more intrabar, etc.

[otayah]

I’ve been reading old posts and want to make sure I understand what’s possible in Strategy Analyzer to best replicate results from Market Replay or live trading.

My strategy analyzes X-minute bars and doesn’t enter until the open of the next X-minute bar, but my indicators need to analyze price second by second.

1. The programmer needs to write 2 separate codes, correct? One code for trading the strategy with live data, and another code for backtesting where it specifies multiple time frames and converts tick data into approximations of 1-second bars so that indicators can analyze price second-by-second.
1A. For the second-by-second backtesting, do the custom indicators need to have special coding, or just the strategy needs special coding?


2. Although I don’t want to enter until the beginning of the next X-minute bar, is it possible to have targets and stops executed at realistic prices on a second-to-second basis instead of waiting for the beginning of the next X-minute bar?

3. When live testing on a free NT account with the Sim101 account, do you have to subscribe to a 3rd party external data feed or can I just connect to my Interactive Brokers account?
3A. When trading live (no backtesting), is it perfectly functional to only connect to Interactive Brokers, or is there a necessity or advantage to using a 3rd party external data feed?

4. (different topic) My understanding is that NT does not have a stock scanner/screener. I’d prefer not to have to manually update an instrument list of 100+ stocks on a regular basis. Is it possible to code a strategy to automatically filter the 5000+ stocks down to the 100 or so that meet your requirements on that day?

[NinjaTrader_Bertrand]

Hello otayah, thanks for the post.

1. You could accomplish this task in one script, as the Historical property would let you split calcs between those done on realtime data or historical processing. Both the strategy and indicator would need dedicated coding for historical backtesting at the tick level if that's not your primary script series.

2. If you submit stops / targets via the Set() methods those would enter your orders after the entry reporpts executed, for even more control use the OnExecution() method.

3. You can use your IB live account for the simulation / historical data. If you need a tick data historical backfill, you would need to get a dedicated datafeed like our preferred Kinetick as well, as the IB connection would not offer this feature. www.kinetick.com

4. You're unfortunately correct in understanding here - the stock selection process needs to be coded into your strategy logic.