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Hi For some reason, the order stop is not getting filled.
I cannot imagine any reason, except of missing exchange rates or security data, so that it fakes the backtest....
For information, get is no such gap in the security as you can see in the screenshot
Not sure if this is a bug or just lack of data, so I report it here
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Erik Bengtson
Let me just reword myself:
For some reason, the order stop is getting filled too late, like if it was a gap of 1K in prices.
There order placed is a long, with a tight stop order, but it does not get filled at the price, but later with a GAP of ~1k
I cannot imagine any reason, except of missing exchange rates or security data, so that it fakes the backtest....
Erik Bengtson
I downloaded the data and confirmed my assumption. Between 12-12 and 15-12 there is no data available, thus the gap.
Petter Hansson
Hello Erik,
the default fill model for stop fills is fairly pessimistic. It assumes you will get the worst price of the stop and the current price at that datapoint. Still, it's a good idea to ensure your algo is profitable under this behavior.
Erik Bengtson
Petter, I will keep that in mind. Suggestions are welcome ;-)
Petter Hansson
If nobody has answered by end of the week then I'll have a look, I'm too spread out at the moment. ^^
Erik Bengtson
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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