Order Execution sequence

[fiddy]

if on a five or one minute chart that has a range as follow
Low - 100
High - 110
Close -110

If you have a EnterShortLimit order at 110 that upon execution via the on execution method triggers a ExitLongLimit order at 105, will backtesting show this as a filled??even though we cannot determine if in fact the subsequent order would have been filled in during that particular bar as we don't know if the market retraces during the period to the lower level.

If this is the case, how can you get around this? I assume that the only solution would be to go down to tick data

[NinjaTrader_JC]

Hello fiddy,

You are correct, in that you would want a lower time frame or intrabar granularity to know a more detailed price action of bar. If using a 5 Minute bar you may add a 1 Minute bar to help fill your orders, or if you are using a 1 Minute Bar, you may use a second granularity to help fill your orders.

We have an example of how to Backtest a strategy with intrabar granularity that you may view for reference at the following link.

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

Let us know if we can be of any further assistance.