Backtesting using market replay

ScoobyStoo

Junior Member

Join Date: Apr 2009

Posts: 161
#1

Backtesting using market replay

12-21-2009, 10:21 AM

Hi guys,

Merry Christmas to you all.

Quick question. If I backtest a strategy using market replay data can I use marketable limit orders?

Thanks
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NinjaTrader_Austin

NinjaTrader Customer Service

Join Date: Jun 2009

Posts: 3149
#2

12-21-2009, 10:44 AM

ScoobyStoo, I believe that is indeed possible. The simulation engine is pretty flexible with regard to order types.

AustinNinjaTrader Customer Service
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ScoobyStoo

Junior Member

Join Date: Apr 2009

Posts: 161
#3

12-21-2009, 10:57 AM

Brilliant.

Do you have the logic of the backtest engine documented anywhere?
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NinjaTrader_Austin

NinjaTrader Customer Service

Join Date: Jun 2009

Posts: 3149
#4

12-21-2009, 11:07 AM

ScoobyStoo, you can take a look at the code for the fill logic at My Docs/NT 6.5/custom/type/@DefaultFillType.cs and /@LiberalFillType.cs.

AustinNinjaTrader Customer Service
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