Backtests Should Cancel Orders for Suspended or Locked-Limit Stocks
Summary
The note answers how to prevent a backtest from buying stocks that cannot realistically be traded because they are suspended or locked at a one-price limit. It says BigQuant's backtesting module handles these cases by automatically canceling an order when the following day is a suspension or a one-price limit-up or limit-down session, so the order does not fill.
This describes a platform-level fill constraint rather than a strategy for screening securities before placing orders. The explanation is brief and provides no implementation details or evidence about how the simulator models other trading constraints, partial fills, or execution costs. Researchers should treat the behavior as specific to the platform described and verify its assumptions when interpreting backtest results.
Key ideas
- BigQuant's backtester automatically cancels orders when the next session is suspended.
- It also cancels orders for stocks at a one-price limit-up or limit-down condition.
- These cancellations prevent simulated fills in the stated cases.
- The note does not describe other execution assumptions or how to implement equivalent logic elsewhere.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.