Gap behaviour of Stop and Limit orders

[Stephan123]

Hallo,

I have a look forward bias during backtesting because of the following problem:

At the signal bar I submit an entrylonglimit order, the limit being a value
below the close of the signal bar and above the high of the following bar.
If I chose Default as fill type, the entry is taking place rigth within the gap at
the limit price. When I chose liberal as fill type, entry is taking place at the High of the bar. Both is not happening in real life and the latter causes a negative bias in system performance. In my view it's more realistic to do a fill at the open of the bar, when the
price of the Open is alreaedy below the limit. How to script that in a correct way?

entrystoplimit seems to behave "correct" at gaps.

[NinjaTrader_RyanM1]

Hi Stephan123,

Market orders like EnterLong() and EnterShort() fill at the open of the next bar following the condition.

[Stephan123]

I know. But I need to enter intrabar at certain price levels, which stop and limit orders
are made for.

[NinjaTrader_RyanM1]

You could consider programming your own fill type if you prefer a different handling than the built in ones. This is beyond our scope of support but is possible. You will need an external development environment like visual studio, and will find existing fill types here:
Documents\NinjaTrader 7\bin\custom\type\
@DefaultFillType, @LiberalFillType

[koganam]

I know. But I need to enter intrabar at certain price levels, which stop and limit orders
are made for.

If you want entries intrabar while backtesting, you will have to add another bar series with finer granularity, that you can use to trigger orders.