What's the benefit of the intra-bar granularity sample?

[tradefaz]

The sample found here: http://www.ninjatrader-support.com/v...ead.php?t=6652

I am not clear on the benefit. If you're getting your signals from the 5 minute bar, what purpose does submitting the order on the 1 minute bar serve? Wouldn't the order be submitted at roughly the same time if you had just done it on the 5 minute bar?

[NinjaTrader_JoshP]

The sample is for backtesting. In backtesting you can't submit an order until the next bar. This poses a substantial gap between entry signal and order time if your bars are 5min bars. Having intrabar granularity allows you to mimic more closely how it would behave in realtime by submitting orders to say the 1min bars.

There is not as much use in doing this in realtime since you can simply use CalculateOnBarClose = false in realtime.

[tradefaz]

The sample is for backtesting. In backtesting you can't submit an order until the next bar. This poses a substantial gap between entry signal and order time if your bars are 5min bars. Having intrabar granularity allows you to mimic more closely how it would behave in realtime by submitting orders to say the 1min bars.

There is not as much use in doing this in realtime since you can simply use CalculateOnBarClose = false in realtime.

If you have 5 minute bars that calculate on close, and you get an entry signal at the end of the 1st bar, isn't the entry made at the open price of the 2nd bar, which should begin at 5:01?

[NinjaTrader_JoshP]

Without intrabar granularity:
5:00 = 5min signal bar
5:05 = trade bar
earliest possible Exit() = 5:10

With intrabar granularity:
5:00 = 5min signal bar
5:01 = trade bar
5:02 = earliest possible exit (aside from profit target/stop loss)

[tradefaz]

Without intrabar granularity:
5:00 = 5min signal bar
5:05 = trade bar
earliest possible Exit() = 5:10

With intrabar granularity:
5:00 = 5min signal bar
5:01 = trade bar
5:02 = earliest possible exit (aside from profit target/stop loss)

Right but the 5:05 tradebar the entry is made at the open of that bar, which almost always is the same as the close of the previous bar (entry signal bar).

Maybe I'm missing something. Also, will this be necessary in NT 7?

[NinjaTrader_JoshP]

The entry is not the issue. It is the benefits in exiting. Again, this is only for a seemingly more realistic backtest result and has limited implications for real world trading.

[tradefaz]

The entry is not the issue. It is the benefits in exiting. Again, this is only for a seemingly more realistic backtest result and has limited implications for real world trading.

In other words this would be one way to simulate the OnMarketUpdate() during backtesting, if you would set the 2nd bar to be 1 Tick series?

[NinjaTrader_JoshP]

Essentially yes. Keep in mind that 1 tick time frame takes a ton of computing resources though.