order filling price (backtest)

[billitin]

Hi, I've noticed the following peculiar behavior of NT in backtesting: when I submit an order at bar close (CalculateOnBarClose=true), on the chart and in calculations it appears that the order got filled at... next bar's open. It may make a lot of difference if there's a gap between the bars. Is there a way to fix that?

[NinjaTrader_Bertrand]

billitin, I'm not sure I follow you, yes in backtesting this is expected as the next logical trade location is the next bar's open after the conditions evaluated to true to trigger the trade placement.

[billitin]

I'd be fine with it, except that I specify Close[0] as entry price, and instead of that in effect I get Open[next_bar] price which is algorithmically (rather than maybe logically) incorrect...

[NinjaTrader_Ben]

Hello,

I am jumping in here, but maybe you could give us details on the prices, bars and when the conditions are met and we can help you more.

Post some code as well.

[billitin]

Never mind, I've just found that EnterLongLimit doesn't have the noted problem, unlike EnterLong. Thanks!