Replicating TDA Strategy in NT8 and issues

[TradeDa]

Hi,

I am planning to automate strategy that I had built in Thinkorswim using NT8, recreated strategy in NT but having below issues to successfully test it. Sorry it might be overloaded ask/topic. I have some programming background but finding difficult to pick up NT, spent last 2 days making it work; definitely made progress but still seems far from testing successfully.

Note - testing on EQUITY instruments

1. Using multi-timeframe in strategy with calculate.OnPriceChange but not able to backtest in Strategy Analyzer as NT doesn't allow use of "Order fill resolution = High" due to multi timeframes. Suggested to manage entry in the script which I have for now.
2. Order Entry is displayed on next bar from signal generated, not sure how to make it enter on bar as soon as signal is generated (have calculate.OnPriceChange on strategy)
   1. Does multi timeframe play role in order execution here?
   2. I am using higher timeframe to get the volume data, would it play any role here? Seeing entries in log - "VOL relies on volume updates expecting Calculate 'On each tick' or 'On bar close'"
3. I have seen in some threads/guides that it might be better to test on live data or in replay mode to see if strategy really works as expected in real-time. I followed help guide/videos to enable replay to test strategy but I am not able to download replay data from TDA. Also exported Historical Data from TDA and imported but still not able to select date range (greyed out) to replay

Thanks!

[NinjaTrader_ChrisL]

Hi TradeDa, thanks for posting.

In the strategy analyzer, all scripts will run OnBarClose. You must add a 1 tick series to your script to get an intrabar signal. We have an example of this here:

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

We provide market replay data for futures and forex instruments. The TDA connection will let you download historical data as well, but they do not provide historical tick data for replaying, you would need a supplementary data connection like Kinetick to get historical tick data.

Best regards,
-ChrisL

[TradeDa]

Thank you for quick response!

Looks like I won't be able to make it work without subscribing to Kinetick(or any other) data.

Thanks,
Ajay

[TradeDa]

I am thinking of subscribing to Kinetick data (base package), but thought of checking this before.
Do I need tick data in real-time to execute trade on strategy signals? Or will it work OK with TDA data?
Do I need to update my strategy calculation to consider ticks data instead of 1min and 5min?

Thank you!

[NinjaTrader_ChrisL]

Hi TradeDa, thanks for your reply.

You will need real time, non-delayed data coming from TDA to run a strategy. Real time data is a tick-by-tick feed, so there is no need to change the strategy calculation mode. It would be able to run tick-by-tick or OnBarClose either way.

Kind regards,
-ChrisL

[TradeDa]

Got it. Thanks!