What are the problems with backtesting?

[NinjaTrader_JoshP]

No, I am saying when the fill condition is met it will fill you at the limit price. If you want to figure out what is going on I suggest you just print everything from the strategy directly and you will see how things are working under the hood. You will see the price reaching fill conditions and then you will see the fills come in.

If you want different fill behavior you will need to custom program your own.

[jeffbg123]

If I have a historical data feed with full bid/ask/last ticks, then could I just run this through the market replay and apply my strategy to 3500 tick bars? Would this be the ideal way to do it?

What datafeeds support full bid/ask/last historical data?

[NinjaTrader_JoshP]

Jeff,

Market Replay only works for recorded replay files. Data providers do not offer replay files. These would have had to been recorded in real-time going forward. Once you have recorded the file, then you can move forward and use it.

[jeffbg123]

So if I have access to full depth tick data, I can parse it into a NT format and then run it through replay, and run a strategy on top of it? If so, can you point me to where I can find information about how to go through this process of parsing and running?

[NinjaTrader_Bertrand]

Jeff, unfortunately not, you would first need to record the live tick data to be able to replay it later, just like recording TV on a harddrive / VCR.

For our upcoming NT7 release, we would offer downloadable replay data from our servers for the popular futures contracts -

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

[jeffbg123]

So even if I sign up for esignal, which provides bid/ask historical data, I cannot run it through the market analyzer?

[NinjaTrader_Bertrand]

Jeff, correct as Market Replay data needs to be recorded for NT 6.5

NT7 will also offer means to incorporate historical bid / ask data, so you can submit strategy orders to the bid / asks historically by using a MultiSeries strategy.

[jeffbg123]

So if I record data or obtain market replay data, can I run strategies on that data at 500X without having to worry about the bar/timestamp issue and the 1 tick - 3500 tick issue?

[NinjaTrader_Bertrand]

Yes Jeff as with recorded Market Replay the intrabar tick formation is then known opposed to backtesting only using the OHLC values.

[jeffbg123]

And I should have no problem simulating a strategy at 500x speed with full accuracy on fills? (Meaning that if I send a limit order to buy a price above the best offer, it will fill be at the best price, etc)

And even using this technique: http://www.ninjatrader-support.com/H...?eSignalReplay I would not be able to run strategies on ESignal data without recording it in nt?

[NinjaTrader_Bertrand]

With the speed this high you would not take into consideration then delays as set for the simulation engine, but other than that it would be as trading in live simulation against our simulator providing realistic feedback -

http://www.ninjatrader-support.com/HelpGuideV6/SimulatorTab.html

[jeffbg123]

Can this be used without recording data?

http://www.ninjatrader-support.com/H...?eSignalReplay

[NinjaTrader_Bertrand]

Unfortunately not, this is an outdated NT version 5 feature.

[jeffbg123]

So are these the right steps....

I have the market replay data for ES for 12/19/09. I want to run a strategy that I have on it using 3500 tick bars. I connect to that market replay, add a new strategy to the strategy tab, and then play.

the strategy seems to be executing as it is printing out evertything it should, with two problems. 1. I don't see any of its orders showing up, nor its position, but the printouts tell me it is long or short. 2. It begins telling me it is long or short by printout before the start time I set when I added the strategy to the strategies tab.

What am I doing wrong

Thanks
-Jeff

[NinjaTrader_JoshP]

Jeff,

As you start your strategy you have what is known as a strategy position. This is not a real position. You will not see anything from there till your strategy starts trading live from the next orders.