I have 2 systems, one which is stock system that trades market orders
you would think that system would have slippage and not be so easy to duplicate, but the realism and slippage things are 99% and 100%
then i have a forex system that pretty much almost always makes limit orders non market entries and exits, should be easy to duplicate system perfectly, as its eurusd which has massive liquidity at all times.
yet the realism and slippage are 58% and 72% ?
i know from experience the 2nd system would be much easier to duplicate exactly, and have pretty much zero slippage.
Yet c2 sees it the opposite way, what is causing this? does the algorithm favor market orders?
Saul,
Many people have asked these types of questions regarding limit orders before including myself when I noticed that there are often delays of several minutes between the time C2 shows a limit order fill on the hypothetical results and the time my actual fills occurred on my TB/IB setup. Here is the explanation I received from Matthew:
"C2 is constantly looking for fills of limit orders. We’re not a stock exchange though, so unless a real-life autotrader reports to us the order as filled, we are forced to continually check the quote feeds every so often to see if an order has filled since the last time we checked. That can often times mean every few minutes or so.
In this case, there was a limit order which was “just touched” but did not trade through. Someone in the market enjoyed that limit fill, but it wasn’t you. Had you been filled, your TB would have alerted C2, and we would have noticed the fill immediately. But in this case, you were not filled, and it was C2 that noticed at 10:59:13 the fill that should have occurred at 10:55. We reported this to your TB and your Tb filled.
There’s not much we can do about this other than trying to limit the cycle time between fill checks (which we try to do through various mechanisms). But as you know, there are thousands of stock symbols being traded, and so there is some latency in recognizing just-touched fills. (Fills that “trade through” will be known instantly, since one of our autotraders will get filled and report this to C2.)
Fill recognized by C2: 10:59:13
Fill reported as filled by your TB: 10:59:24
Fill time displayed on C2 page: 10:55 (but fill recognized at 10:59:13)"
For many people, including myself, this is hard to accept and I wish there was a better solution - Karl
