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
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. GL
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.. GL