orderTicketX=self.MarketOrder(self.ticker1 , self.xTradeQty)
orderTicketY=self.MarketOrder(self.ticker2 , self.yTradeQty)
avgXfillPrice=orderTicketX.AverageFillPrice
avgYfillPrice=orderTicketY.AverageFillPrice
In the above code, in backtesting, I am getting the average fill price as 0. Is there something that I am doing wrong?
Apollos Hill
There's not enough information here to solve your problem.
Are you trading forex? or something denominated in less than 1 integer? like price could be 0.23333. the average of that is sometimes 0. Please post a full backtest or full snippet of code or a screenshot.
Amol gupta
I am trading MSFT and SPY. I have shared the backtest. Refer line 138-141 of code. I have tried logging in line 144, I have tried debugging. I always get 0 as avg fill price.
Javier Levy
Any update on this? I have the same issue
Shile Wen
Hi Javier and Amol,
The reason the AverageFillPrice is 0 is because according to these docs, this value is 0 if no fills have been processed for the order. This sometimes happens when an order is made outside of market hours, which we can see by the Market On Open orders in the backtest order logs.
To check if an OrderTicket has been filled, we can use the following line:
if orderTicket.Status == OrderStatus.Filled:
Alternatively, if we wanted to get rid of the Market On Open orders, we can check for if the Market is open with self.IsMarketOpen(symbol).
Both changes can be seen in the attached backtest.
Best,
Shile Wen
Amol gupta
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