Two step execution

[stefy]

Hi everyone

I'm working with 1min bars and currently I'm backtesting executing at market price.
I'd like to put an order between bid/ask, and then, after 30 secs, if I didn't get filled, to execute at market price.
Can I backtest this? If I can, how?

Thank you

[NinjaTrader_Ray]

You can not backtest this since historical bid/ask data does not exist on a bar basis, only OHLC, Volume and Time are known in a historical backtest.

[stefy]

Thank you.

When I backtest a strategy with Market execution, the strategy is supposed to use bid/ask prices though. Am I correct?

[NinjaTrader_Ray]

No since ask/bid data is not present on a OHLC bar.