EnterLongStop()

[d.allen101]

While back testing if I set CalculateOnBarClose = true and if (EMA(5)[0] > EMA(10)[0]) EnterLongStop(High[0] + TickSize);

Can you please tell me what will happen if the price of the next bar is greater than High[0] + TickSize? I notice sometimes I'll get executed at the opening price other times I'll get executed at the closing price and sometimes executed at a price within the trading range.

[NinjaTrader_Bertrand]

d.allen101, thanks for the post, in backtesting CalculateOnBarClose would always be true.

What you place here then is a Stop order that activates a market order, so the fill price could vary according to market dynamics seen once the triggered.

[d.allen101]

How is the fill price being determined during back testing?

[NinjaTrader_Bertrand]

The price would be determined by the fill type used - for example for a stop order on the default fill type the following would be exactly done -

if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover)

FillPrice = order.StopPrice < nextOpen - epsilon ? Math.Min(nextHigh, nextOpen + SlippagePoints) : Math.Min(nextHigh, order.StopPrice + SlippagePoints);
else
FillPrice = order.StopPrice > nextOpen + epsilon ? Math.Max(nextLow, nextOpen - SlippagePoints) : Math.Max(nextLow, order.StopPrice - SlippagePoints);

So slippage can be applied, but it would not allow for fills outside the bar you trade on.