Backtest Handling of Trades at Price Limits and Auctions
Summary
The discussion addresses a practical gap between signals based on closing prices and orders that may be impossible to execute at a daily price limit. A trader may see a buy signal when a security opens at its upper limit, or a sell signal when it opens at its lower limit, while the corresponding order cannot be filled. The replies explain that the platform’s backtest and simulation mechanisms account for these situations rather than assuming every signal trades at the stated price.
The platform’s stated session times are 9:30 for the open and 15:00 for the close, excluding call auctions; closing trades use the closing price after the trading day ends. This description clarifies how that platform models timing and fills, but gives no details about queue priority, partial fills, or the specific price-limit execution algorithm. Treat it as platform-specific guidance, not a complete model of live order execution.
Key ideas
- Orders at an upper price limit may not fill even when a strategy signals a buy.
- Orders at a lower price limit may not fill even when a strategy signals a sell.
- The platform says its backtest and simulation account for these unfilled situations.
- Its stated trading session excludes call auctions and uses the end-of-day close for closing trades.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.