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Hello,
I am backtesting a strategy where there is stop loss orders. I am backtesting the future contract “/ZN” and always using the contract that is about to expire.
After Logging prices, I found that 1 second difference can move the bid/ask price significantly. As in attached screen shot which is the main reason for this slippage. Notice Bid changes in 1 second from 10.53 to 108.48
Does this mean that there is an issue with the data quality as this pricing doesn't seem realistic?
Thanks,
Ahmed.
Louis Szeto
Hi Ahmed
I've taken a look at the data and it seems fine. Future market does not always have a lot of market participants, so the jump can be large when a first bid/ask is fully filled. Probably you could leave a buffer for a more conservative stop loss price.
Best
Louis
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Ahmed Sobhy Khattab
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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