EnterLongLimit() Problem in backtest

[monpere]

EnterLongLimit(), EnterShortLimit() seem to have a problem in backtesting. The following code produce the trade entry in the attached chart image. Basically, EnterLongLimit() shows an entry at a price above the bar, but the bar never actually reaches that price. The result is that the backtest seems dubious at best or totally wrong at worst.

The code is:

EnterLongLimit(250, Close[0]+(20*TickSize), "");

...

[NinjaTrader_Ben]

Hello,

It looks like your limit price is 20 ticks above the current close, which would match the close of the pervious bar + .20.

[monpere]

Hello,

It looks like your limit price is 20 ticks above the current close, which would match the close of the pervious bar + .20.

The chart shows that I get a fill on a price above the bar. How can I get a fill on a price, when the market never gets to that price? In real life, if I got a fill on that price, wouldn't the bar include that price? How could I get a fill at 134.83 on a bar whose high is 134.78 ? The way I see it, in a backtest simulation, if a limit buy entry is placed above the market, then the price recorded should be the high of the bar, not the the price above the market that the bar never actually reaches, as can clearly be seen on the chart.

[NinjaTrader_RyanM1]

Hello Monpere,

This is related to how NinjaTrader proccess fills. You're going to get a fill on your Buy limit order above the market. The price of this fill is then determined by what you set for Fill type.

The two system fill algorithms are:


Default

An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.

• Limit orders only fill if the limit price was penetrated
• Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NT will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)

Liberal

An algorithm that takes a liberal approach to filling limit and stop limit orders.

• Limit orders fill if the limit price was touched
• On gap down bars, buy limit orders will fill at the high of the gap down bar
• On gap up bars, sell limit orders will fill at the low of the gap up bar

http://www.ninjatrader-support.com/H...AStrategy.html