Backtest order fills at Ask\Bid?

[Ironleg]

Hi
I know that last price is used on backtest results, but what is the point of having separate Ask and Bid price based options in NT7?
why can't you execute Long orders at ask price and short at bid prices by default that would give accurate results or atleast let user define the spread so on execution of 100k EURUSD the PnL would go to -10 if spread of 1 was defined

The problem is if I go long 100,000 EURUSD in real market with spread of 1pip the order PnL on execution will be -10 straight away, becuase executed at Ask, right!
but in backtest if I do the same I get PnL 0 on execution, becuase executed at last price, right?
in frequent trading strategy this would add up
So how can I make sure that my strategy orders gets executed at Ask and Bid prices on baktest?

[NinjaTrader_RyanM1]

Hello Ironleg,

If you have this series available, then you should be able to submit orders to it.

You have to add manually data type Ask/Bid in Initialize:
Add("ES 09-10", PeriodType.Minute, 10, MarketDataType.Ask);

You can then submit orders to this BarsInProgress with the advanced overloads:

EnterLong(int barsInProgressIndex, int quantity, string signalName)

[Ironleg]

Hi Ryan, thank you for replying so fast.
Let me get this, if I use two symbols to trade in my strategy, then I will need to

Add(Symbol1, PeriodType.Minute, 1, MarketDataType.Ask);
Add(Symbol1, PeriodType.Minute, 1, MarketDataType.Bid);
Add(Symbol2, PeriodType.Minute, 1, MarketDataType.Ask);
Add(Symbol2, PeriodType.Minute, 1, MarketDataType.Bid);

then on signaI I will submit
EnterLong(1, 100000, "Enter long at ask price");
or
EnterShort(2, 100000, "Enter short at bid price");
???

can u recommend a provider that provides ask bid feed, does Kiniteck do that?

[NinjaTrader_RyanM1]

Yes, that should work.

Unfortunatley I don't have a list currently of those that offer bid / ask data in this format. For broker connections: It would be those connections where NinjaTrader records historical data - such as Zenfire, Gain. For data service providers - it should be offered if they supply level II data.

Yes, it is available with the kinetick connection.

Before designing a strategy around this type of data, you should definitely chart it to see what it looks like compared to a chart based on last prices.

[naxo79]

Hello Ironleg,

If you have this series available, then you should be able to submit orders to it.

You have to add manually data type Ask/Bid in Initialize:
Add("ES 09-10", PeriodType.Minute, 10, MarketDataType.Ask);

You can then submit orders to this BarsInProgress with the advanced overloads:

EnterLong(int barsInProgressIndex, int quantity, string signalName)

If you submit entry long orders to ASK dataseries and corresponding exit orders to BID dataseries.
Will the backtesting engine properly count these fills at BID and ASK to reflect reality better than just the normal backtest executing everything on bid, when IB forex is in question.

[NinjaTrader_RyanM1]

Hi naxo79,

Yes, if you have historical bid/ask data then you can add it to your strategy and submit orders to it. These series are functionally identical to a last series only they are built from bid/ask data. You could add all three series (bid, ask, last) to the same chart if you wanted to see how they look together.