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I did some backtesting today and noticed that with Market Orders I get fill prices that often times can't possibly be right because there are differences of 3, 4 or even more pips from the open price of the candle where it is supposed to be near at.
So, with this
ticket = MarketOrder(symbol, 1000);
Debug("Fill Price: " + ticket.AverageFillPrice);
I get fill prices way too far away from where they should be. I mean, I am working with EURUSD, the most liquid forex pair out there with only a micro lot, there shouldn't any notable slippage or whatever.
What is going on here? Is this due to QuantConnect modelling in fees and slippage? But even then, this is often too much.
Alexander Müller
Maybe I should say that I am working with 3 minute consolidated bars. Does this have to do something with the phenomenon I described above? At what time is a market order actually placed? At the opening of the candle?
Dan Kim
Wow this reply comes almost 4 years later, but here are my thoughts:
Yeah, I think it's basically due to slippage. In the market, there are tons of limit orders at different prices. When you make a large order, it's often not possible to trade every item in the order at the same price because there simply are not enough people on the other end of your order wanting to trade at the price you want to trade.
What I currently suspect is happening is that your order is being filled with a cascading series of prices and what's being reported as the fill price is the average price your order was filled at. I'm actually currently looking into this.
Dan Kim
Actually,
Quoting Alexandre in the post here:
“The default fill model uses L1 data to fill the orders with higher-frequency data (e.g. minute).”
So it could be the fill model doing this.
Alexander Müller
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