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Tomorrow's Orders

 

 

 

 

RealTest includes several types of additional Test Output, including Orders.

After a test is run with TestOutput: Orders selected on the Settings Panel or specified in TestSettings, a new Log Window is opened showing the list of orders that would need to be placed with a broker before the open of the next day after the last date of the test. This can also be thought of as Tomorrow's Orders.

To best illustrate this feature, open the mr_sample.rts example script, and modify its TestSettings section to look like the following:

The mr_sample_common.rts script that all the other mr_sample scripts include has it's own TestSettings section. By adding one here, you can override the previously included one.

This will model a trader who started trading the strategy at the beginning of 2020 with a $100K account and needs to know what orders to place for live trading on November 18.

(In actual usage, you would leave the EndDate set to Latest and re-import the data file each day.)

After running the test with these settings, the Orders log window appears:

Please note that this is only a best estimate of what your live orders should be. There is no way for RealTest to know what your actual fill prices and quantities were when recent positions were entered, what deposits or withdrawals you've made in your account, and so on.

This pair of strategies use the MaxSetups / SetupScore technique to ensure that the number of limit orders placed each day does not exceed your available position slots. These strategies also use NextOpen as the ExitTime for their rule-based exits. These two facts are why it is possible to determine "tomorrow's orders".

For strategies that use ThisClose entries or exits, it is not possible to foresee what tomorrow's orders will be. In this case, this caveat will be indicated in the log (here demonstrated by temporarily ExitTime to ThisClose for these strategies):

Note also the "child: " orders that are added after each entry order. This is because this strategy includes an ExitLimit formula (profit target) that might trigger on the same day that a position is entered. In practice, one could place these as "child orders" with a broker, meaning the order is only activated after the parent order has been filled.

If you modify the ExitLimit formulas so they don't apply on entry day, the child orders are no longer included:

 

If a strategy uses MaxEntries with unlimited setups, the log text will include a caveat about how many fills to allow:

(etc.)

The "Tomorrow's Orders" feature can be useful to confirm that your strategies are doing what you think they are. You could also use it as a basis for live trading, though for a set of strategies with lots of orders this might be cumbersome and/or error-prone.

 

 

 

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