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Stop Limit Order Functionning (Malfunctioning?)

Hi,

I made a simple backtest to illustrate my point: I sent a stop limit order to buy EURUSD with a limit 100 pips greater than my stop price. I get a fill at the limit price, when the expected should be at the stop price plus slippage.

I would also like to comment on the Demo at 

github.com/QuantConnect/Lean/blob/master/Algorithm.Python/OrderTicketDemoAlgorithm.py

where it sends a buy stop order with limit price below the stop price, which is rarely the use case.

Regards,

Jonas.

Update Backtest








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Hi Jonas,

We've created an issue in GitHub and will be working to implement a solution soon. You can track its progress here to view updates. The demo algorithm has been updated and we are pending a pull request to finish the updates in GitHub, which you can view here.

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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.


Update Backtest





0

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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