MultiTimeFrameOrders Exit Entry Sequence Backwards

[tendrel]

Dear NT,
I'm frustrated with not being able to easily backtest on NinjaTrader with finer granularity. I've looked at the SampleMultiTimeFrameOrders.cs strategy and when I run it in the Strategy Analyzer, the Trades log shows the Exit time occurring before the Entry time for most trades. While I can analyze the chart of each trade individually with the finer granularity of a smaller timeframe, the backtest results are still inaccurate. Is there any way at all to get accurate backtest results in Ninjatrader where the Entry & Exit occur in the same primary bar?
Thank you in advance.

[NinjaTrader_Jason]

Hello tendrel,

Unfortunately this is not supported as per the Strategy Analyzer. The Strategy Analyzer cannot calculate intrabar, it uses OHLC prices only.

You could run the automated strategy while connected to the Market Replay connection. It will receive historical data in realtime which does allow intrabar calculations. More information regarding the Market Replay connection can be found at the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/market_replay.htm

[tendrel]

Jason,
Thank you for your reply. Are you saying that there is no way to accurately backtest a strategy on a more granular level than the primary timeframe? If this is the case, is this a feature that we can look forward to in a later release? If not the case, then how can we do so with accuracy?

[NinjaTrader_Jason]

Yes, unfortunately the Strategy Analyzer cannot use all data that occurs during a price bar. The Strategy Analyzer only knows OHLC prices of each price bar. You can run your strategy using the Market Replay connection with 'Calculate on bar close' set to False. This way the strategy is calculated on each incoming tick.