Diagnosing Unfilled Sell Orders in Tick-Level Backtests

Summary

This community post describes a problem with sell orders that do not fill during a tick-level backtest. The author reports trying several order-price choices, including the latest tick price, a stop order, a zero price, and a price four units below the latest price. The accompanying log shows a long position opened during the session, followed by repeated attempts to force-close it near the end of the trading day.

The post does not provide an answer or a confirmed cause, so it is best read as a troubleshooting case rather than a solution. It does not specify the instrument, order type semantics, tick data fields, backtesting engine settings, or fill model, and it reports no completed exit or diagnosis. The examples illustrate that changing a submitted price alone may not resolve a simulated fill issue; investigating the engine's order and matching behavior would require details absent from the post.

Key ideas

• The author reports that multiple sell-order price choices failed to produce a fill in a tick-level backtest.
• The log shows a long position followed by repeated forced-close attempts near the session end.
• The post supplies an observed problem but no confirmed diagnosis or resolution.
• Instrument details, matching rules, order semantics, and fill-model settings are not provided.

Tags

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