Order fill resolution -lower OrderFillResolutionValue of same OrderFillResolutionType

[Calebg]

Hello.

My chart's primary data series is set to 360-minutes. I would like to get historical intrabar executions within those 360-minute bars and have tried setting the 'order fill resolution' option to 1-minute in an attempt to achieve this. Doing so seems to have some effect based on looking at strategy's performance summary, but not in all cases. There are some executions in the order execution log and on the chart which I can plainly see have not occurred at the finer resolution.

Also, and probably greatly related to my confusion, is that when I add the higher order fill resolution option, I cannot detect anything besides BarsInProgress == 0 (my primary bars, 360-minute). I was expecting that with the higher 'order fill resolution' on that I would also have a BarInProgress == 1 (e.g., 1-minute bars). This however does not seem to be the case and doesn't leave me anything to program against...

Any assistance in turning me in the right direction(s) to pursue is much appreciated! TYIA

[NinjaTrader_ChelseaB]

Hello Calebg,

Are you also wanting to submit an order intra-bar? Or are you submitting the order when the bar closes and wanting the fill to occur intra-bar?

Below is a link to a forum post on intra-bar granularity.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

[Calebg]

Thanks for the link ChelseaB, I've read that previously and feel like I have a handle on most of the stuff within, but that said what I'm seeing and what I'm expecting are not matching up (user error for sure, but that's why I'm here, lol).

Here is a specific use case of what I am trying to do - using my own trailing stop logic which exists within my strategy, I would like this trailing stop to be able to be updated and/or acted upon on within a smaller timeframe (e.g., 1-min) than my actual primary timeframe (360-min), as to achieve more accurate historical data results.

Also, just to clarify one of my largest points of confusion with the higher 'order fill resolution' feature, why do I not see a BarInProgress == 1 when I add a higher order fill resolution is added? Is it not the same as doing an AddDataSeries()?

[NinjaTrader_ChelseaB]

Hello Calebg,

Order Fill Resolution provides higher accurate fill prices. It does not allow orders to be submitted intra-bar.

Are you trying to submit orders intra-bar, or are you trying to increase the fill accuracy?

Order Fill Resolution does not add a series to the script that updates OnBarUpdate. This is only used for accurate fill prices.

You would need to add a series with AddDataSeries() to have a series added to the script that will update OnBarUpdate().


If you want to move stop orders intra-bar, you will need TickReplay with Calculate.OnPriceChange or .OnEachTick, with a 1 tick series added for intra-bar granularity.

[Calebg]

You would need to add a series with AddDataSeries() to have a series added to the script that will update OnBarUpdate().

This sounds like what I need for sure, as I guess I am wanting to "submit orders intrabar". Thank you for helping get me to this point of clarification.