Simulating MOC order

[sungtaeyoo]

Hi,

I'm the newbie for this tool.

Now I'm trying to back test my strategy. My strategy open poisiton at market close and close it next day market close. So I wrote codes something like below

protected override void OnBarUpdate()
{
// Condition set 1
if (my stratey say enter)
{
EnterLong();
}

But the problem is actually the market order is fullfilled at next day open price not today's close price. So I changed it to

EnterLongLimit(Bars.CurrentAsk);

But now the order is canceled.

Can anyone let me know how to implement MOC order for backtesting?

Thanks.

[NinjaTrader_Austin]

Hello there, you will have to backtest with an intrabar granularity and submit the order to the smallest bar series.