Accurate Entry Fills in Strategy Analyzer

[Matheyas5]

Hi NT7,

I know its impossible for NT7 to run any calculations in the Strategy Analyzer until a bar has closed. However, I think this question deals with a separate issue, since it involves sending an order after a bar has closed.

Anyway, imagine this scenario. I am backtesting a Strategy in the Strategy Analyzer that analyzes 1 minute Last bars and sends its Long Entry orders to 1 tick Bid bars. Lets assume a 1 minute Last bar that closed at 11:32:00 AM causes my strategy to send a long entry order. Now lets assume the bid price slightly before and during 11:32:00 AM was $100 and did not change until it rose to $101 slightly before 11:32:01. This would cause my fill price to be $101 even though NT's logic knows the bid price at 11:32:00 AM was $100.

Any tips on how to fix this and get the order to fill at $100? Would I I need to create a custom fill algorithm as explained here?

https://ninjatrader.com/support/helpGuides/nt7/?fill_types.htm

P.S.
In live trading trading, the fill price of a long entry is far more likely to be the price of the closing bid tick of the bar that caused the entry signal, rather then the price of the the following bar's opening bid tick. I find Backtest results that don't take this into consideration are highly inaccurate. This is why I have asked the above question.

[NinjaTrader_PatrickH]

Hello Matheyas5,

Thank you for your post.

Backtests are ran on Last price by default for the OHLC of the bar. You could add Bid and Ask data series in your script and submit the orders to the Bid or Ask appropriately for the orders.

You would use Add() and the syntax for MarketDataType, for example: Add(string instrumentName, PeriodType periodType, int period, MarketDataType marketDataType)
You can find more information at the following link: http://ninjatrader.com/support/helpGuides/nt7/add3.htm

For information on using multiple series in your script please visit the following link: http://ninjatrader.com/support/helpG...nstruments.htm

Please let me know if you have any questions.

[Matheyas5]

Hi Patrick.
I was fully aware of everything you said in post #2 before i started this thread.
Also, you'll see that Post #1 does already describe a multidata series strategy in that that entry signals are received from 1 minute last bars and entry orders are sent to 1 tick bid bars. Overall, post #2 does not answer the question i asked in post #1

Please re-read post #1 and send a new answer.

Thanks.

[NinjaTrader_PatrickH]

Matheyas5,

Yes I missed the added 1 tick Bid bars in post 1. The FillTypes always look to the next bar's high, low, open, and close. I have not found a means to look to the prior/current bar in the FillType.