Submit MOO when TIF=Day and Historical=true

[WSquared]

Hi, with 5 minute data, I want to have an exit which is MOO. I have COBC=false and TIF=Day. is there a way to exit a position on the firstsessionbars open?

I assume that by using TIF=Day has made it impossible to get the order to fire on the first bar's open as I can't place the order prior to the open.

Any suggestions?

Happy New year.

W2

[NinjaTrader_Brett]

Hello,

What instrument are you trading? So to recap when you submit a TIF order of Gtc it gets rejected by the exchange as they only accept this during RTH?

[WSquared]

Hello,

What instrument are you trading? So to recap when you submit a TIF order of Gtc it gets rejected by the exchange as they only accept this during RTH?

Hi Brett, not I'm not live right now. I am moving my code over from TS, so everything right now are just historical tests. The instruments are stocks.

i assume when Live, this code will fire after the first tick so I will get filled intrabar

if (Bars.FirstBarOfSession)
{
ExitLong(1,"LX.MOO","LE.System1");
}


I can live with that in realtime,but in simulation mode it takes the open of the next bar as the fill. I am moving my systems over to NT, so I am just looking to compare/verify the Simulated TS results to NT. is there a way using 5Min data to place an order which will exit on the open of the FirstbarOfSession in historical tests and live trading?

Thanks. W2

[NinjaTrader_Brett]

Hello,

Ok so there are first some imporant differences versus backtesting and running live. Right now the backtester is always running with Calculate On Bar Close = True as it will always run in this mode.

Also in backtesting orders are always submitted to the open price of the next bar after the condition is true.

Therefor please insure you understand this link.

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

Also, if you want to add further granularity to your test to execute intrabar in a backtest, would would need to use the following sample to add whats called intrabar granularity. This simply gives you more points of which to execute agianst.

http://www.ninjatrader.com/support/forum/showthread.php?t=6652

Let me know if I can be of further assistance.