Why Close-Price Limit Orders Can Be Canceled in Daily Backtests
Summary
This forum exchange explains a common execution issue in daily-bar backtests. A trader submits a sell order using the current bar’s closing price, but the order is evaluated for execution on the following day. Since the next opening price may differ from the submitted limit price, the order can remain unfilled and appear canceled or failed. The close used in the order is therefore a price constraint, not a guarantee of a future fill.
The reply suggests submitting a more aggressive limit price, offset from the current close by a configurable percentage, to improve the chance of execution. That approach trades price certainty for fill probability: it may secure a fill at a less favorable price, and it still cannot guarantee execution under all market conditions. The exchange is brief and does not specify the backtesting engine’s exact matching rules, fees, slippage, or order lifetime behavior. Readers should check how their simulator processes daily bars and limit orders before drawing conclusions from its order statuses.
Key ideas
- A daily backtest may evaluate a close-price order against prices available on the next day.
- A limit order’s submitted price constrains execution and does not ensure a fill.
- An aggressive price offset can improve fill likelihood while accepting worse execution prices.
- The discussion does not document simulator-specific matching rules or provide empirical comparisons.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.