- ago
Is there documentation on the Dummy Broker? At the moment, I'm curious on how it handles things like Limit/Stop orders. For example, let's say I'm running a "60 Minute" strategy on the Dummy Broker that uses a "Stop Loss" block. If a huge price drop occurs 5 minutes after the start of the bar, will the Dummy Broker trigger the Sell at that precise time? Or will it wait until the 60 minute period ends, and simulate the result like a backtest?
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Cone8
 ( 24.80% )
- ago
#1
It appears to me that the time frame is irrelevant and that orders are processed against partial daily bars at least several times each minute, with the frequency decreasing with an increasing number of symbols. Consequently, the dummy broker currently can't be used to trade an intraday system properly or realistically (currently).
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Cone8
 ( 24.80% )
- ago
#2
I reviewed this again In response to a related topic.

Here's the way it's currently set up in WL8:
The Dummy Broker uses data from the Streaming Provider's companion History Provider for data. The Streaming Provider is selected in the Order Mgr's toolbar. The Dummy Broker polls frequently (every few seconds) for the current Daily partial bar - a snapshot - whose Closing price is used as the current quote to fill an order.

This is fine for Market Orders, but because the data isn't checked continuously, it's possible that you'll miss Limit and Stop triggers that "touch and reverse" in between the data requests. (In the case of Limit orders, this isn't all that bad in my opinion. In live trading, you'll frequently be left out of orders that touch and don't go beyond your limit price.)

In any case, this is the limitation of Dummy Broker, however, contrary to what I posted before, intraday trading should work fairly well - certainly good enough to become familiar with Auto-Trading. For the best results, select a Streaming Provider whose companion history provider returns data that is not-delayed.
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