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Backtesting Accuracy with Standard Fill vs High resolution fill

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    Backtesting Accuracy with Standard Fill vs High resolution fill

    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

    #2
    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

    Chris L.NinjaTrader Customer Service

    Comment


      #3
      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

      Comment


        #4
        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");
        }


        Chris L.NinjaTrader Customer Service

        Comment

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