How exactly is Market Order fills calculated during a backtest?

[StockStalker]

I have a strategy which submits a market order at the close of a bar, but I often see the fill itself being above or below the actual close.

So my question is, how does NT fill market orders in a backtest? What's the logic behind it?

Thanks in advance.

[NinjaTrader_Austin]

StockStalker, the Strategy Analyzer will fill market orders at the open of the next bar, not on the close. So for an example, if you have a cross over on bar 1, the code will pick it up on bar 2 and submit the orders, which will be filled at the open of bar 3.

[StockStalker]

That's true, but I forgot to mention the strategy has multiple timeframes to achieve intrabar granularity (tick by tick chart + bar chart)

So the strategy sees this bar closing and the next one open, and then submits a market order which gets filled intrabar via the tick by tick chart.

So the question then is, how do market orders get filled when you have a tick-by-tick underlying chart like this?

[NinjaTrader_Austin]

StockStalker, if you want the order to be executed on the secondary series, you must submit it to that series (secondary bar series = bar index 1):

// EnterLong(int barsInProgressIndex, int quantity, string signalName)
EnterLong(1, 1, "enter long one contract on the secondary series");

[StockStalker]

Austin, thanks for the response. I understand what you're saying here, and I am aware of that.

Let me rephrase my question...
How does NT calculate Market order fills in a backtest on a 1-tick linechart?

[NinjaTrader_Austin]

Stock, the order is submitted to be filled on the open of the next bar update. For 1 tick charts, the open = high = low = close, so it would be filled at that tick price.

OnBarUpdate() processes all bar series in chronological order, and if a timestamp is the same for two series, I believe it processes the lowest index first. This means the order will be filled at the next available OnBarUpdate() for the series you submitted it to.

[StockStalker]

Austin, this makes sense

Thanks for the help