How to Buy or Short on Market Open Price

[logosguru]

I'm trying to do very simple backtesting using Strategy Analyzer.

What I want to do is EnterLong (or EnterShort) at Market Open Price for specific stock (any popular one).

Tried everything that I can but always return a minute (or 2 to 3) after price data.

Is it possible in NT backtesting?

Any idea?

[NinjaTrader_CalH]

Hello Logosguru,

Thank you for your post.

What are you using for the code to submit these orders?

Are you using the Strategy Wizard or custom coding this?

Can you provide a screenshot of what it is you are seeing?
To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file. Click Reply -> Go Advanced -> Click the Paperclip Icon in the Toolbar

For detailed instructions please visit the following link

http://take-a-screenshot.org/

[logosguru]

Screen capture

Thanks for your quick reply.

I'm using custom coding to do testing.

I've attached screen shot for my code, result and actual open price from yahoo finance.

I also attached my backtest parameters screen shot too.

[NinjaTrader_CalH]

Logosguru,

Can you give me an export of the Strategy? File -> Utilities -> Export NinjaScript -> Select your Strategy

You will need to attach the .Zip which be located in (My) Documents -> NinjaTrader 7 -> bin -> Custom -> ExportNinjaScript

The full code you have posted would not expect to work as I do not see any indication of the BuySellSignal being set other than 0

[logosguru]

Please see attached file.

Thanks

[NinjaTrader_CalH]

Logosguru,

I am getting expected behavior with the backtest.

This is due to the setting for CalculateOnBarClose always being set to true in the Historical data, because we only know the Open, High, Low, Close, and Volume data points and not what happened intrabay.

With this setting when a bar closes, it will run OnBarUpdate(), process any orders such as your market orders which are filled at the open price of the next bar. This is why you are seeing them one bar "late". Additionally, if the bar is two or more bars later then this would be with with the logic of the code not being true to submit orders.

Let me know if I can be of further assistance.

[logosguru]

Thanks for your reply.

So for the historical backtesting, there is no way in NT to simulate buy or sell on market open price ?

Is it correct?

[NinjaTrader_CalH]

Logosguru,

There is.

You need to use an Intrabar Granularity technique to the code.
Essentially adding an underlying data series for 1 tick.

I have attached a link below on how to use this Intrabar Granularity for backtesting.
http://www.ninjatrader.com/support/f...ead.php?t=6652

[logosguru]

I Got it.
One more question for intrabar Granularity.

So.. What is the bar combination for market open price?
For example, 1 tick for primary and 1 minute for secondary bar?

[NinjaTrader_CalH]

Logosguru,

You would want to have the 1 tick as the secondary. Any primary time interval you select in the Strategy Analyzer will add an underlying data series for 1 tick.

This is so you have the strategy use the regular time interval but calculate on each tick.