Execution Price

[Oil_Trader]

Just to clarify If I have the Bid Ask Last database, can I determine the execution price to be whether Bid Ask or Last?

Or is this by default what are the settings?

[NinjaTrader_Bertrand]

Oil_Trader, are you talking about backtesting or Market Replay / Realtimetrading?

[Oil_Trader]

I am asking with regards to backtesting with Strategy Analyzer.

[NinjaTrader_Bertrand]

Per default the Last is used in backtesting, you could though create a MultiSeries strategy and then submit orders to the dedicated Bid / Ask series to create more realistic fill assumptions.

[Oil_Trader]

When it fills with the "last price"...does the volume correspond as well?

Ex: I send a LONG market order for 100 contracts.

11:30:04am Last 90.01 x 40
11:30:05am Last 90.02 x 60

how does the Strategy Analyzer calculate the fill price for 100 contracts?

Does it just fill with the 90.01 price?

Does it average with the 2 prices to fill the entire 100 contracts?

[NinjaTrader_Bertrand]

Oil_Trader, you can look into the fill type used in the bin > custom > type folder to see the logic per order type - for a market order the fill is assumed to be the open of the next bar :

if (order.OrderType == OrderType.Market)
{
if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover) // set fill price
FillPrice = Math.Min(NextHigh, NextOpen + SlippagePoints);
else
FillPrice = Math.Max(NextLow, NextOpen - SlippagePoints);
}