Order Quantity and GAPs

[tbmuc]

I want to backtest an EOD strategy and asking myself how to handle GAPs when calculating the order quantity. When OnBarUpdate() is executed, the Open-Price of the next bar is not yet available. A quantity calculation based on Close[0] may be wrong in case of GAPs. Is there a way to pass the amount of money instead of the quantity to the order functions. A limit is not a solution, because the trade shall be executed even if the limit is not reached again.

[NinjaTrader_AdamP]

tbmuc,

Which order functions are you using?

What do you mean by "pass the money instead of quantity" here?

I look forward to helping you resolve your issue.

[tbmuc]

I ' m using e.g. EnterLong and want to buy Stocks for a fixed amount, e.g. 10000$.
When I calculate quantity=10000/Close[0] and there is a GAP of 3%, the quantity shall be reduced by 3%.
Im looking e.g. for a funktion, that has a currency as pasameter EnterLong(10000$);

[NinjaTrader_AdamP]

tbmuc,

Unfortunately there is no way to currently do this. You would need to perform the calculation for the quantity using some other method.

You could try using a COBC = false strategy and then separate logic by tick and by closing of the bar, then submit an order on the 1st tick of a new bar, checking for Close[0] then.

http://www.ninjatrader.com/support/forum/showthread.php?t=19387

Please let me know if I may assist further.

[tbmuc]

Does that work for backtesting long periods (e.g. EOD data)?

[NinjaTrader_AdamP]

tbmuc,

Unfortunately you would need intraday data for this.

http://www.ninjatrader.com/support/forum/showthread.php?t=6652

Please let me know if I may assist further.