Backtesting Accuracy with Standard Fill vs High resolution fill

[gbajaj]

Hi,

I am trying to implement and backtest multi-series strategy. But backtesting results are not showing accuracy e.g. EnterLongStopLimit order placed on a limit price are actually shown at different prices when i see the result in summary/trade analysis.
I suspect that It might be due to Standard fill. Is there a way to do high res fill for my orders?

Thanks
G

[NinjaTrader_ChrisL]

Hi G, thanks for posting.

The standard fill mode in Historical Fill Processing is for single time frame scripts only. For multi series scripts you can add a 1 tick series and submit the orders on that series. I linked an example below.

https://ninjatrader.com/support/help...ipt_strate.htm

Best regards,
-ChrisL

[gbajaj]

Thanks Chris,

My primary bar is Day but place order on 1 tick as suggested. I have added a 1 tick data series.
I want to place an order when price touches a mark.
I have imported this file, not sure where to configure though.

Is there a code example where buy order is placed when price touches a mark on 1 Tick series (a kind stop order or limit order).


Thanks
G

[NinjaTrader_ChrisL]

Hi G, thanks for your reply.

The example I gave calculates trades on whatever the primary data series will be on the chart and submits the order to the 1 tick series for better fill estimation. To calculate the entry on the 1 tick series you would do your indicator/price calculations in the 1 tick series

if (BarsInProgress == 0)
{
//primary bars logic
}
if (BarsInProgress == 1) //runs on every tick
{
//tick bars logic e.g.
if(SMA(BarsArray[1], 20)[0] < Closes[1][0])
EnterLong(1, 1, "Long1");
}