Stop Orders on 1 Hour Backtest - Filling price

Ok so I've tracked one of the orders where the filled price is way below the stop price.  It seems like everything is working 100%.  The stop loss is registered correctly but executed price is way below the actual stop loss.

My only conclusion to this is that there is some kind of slippage algortihm dependent on volume for the candle that is simulating slippage  ?  Is this correct ?

Hi Franky

The stop market orders are executed at the end of the next bar (i.e. end of the current hour) if your stop price is reached in the previous bar. Even though your stop loss condition is met, the backtest cannot trade when there is no trade occurs (haven't received the bar of the current hour).

If your stop market order is liquidating long position, the stop order will execute when the current bar is received if the lowest price of the stock in the previous bar is below your stop price. Similarly, for liquidating short position except in this scenario, the trigger would be the highest price in the previous bar is higher than your stop price. However, in live trading, your stop order would still be placed when the previous bar was received, and that should be filled much quicker.

Since the bar data is only available when the whole bar is completed, this will not be a real-time action. We'd recommend using higher resolution like minute or second to reduce chances of delay price action for accurate backtesting.

Best,
Louis Szeto

Hi Louis,

Thanks for the reply.

I understand the fact that the order can only be executed when the bar is completed.  I'm not too worried about that as I don't execute more than one trade per bar.  What I'm trying to understand is the price at which the market order gets filled.  It seems like there is some algorithm or something that is factoring in slippage as sometimes the orders get filled at a very different price to what the stop loss was set.  Do you have any info on this ?  I don't think the order gets filled with the close/open price (which would be very disappointing if that was the case) as most of the times the order fill price is correct according to the stop.

Hi Franky,

The filled price of your stop order would be your stop price, given it must be within (bid) high/low of the trade/quote bar (default will be quotebar bid, if quotebar is not available, tradebar will be used), just the time of execution will be displayed as the end of the bar. This is triggered by trade/quote bar's (bid) low is below your stop price. You may use orderEvent.FillPrice in OnOrderEvent method to compare with your variable stop loss. The last trade bar and quote bar can be retrieved by the following code in OnOrderEvent:

var secutityCache = Securities[orderEvent.Symbol].Cache;
try{
    var quoteBar = secutityCache .GetData<QuoteBar>();
    // compare price here
}
catch{
    var tradeBar = secutityCache.GetData<TradeBar>();
    // or compare price here
}

We've attached a backtest for your reference.

Best,
Louis Szeto

Hi Louis,

I'm still having issues where a Stop Market Order “price” and “fill price” are not the same during a backtest some of the times.  See below.  Any idea how to troubleshoot this ?  My only guess is some form of slippage algorithm but my understanding is QuantConnect does not use slippage in backtests.

Hi Franky

Would you please tell us which day and time in that result coming from? Since the result of our testing is fine. Maybe you can also check the current bar to see if the high price is 1101, so that 1101 is already the best stop when reaching the stop price.

Best,
Louis Szeto

Hi Louis,

There are many many examples I can show you.  Bars where this happened:

30 April 2018 04:00
5 May 2018 21:00

etc… …

I only observe two scenarios:

- The stop market fills at the given price (which is correct)
- The stop market order fills at the close of the bar (this does not make any sense)

Technically there should be a third one where some slippage model is used to simulate slippage.  I don't see that happening.

Hi Franky

The default slippage model is no slippage. A custom slippage model could be created to try to model the reality slippages. You may also create a custom fill model to control the filling behavior of the stop orders.

Best
Louis Szeto