Back testing issue

[ScottB]

Hi,

I am trying to find a way around an issue I have with back testing vs. live trading.

If I am short and get a long signal, I want to exit at the market. Because I am using Unmanaged orders, I just change the profit order to a price well above the market and it effectively becomes a market order.

While this is true in live trading; I noticed in back testing, I am actually getting a fill at the limit price (almost 20 ticks above the market) which is above even the high of the bar.

I move my profit target from 1.4120 (6E) to 1.4164 and I get an execution at 1.4164 even though the high of that bar is 1.4148. In live trading I would get a fill at the close of the signal bar plus a tick or so; this constitues almost 20 ticks slippage.

I am looking for the following answers a) do I have a setting or something basic set wrong that could cause this b) is there a simple way around this?

I have already thought of lots of ways around the issue but they all involve changing code that works in live trading to accomodate a back test.

Any suggestions will be appreciated.

Best Regards,
Scott

[Baruch]

Fill type=Liberal

[ScottB]

Thanks that fixed it. Are there other implications to using fill type = liberal such as limit orders getting filled if the market traded at the price, etc?

[ScottB]

It seems I have a special case and I am going to have to create my own fill algorithm to combine the two different types to get what I want.

Thanks.

[NinjaTrader_Brett]

Hello,

Thanks for the assist Baruch!

Yes you can do this if it is needed. However you are able to do so however it is largly unsupported and is a sandbox for you to "play" in.

Let me know if I can be of further assistance.

[ScottB]

Brett, thanks for the information and offer.