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Backtesting Broken On rejected orders

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    Backtesting Broken On rejected orders

    i am placing stop orders in a strategy which are rejected at times since the stop buy or stop sell is less than the market price or greater than market price(for sell).
    In that case i update the order to limit buy or sell if it gets rejected.
    Problem is Back testing does not accommodate that and gives me a a garbage result on one minute chart. The trade ideally should not exist since it never got filled in some cases however back-testing says otherwise. Basically giving me a garbage result. I have attached an example.


    Attached Files

    #2
    Hello sgkcfc,

    Thanks for your post.

    Order rejection handling is done by setting RealtimeErrorHandling to IgnoreAllErrors or StopCancelCloseIgnoreRejects and then handling the rejection in OnOrderUpdate. This works for realtime data processing only.

    I have submitted a feature request on your behalf to support order error/rejection handling in backtesting. The ticket ID is SFT-4226. This is an internal number, but for anyone else wishing to have their interest tracked, please let our support staff know that you would like a vote added for this request.

    Feature Request Disclaimer

    We receive many requests and cannot reasonably implement all requested features or changes. Interest is tracked internally and if enough interest is tracked, it would be weighed against how feasible it would be to make those changes to consider implementing.

    When new features are implemented, they will be listed in the Release Notes page of the Help Guide. The ID number will be different than the internal feature request tracking ID, but the description of the feature will let you know if that feature has been implemented.

    Release Notes -
    https://ninjatrader.com/support/help...ease_notes.htm

    We look forward to assisting.

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