic.
Probably what is happening is that you have Synchronize Bars turned on, and adding another symbol to the system is causing empty bars to be created so that the bar for the time you are looking at is no longer the first bar for the day.
Thanks,
Daniel
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