I am using 1500 tick data series as primary data series and added 1tick data series in my strategy.
Using 1500 tick data, I am generating entry/exit signals and executing the entry and exit signals in 1 tick data series as market orders in back testing once the price touches entry/exit price.
Results look good, but not getting enough confidence to move forward and make changes to strategy to go Live.
Planning to generate an extensive report with below columns
Volume and ticks traded at entry price, one tick below and above entry price before the price moved to profit target or stop.
Volume and ticks traded at profit target, one tick below and above profit target before the price moved to stop price or new entry.
Are there any available indicator or strategy report that shows this level of information at entry price and profit targets?
Do I need to include any other information to quantify % fill using limit entry/profit target price with respect to market orders?