Standard Historical Fill Processing

[szayedoud]

Hi - I have question regarding the "Standard" Historical Fill Process. On this page https://ninjatrader.com/support/help...ime_vs_bac.htm It describes the process of breaking the bar into 3 virtual bars based where the Open is relative to the High or Low. However, that's where it ends - then what? Using the virtual bars, what determines the estimated fill price during a backtest? It's not clear in the docs, what happens after the virtual bars are created from the rules described on that page.

Thanks.

[NinjaTrader_Jesse]

Hello szayedoud,

Once the virtual bars are created the fill engine uses those bars to fill those order. The specific reason for that is to mimic price movement. You can read about the fill engine here:

https://ninjatrader.com/support/helpGuides/nt8/understanding_historical_fill_.htm?zoom_highlightsub=virtual+bar

https://ninjatrader.com/support/helpGuides/nt8/historical_order_backfill_logic.htm?zoom_highlightsub=historical+fill

[szayedoud]

Thanks, that second link was what I was looking for.

[szayedoud]

Does Ninja Trader use some type of algorithm similar to this for Real Time/Forward Testing using a sim account? If so, can you point me to that documentation? I am curious how fills occur during real time testing.

[NinjaTrader_Jesse]

Hello szayedoud,

The fills would be based on the live market in that situation and not virtual bars so there is no documentation needed to explain how the fill processing works in that use case. That would be similar to how an exchange fills orders based on the active market.

[szayedoud]

Thanks for the reply, that makes sense now that you put it that way.