While I do have historical bid and ask from my data provider, I understand that by default, NT7 uses the "Last" data when backtesting. To make my backtest more realistic, I would have to always buy at the ask price and sell at the bid price. Well, I think doing this may be complicated.
First, I would have to add a few data streams, e.g.
Add(Symbol1, PeriodType.Minute, 1, MarketDataType.Ask); Add(Symbol1, PeriodType.Minute, 1, MarketDataType.Bid);
Third, I don't think I'd be able to use SetProfitTarget and SetStopLoss properly, as they probably use only the primary DataSeries (please do correct me if I'm wrong). So if I used the ask stream to get long, now I'd need the bid data series to sell (close the position).
Finally, if I run my strategy for multiple instruments, these complications increase tenfold. I don't want to hardcode the instrument name into the strategy.
Should I use the "Unmanaged approach"? Am I unnecessarily complicating things here? Why doesn't NT7 handle the bid/ask issue internally? I understand that not all data providers support historical bid/ask - but the fact is that some do.
Thanks in advance for your help!
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