Backtesting with market orders

[nachig]

Hello Ninjas,

i have a system that sends market orders. I have read about backtesting in Ninja for limit and stop orders, but not for market order. So, i would like to know how backtest acts for market orders. Is the order filled when price is taken, when price is crossed or backtest realizes the amounts in bid and ask in every moment?

Regards and thanks so much,

Nachig.

[ctrlbrk]

Based on my experience, market orders do not have the "same bar profit target" problem that limit orders do in backtests. This is a good thing, and means you don't have to code a fix.

But, based on my experience, market orders go off at the close of the bar, not at the ask (long) or bid (short), which would be much more likely of a true market order.

You can do a pseudo-market order by doing GetCurrentAsk() or GetCurrentBid() and place a limit order on that. However, if you do, you'll have to code a fix for the "same bar profit target" issue. You'll also run into this issue using Buy Stop or Sell Stop orders.

I've backtested a lot. A *whole* lot. And I have come to the conclusion that it is best to use market orders in backtests. Also make sure your Fill Policy is set to Default, not Liberal, for most accurate results.

Mike

[nachig]

Hello ctrlbrk,

thanks for your quick reply. One cuestion more, please. When i use a system whit simulated account in a market, are the orders sent and filled the same than real market?

Thank you very much,

Nachig.

[nachig]

Hello ctrlbrk,

thanks for your quick reply. One cuestion more, please. When i use a system whit simulated account in a market, are the orders sent and filled the same than real market?

Thank you very much,

Nachig.

[NinjaTrader_Bertrand]

nachig, with Mar****rders you just enter on the next possible price as your order hits the market, so the orders are the if you trade on the Sim101 account, but the fills can of course be different in real team live trading. For this you can add 'Slippage' to your backtest results to make sure it does not 'break' your system's edge going live.