Accurate Backtesting Bid/Ask Limit Orders NT8 Beta

[Baseheadz]

In NT7, there was an issue with accurately backtesting strategies that used limit orders at the bid and ask. From what I understand, the bid/ask/last were sometimes read out of sequence by the NT backtester.

1) In NT8, has this out-of-sequence issue been addressed?

2) In NT8, is backtesting a strategy that uses limit orders at the bid and ask now more accurate that in previous versions of NT?

[NinjaTrader_ZacharyG]

Hello Baseheadz,

Thank you for writing in.

I am not aware of the out of sequence item that you are referring to for NinjaTrader 7. Can you please provide additional clarification or an example?

[Baseheadz]

Zachary, I have been told that sometimes the data is read out of sequence. So I do not have the data to support this issue.

Which leads to my next question: In NT8, is backtesting a strategy that uses limit orders at the bid and ask now more accurate (more realistic to live trading) than in previous versions of NT?

[NinjaTrader_ZacharyG]

Hello Baseheadz,

I am not aware of this behavior in NinjaTrader 7.

There will be discrepancies between running a strategy real-time vs. backtesting. More information about this can be found in the help guide at this link: http://ninjatrader.com/support/helpG...ime_vs_bac.htm

You can modify the order fill resolution parameter when backtesting to change how orders will fill: http://ninjatrader.com/support/helpG...ical_fill_.htm

Changing order fill resolution to High, for example, will allow you to set a secondary bar series to be used as the price data to fill your orders. This allows you to bring in more granular data than you are currently running the strategy on, allowing for more data points of which to fill orders and provides more accuracy in the order fill simulation.