Entry always 1 bar late

[tjendra]

tjendra, in backtesting this is expected as working with multiple BarsInProgress or not does matter.

Consider having only one BarsInProgress > you submit the order at 1:25, it fills at 1:30.

As you submit across multiple BarsInProgress it takes an extra step in between to submit from one to another, on 1:25 you submit it from BarsInProgress 1 to BarsInProgess 0, this actually happen on the 1:30 bar so it gets filled on the 1:35 one as you reported.

But the entry was submitted for execution on the primary bar on 1:25pm as shown by trace orders. You mean the primary bar won't get that order until the end of its 1:30pm bar? Therefore it executes on the open of the 1:35pm bar? If it was live and not during backtesting, would the order be entered on the open of the 1:30pm bar then?

[NinjaTrader_Bertrand]

Correct - in realtime the order is submitted the moment it's called by the BarsInProgess.

[tjendra]

Correct - in realtime the order is submitted the moment it's called by the BarsInProgess.

You were saying the lag was because the signal checking was done on the secondary bar (i.e. BarInProgress==1), and the order was for the primary bar (i.e. BarInProgress==0) since BarInProgress==0 will be executed before BarInProgress==1 is executed.

If I change the logic of my strategy so that the signal checking was done on the primary bar (i.e. BarInProgress==0), and the order was for the secondary bar (i.e. BarInProgress==1). Since BarInProgress==0 will be executed before BarInProgress==1 is executed, would the order then be execute without the 1 bar lag?

[NinjaTrader_Bertrand]

This would not make a difference either tjendra - to achieve an earlier fill in backtesting you would need to add a finer series still as in this sample - http://www.ninjatrader-support2.com/...ead.php?t=6652