Hi Team,

I believe some adjustments were made to how limit orders were executed on 6.2.
The problem I am having is that the backtest shows a high number of trades that were executed on the bar's high or low.
Is there a way to turn this off ? (So that if we have a limit to sell @ 13, WL will only sell if we have a bar's high > 13).

Hi Adrien,

In Preferences > Backtest settings, uncheck "Turn off limit/stop order rounding entirely".

The manual states "Applies to: Portfolio Simulation mode"
How can I turn off fills at extreme high low on raw profit mode?

You'll get the same results for 6.1 and 6.2 with RP and Port.Sim. with the rounding option disabled and with 2 Price decimal places (in both 6.1 and 6.2).

I am using 2DP.
If I turn this option off as you state, I ll get the same results because rounding is turned off and because I am using 2DP (to replicate the futures contract's tick characteristics).
So if a bar's high @ 131.13 and the order is filled at 131.13, I still have the same problem.
In live trading, this is unlikely.
If my limit order is 131.13, I only want WL to consider the limit order in the backtest if we have a higher high (eg: 131.14)

QUOTE:
If my limit order is 131.13, I only want WL to consider the limit order in the backtest if we have a higher high

Enable "Limit order slippage" (1 tick). If the instrument hasn't traded to the slippage-adjusted price, the order will not be taken. OTOH, limit order slippage doesn't adjust the entry/exit prices.

On current bar's close, our signal is generated.
The value of the MA on the close of 'bar' is our limit
order for the next bar.

Lets assume the MA valye is 32.
And I am playing for a target of 13 ticks (45).
As is stands, the backtester limit orders buys @ 32, sells at @ 45.
This is unrealistic etc.

If i add 1 tick to the 'Limit order slippage',
the new theoritical entry price will be 33, and exit, 44.
This will give 2 ticks away, for every trade.
However, this doesnt act as a solution.
And because the have extremes have exceed the new limit adjusted prices, we have a trade.

However, the solution iam looking for would be no trade.
The limit is 32 and should stay at 32.
Only if we have a below 32 should out long be activated.

If the limited adjusted solution doesnt work, can this be hard coded ?
So the limit orders executed in this way.

If your limit is 32 and the low is 32 WLD has to fill your order in the backtest. What else should it do? You should manage opportunity cost with slippage instead. There is just no other way I can think about.

If my limit is 32, I would like WL to buy at 32 if we have a low lower than 32.
Like: buy@limit on ghost bar if the low of ghost bar is lower than desired limit price.

The slippage solution adversely adjusts the entry and exit price by 1 tick for every trade - I think.
and with a scalping system which only goes in for a few ticks, these workaround massively effects the
results.

Am I understanding the slippage option correctly?
Is there any way to trick WL's limit order function into executing on the ghost bar at the desired limit provided the limit price (not limit adjusted price) is breached ?