OnMarketData

[cicondo]

Hey guys,

I have developed a strategy that uses a trailing stop behavior calculating ticks as a trigger. So lets say after 20 ticks from the entry price the sto should follow 30 tick the latest price. This works fine for a realtime strategy (I use the OnMarketData- Method to calculate the tick offset and distance to activate the trailing stop). But this will not work in backtesting mode because the OnMarketData method will never be called. How should I solve this problem to get a implementation that works in realtime and in backtesting the same way?

Thanks for your help
Markus

[NinjaTrader_Tim]

Hi cicondo,

Correct, OnMarketData is not called on Historical data.

Likely the most accurate way to simulate this would be with Market Replay
Market Replay in 6.5:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?Overview14

Market Replay in 7:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?market_replay.htm

More on real-time vs. backtesting:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?DiscrepanciesReal-TimeVsBacktest

[cicondo]

Optimization

Tim,

Thanks for your reply!
I have an other question about backtesting. With NT 6.5 it is only possible to optimize values in the "parameter"-section and only numeric values. Is it possible with NT 7 to optimize other data types like enums or boolean?

Thanks
Markus

[NinjaTrader_RyanM1]

Hello Cicondo,

It's possible to optimize on non-numeric values, but ultimately the optimizer will need to have a number value to work with.

Please see this strategy in our file sharing section, which offers one way to optimize based on the day of the week. You could probably adapt the principles here for other types of values.