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.
Jack Simonson
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.
Jonas Fagundes
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