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As I am learning the platform, I notice that if I set a GTC limit order today, the order may not get filled in backtesting even if the price low for tomorrow is well below the limit.
For example, I set a GTC limit order for SPY end of the day on Apr 5h with a limit @406. The low on Apr 6th is 405.4 and close on Apr 6th is 406.12. In this case, I didn't get a fill on Apr 6th.
Question: Is this because I only subscribe to daily data and the algorithm only checks close price? If so, is there any setting I can use to let the order filled if the low is below the limit?
Grateful Trading
Hi Ximin,
An attached backtest is ideal, if possible, so we can dive in and help. Are you able to do that?
Otherwise, I would check to make sure the order is actually submitted and active during the following day. As I understand it, a submitted GTC limit order is independent of algorithm updates. It's treated as if submitted to the brokerage, so will fill when the price gets to limit price.
Xinmin Cai
backtesting attached. Logs are below:
2021-04-05 00:00:00 : Launching analysis for 15339d85396f674cf6bf86154f13413d with LEAN Engine v2.5.0.0.11504 2021-04-06 00:00:00 : 2021-04-06 00:00:00: Open:403.49, Close:406.36, High:406.94, Low:403.38 2021-04-07 00:00:00 : 2021-04-07 00:00:00: Open:405.83, Close:406.12, High:407.23, Low:405.41 2021-04-08 00:00:00 : 2021-04-08 00:00:00: Open:405.95, Close:406.59, High:406.96, Low:405.45 2021-04-08 00:00:00 : Algorithm Id:(15339d85396f674cf6bf86154f13413d) completed in 0.51 seconds at 0k data points per second. Processing total of 32 data points.Xinmin Cai
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