Backtest Realtime Volume

[Edward Kunafi]

Hello Support,

I am thinking of adding realtime bid ask volume indicator into my strategy. As I understand back testing only use historical tick data, there is no market data, such as bid ask volume. So how can its performance be backtested ?
Market replay does use saved market data but it is too slow.

Thanks.

EdwardK.

[NinjaTrader_Austin]

Edward, at this point in time, it is only possible to backtest with bid/ask data through the Market Replay connection.

[Edward Kunafi]

Hello Austin,

Ok, understood.

I have related questions. Can a strategy, with setting CalculateOnBarClose == True, use Indicator that is configured with CalculateOnBarClose == False and works properly? Or do I have to add a secondary bar series with tick period of 1 ? Any other way of doing it simpler?

Thanks.

Regards.
EdwardK.

[NinjaTrader_Austin]

Edward, when the strategy is set to CalculateOnBarClose = true, any indicators added to that strategy would inherit that setting.

To test this, I created a simple indicator that printed the bar time along with the system time and set COBC = false in the Initialize() section of the indicator and then created a strategy that does the same thing with COBC = true, and it only printed output once per minute because it was on a minute chart.

Your suggestion of adding a 1 tick secondary series would work.

[Edward Kunafi]

Thanks Austin.

Regards,
EdwardK