Stop order fills

[Dhalsim]

I have some automated strategies which when traded live are not matching up with backtest data.

Yesterday my auto strategy had a stop order waiting to be filled. My order was a short at : 1156.90 on the Russel. However, price never reached this point and i was filled at 1157.00.

This does not make sense?? Is it possible that Interactive Brokers pushed my order to give me a better fill price??

 

[Baron]

I have some automated strategies which when traded live are not matching up with backtest data.

Yesterday my auto strategy had a stop order waiting to be filled. My order was a short at : 1156.90 on the Russel. However, price never reached this point and i was filled at 1157.00.

This does not make sense?? Is it possible that Interactive Brokers pushed my order to give me a better fill price??

If there were no sellers at 1156.90, or right around that area, then perhaps that's why that price level got skipped over and you were next in line.

 

[ProfiForex_Victory]

This usually what happens when there is a very fast and sharp movement the price of a commodity. At the specified price, your order could not be executed, perhaps a slippage has occurred.

 

[gwscan]

I have some automated strategies which when traded live are not matching up with backtest data.

Yesterday my auto strategy had a stop order waiting to be filled. My order was a short at : 1156.90 on the Russel. However, price never reached this point and i was filled at 1157.00.

This does not make sense?? Is it possible that Interactive Brokers pushed my order to give me a better fill price??

Are you saying that the low tick was 1157.00? If it was then I don't understand how a 1156.90 stop could be set off. 1157.00 low means there a re still bidders at that price no? ...or at least not enough offers to trade 1156.90...Excuse me if I'm missing something.

 

[Hate2Lose]

I have some automated strategies which when traded live are not matching up with backtest data.

Yesterday my auto strategy had a stop order waiting to be filled. My order was a short at : 1156.90 on the Russel. However, price never reached this point and i was filled at 1157.00.

This does not make sense?? Is it possible that Interactive Brokers pushed my order to give me a better fill price??

Are you sure? Not sure they'd do that intentionally!


How do you know it didn't hit the price? If you're looking at a charting package, some aren't 100% accurate - you would need to look at time and sales data from the exchange. Perhaps it did hit.


Anyway, looks like it worked out for you so I wouldn't complain!

 

[dom993]

I have some automated strategies which when traded live are not matching up with backtest data.

Yesterday my auto strategy had a stop order waiting to be filled. My order was a short at : 1156.90 on the Russel. However, price never reached this point and i was filled at 1157.00.

This does not make sense?? Is it possible that Interactive Brokers pushed my order to give me a better fill price??

I would say that your datafeed did not report the transaction(s) at or below 1156.90 ... if you are using IB as your datafeed, look no further, they routinely miss reporting high & low ticks, by the very nature of that datafeed.