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Volumes and filling of orders in historical tester |
RoadRunner
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Post subject: Volumes and filling of orders in historical tester |
Post rating: 0
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Posted: Thu 10 Sep, 2009, 11:12
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User rating: 3
Joined: Wed 18 May, 2011, 16:25 Posts: 331 Location: SwitzerlandSwitzerland
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I would like to better understand how filling of orders works in historical tester and how to interpret results from historical tester compared to the live environment.
This leads me to the following questions:
A) Volume What does the volume in historic data represent? Is it the sum of all executed live orders (turnover) of a period? Is it the executed orders of DukasCopy or that of one of the liquidity providers or of all of them combined? Or is it a value calculated by some means and if so how?
B) Slippage As far as I can see, orders in historical tester are always filled and closed on the current tick's price, regardless of the volume of the order. In other words, historical tester fills/closes the trades without a slippage between registration of the signal and the execution. Is this correct? If not, in wich cases would the historical tester engine split up an order into parts filled at different prices and so apply a slippage?
C) Historic datafeed Does the historic datafeed get modified for example by filtering best prices with small volumes or by merging small best orderbook positions with the next ones to show a minimum volume and thus enhance it's quality?
Thanks a lot for your feedback! RR.
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API Support
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Post subject: Re: Volumes and filling of orders in historical tester |
Post rating: 0
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Posted: Mon 14 Sep, 2009, 12:05
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17 Posts: 6139
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A) Volume of the tick is the volume of the best price, Volume of the bar is the sum of the volumes of the best prices of the ticks in the time interval B) It is correct, orders in historical tester are always executed at best price regardless of the volume C) No, it's not. All the prices in historical datafeed are best prices
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