Order Fill Resolution & Market Replay

[darkgreen]

Hi All,

I'm having a hard time understanding the 'order fill resolution' part.
I have a strategy that runs on the 15m chart, what benefits (if any) I can achieve with changing the order fill resolution from fast to high and tick 1? my strategy runs with calculate on bar close as when I ran it before with On Price Change, it submitted multiple orders on my strategy (I suspect because the the indicator I use can re-paint until the bar closes).

Thanks!

[NinjaTrader_BrandonH]

Hello darkgreen,

Thank you for your post.

When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known.

See the Help Guide link here for more information about Historical vs Real-Time - https://ninjatrader.com/support/help...ime_vs_bac.htm

Calculate determines how often OnBarUpdate is called. OnBarClose means at the close of each bar. OnPriceChange happens once for each price change. OnEachTick happens on every tick.

Historical data will only update OnBarClose as it does not have the intra-bar information necessary for OnPriceChange or OnEachTick to accurately fill an order at the exact price and time.

Below is a link to the help guide on Calculate.
https://ninjatrader.com/support/help.../calculate.htm

High order fill resolution will allow you to set a secondary bar series to be used as the price data to fill your orders. This allows you to bring in more granular data then you are currently running the strategy on. For example, you may have a strategy that you run on "Daily" bars but then want to bring in "Minute" bars for the historical fill algorithm to be based on.

The secondary bar series will mimic the 'price based on' setting in your Strategy Analyzer settings. (Ask, Bid, Last)

Please note, order fill resolution only affects historical orders and does not affect real-time orders.

Below is a link to a forum post that details.
https://ninjatrader.com/support/foru...297#post491297

Please let us know if we may further assist.