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I am running a simple 1 hour resolution backtest. Here's an example scenario.
Say the close price of a stock is 10.
I place a Buy StopMarketOrder at 11.
Next bar the close of the stock is 12. (high: 14, low: 10.5)
Why do I get filled at 12?
Can the backtester not assume I will get filled at 11?
Or does Lean work differently and I have to use tick resolution for this to work?
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Derek Melchin
Hi John,
It fills at $12 because the fill model fills Stop Market Orders at max(stop price, close price + slippage). To adjust how orders fill, create a custom fill model and set it in the algorithm.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
John Gillespie
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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