Ive created a strategy that places limit on open orders on about 300 stocks but im only being filled on about 30 although my backtesting tells me I should have been filled on all 300. How can this be? Pls help, thx
The assumptions in your backtest are wrong or the limit prices going out to the market are differing from the backtest due to a bug. If your limit price is more aggressive than the open price then you will get filled. If your limit price equals the open price then you won't necessarily get filled. This might be where some of the differences arise
And one more thing I just thought of. Make sure you're using the correct open prices. You could be using the consolidated open price which and not the exchange open price at which you have your limit orders. So if you're sending orders to NYSE make sure you're using the NYSE open print and likewise with Nasdaq. Otherwise the open price you're looking at is borderline useless for determining whether you should get filled.
dinn made good points. the last one would be the market is reacting to your limits and pricing you out. it happens.