Orders are shifted one day

[LaughingDwarf]

Hello,

I defined a strategy. I could not understand why all orders are submitted on the day after at opening instead of being submitted on Close of current day.
For example:
- Long order condition is the following

 if ((CrossAbove(Close, EMA(aaa(Close, 6).Plot0, 6), 1)) && (Close[0] >= MAX(Close, 5)[0]))
            {
                int Nb = (int)Math.Round(2.7*MyAccountSize/Close[0]);
                entryOrder = EnterLong(Nb, "Long");   
            }

- on attached picture, i expect order to be applied on close, just after crossing orange plot (correspond to EMA(aaa(Close, 6).Plot0, 6)), but it is not the case.

Thanks in advance for your help

[NinjaTrader_RyanM1]

Hi LaughingDwarf,

This is expected timing of orders when running the strategy historically, or when CalculateOnBarClose = true.

Conditions are evaluated at the close of the bar. If true, they are submitted to the next bar. Market orders are filled at the open of the next bar following the condition.

In real time with CalculateOnBarClose = false, conditions are evaluated with every incoming tick, and orders are submitted immediately when conditions evaluate true.

[LaughingDwarf]

Hi Ryan,

Thank you for this quick answer.
Would it be possible to add that functionnality so that historical trades and trades are as much close as possible from real trades when CalculateOnBarClose = false. Or is there a functional restriction from providing that?

[NinjaTrader_RyanM1]

In historical sense, all bar processing takes place on bar close, but you can add a secondary series that is smaller than the first. This allows you increased granularity when backtesting. We have a sample available that demonstrates this approach here:

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