Trying to simulate backtesting OnBarClose=false

[shodson]

First of all, my understanding is that we can not back test strategies CalculateOnBarClose=false, right?

Assuming I am correct, then I have to add a second 1-tick time frame and now I have to deal with coding a multiple time frame strategy.

This is not my actual strategy, but here's a similar situation:

Let's say I have an SMA(20) and an SMA(50) and an SMA(200). I buy when the 20 crosses above the 50, but only when the 50 is above the 200. So I want to buy if the 50 is above the 200 on the 5min time frame (calculated on bar close) but i want to enter once the 20 crosses above the 50 intrabar, not wait for the 5min bar to close.

However, I want the buys to happen if the 20/50 bars cross intrabar, not on bar close. So I am trying something like this.

Let's say I'm running the strat on 5min bars (primary time frame)

In my class

private bool _upTrend;

In Initialize()...

_upTrend = false;

Add(PeriodType.Tick, 1);

and in OnBarUpdate()

if (BarsArray == 0 && FirstTickOfBar)   // the 5-min bars
{
   _upTrend = (SMA(50)[1] > SMA(200)[1];
}
else if (BarsArray == 1)  // the 1-tick bars
{
   if (SMA(20)[0] > SMA(50)[0] && _upTrend)
      EnterLong();
}

However, the trades are still happening on bar close. Is this because SMA(20)[0] doesn't update until the 5min bar closes because it's on the higher time frame? If so, how can I monitor the changes in the SMAs intrabar while the bar is forming? My fear is that this is not possible and Ninjatrader is not a good solution for this.

[NinjaTrader_Austin]

shodson, please try submitting the order to the 1 tick time frame. You can use the method that specifies the names and the BarsInProgress index to submit to:

//EnterLong(int barsInProgressIndex, int quantity, string signalName);
EnterLong(1, 1, "long crossover entry"); // submit to the second bars index (index = 1)

[shodson]

I did that but the trades are still firing at 5min intervals, not on the 1-tick bars

[NinjaTrader_Austin]

shodson, can you please provide the full code you're using so we can see if anything else is amiss?