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Yep, quite true, it would give him what he wants- - but it will also
eliminate all those trades that just touched the price and would have been
executed. But you can't have it both ways.
Regards, Jack.
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, October 18, 2004 11:56 AM
Subject: Re: Backtest ideas ?
> >Hi Alex: Unless I am not understanding Sudhir, he is concerned that
even
> >though backtesting will indeed show a fill occuring when the price is
> >touched, as you say, in real trading no such fill may occur. Thus he is
> >trying to code his system to backtest a limit fill on a crossover, which
> >would most likely ensure a fill. Anyway, that's what I think he means- -
>
> If that's the case, he can just set a limit order 1 pip away from where
> he wants it. Then any fill would be a fill on a crossover of his
> intended limit price.
>
> -Alex
>
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