Diagnosing Unfilled Orders in Backtests and Simulations

Summary

This troubleshooting note addresses simulated stock positions that remain unsold at the end of a strategy, leaving residual holdings and distorting reported returns. It identifies two execution settings to inspect: the permitted fill-rate limit and the strategy’s order quantity relative to the security’s actual traded volume on that day. A low fill-rate allowance or an order larger than available volume can prevent some trades from completing, including intended sales.

For the platform’s HFTrade module, the note mentions a volume-limit setting that can be configured during initialization. It does not provide a broader execution model, evidence from a worked example, or guidance on choosing realistic limits. The suggested configuration should therefore be treated as a platform-specific setting to investigate, not as proof that all orders will fill or that simulated returns will be accurate. The core lesson is to account for volume constraints and incomplete fills when interpreting backtest results.

Key ideas

• Residual positions can arise when simulated orders fail to fill, which can make total-return figures inaccurate.
• Check the configured fill-rate limit when trades remain incomplete.
• Compare order size with the instrument’s actual traded volume for the day.
• The note describes a platform-specific volume-limit setting but gives no general rule for choosing its value.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.