Backtesting with Bid Ask entries?

[kenb2004]

Can you tell me if NinjaTrader V7 can backtest a strategy using Bid/Ask entries?

[NinjaTrader_Bertrand]

Yes, provided you coded the strategy to be a MultiSeries one to execute on bid / ask series instead of the last - http://www.ninjatrader.com/support/h...s/nt7/add3.htm

[kenb2004]

If I'm using a 1 minute chart and this is my entry code:

EnterLongLimit(DefaultQuantity, GetCurrentAsk() + OffsetBuy * TickSize, "BuyAsk");

do I need to add:

Add(PeriodType.Tick, 1);

to backtest accurately?

[NinjaTrader_Bertrand]

If I'm using a 1 minute chart and this is my entry code:

EnterLongLimit(DefaultQuantity, GetCurrentAsk() + OffsetBuy * TickSize, "BuyAsk");

do I need to add:

Add(PeriodType.Tick, 1);

to backtest accurately?

For backtesting you need to add the series, as the GetCurrentBid / Ask are just the Close price on historical data.

And you would need to add the bid / ask MarketDataType series and not just a one tick series.

[kenb2004]

So how would I do that? Is there an example of this somewhere besides the one you just pointed me to? I know this option is built-in to Multicharts, is this something NinjaTrader is going to address and add as an option soon?
thanks

[NinjaTrader_Bertrand]

There's unfortunately no ready made sample available currently - thanks suggesting it. You would do it through code and a MultiSeries strategy - add the bid and ask series to your Initialize() and then execute to those series -

Add(string instrumentName, PeriodType periodType, int period, MarketDataType marketDataType)

http://www.ninjatrader.com/support/helpGuides/nt7/multi_time_frame__instruments.htm

[kenb2004]

If I add this:
Initialize()
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid);
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Ask);
OnBarUpdate()
if(BarsInProgress == 0) //Main Chart interval
{
}
else if(BarsInProgress == 1) //Bid Tick Chart interval
{
}
else if(BarsInProgress == 2) //Ask Tick Chart interval
{
}
else
{
// Just a place holder. This should never be reached.
}

Do I need to have "Save Chart Data as Historical" checked in Tools>Options>Data>Real-Time data? And is this the right code for me to backtest bid ask in a 1 minute strategy? By the way, this "sample code" is from one of your threads.

[NinjaTrader_JoshP]

Checking the option for saving data is up to you whether you want to save data or not. Unchecking it means no real-time data will be saved and checking it means it will.

The code is correct for whatever you want to do with bid/ask streams.

[fliesch]

could you integrate it? This way you can backtest a market buyorder as if you buy at the ask. But do you can backtest as if this position is later sold at market at the current bid?! I do not think so.

[NinjaTrader_Bertrand]

Thanks for the suggestion fliesch - the code snippet shown would sell at the bid if the market order to exit would be submitted to it.