What software can perform correct Market Order backtesting

Discussion in 'Automated Trading' started by maxima120, Dec 28, 2009.

  1. I havent done much of system development but I thought I might give it a go...

    And I found that a lot of obvious things arent that obvious on the market of systematic trading software....

    My question here is - what software

    a) is able to generate signals on 1 TF (say1min bars) and simulate order fill during backtests on next tick (not next bar).

    b) has and is able to use ask/bid data to simulate correct market order fills at best Bid/Ask (not at Last)

    Ninja7 does good job for a) but b) unfortunately is missed
  2. I use Sierra and all my programs use market orders. Although most of my programs run 1 hr time bars and they fill at bar close. What I would do is if you are running a lot of intraday trades is to get Seirra then just sim it with a live feed and check the results. Then replay it at the HIGHEST resolution and see if they fill the same way.

    I would guess they fill at almost the exact bid/ask, although how many are on each side, and how much volume you trade will affect those results of course.

  3. Thanks! I will try it tomorrow.

    I am talking 1 lot size for testing purposes...
  4. Dont worry about how many are on each side then of course. You can DL Sierra for a trial I believe, the MODS are pretty nice too as well as most of the members if you have problems etc..

  5. Cool thank you!