How to get the most accurate order fills for OnEachTick / intra-bar strategies ?

[EB Worx]

Hi Chelsea

Thank you for your answer, so basically you are saying that I was already on the right track ?
For slippage I'll see if I can add this in my strategy itself by placing the order a bit later, just so I can backtest what happens
Thanks again
Erwin

[NinjaTrader_ChelseaB]

Hello EB Worx,

"But if tick replay does not provide accurate order fills, then what does?"

Adding the 1 tick series and submitting orders to the BarsInProgress of that 1 tick series, called intra-bar granularity, is what provides accurate order fills. The orders are filled with 1 tick data to the time and price of the tick.

A small note, one unfortunate limitation with having the accurate order fills in historical, is that slippage cannot be applied to market orders. (The 1 tick series cannot add ticks without being outside of the fill bar)

[EB Worx]

I've read all the documentation mentioned on this page, but I'm still a bit confused about what is the most reliable way to backtest strategies that need to place intra-bar orders and rely on calculate set to OnEachTick

At the moment

• my strategy is set with Calculate to OnEachTick
• adds a 1-tick data series and places its orders onto that 1-tick bar series to get intra bar fills
• In the strategy analyzer, I'm enabling Tick Replay
• In the strategy analyzer, I'm enabling Include Commissions
• In the strategy analyzer, I'm using a slippage of 2

Now the strategy I'm testing is just a simple scalping strategy on NQ. It uses tight stops and targets like 10 ticks max
Because of the tight stops and targets, I would like to get the most accurate order fills possible to get the best backtesting results
However on this page NinjaTrader states

TickReplay does not provide fill prices for accurate order fills

But if tick replay does not provide accurate order fills, then what does?
I looked at order fill resolution, but that seems to be doing more or less the same by just adding an extra data series which it uses to place the orders on
So that doesn't seem to add anything, does it? And besides that, it does not support strategies that use calculate OnEachTick

So I hope NinjaTrader can shed some light on this, what would be the most reliable way for us to get the most accurate order fills for
strategies which use Calculate to OnEachTick and need to place intra-bar orders.
I can understand that it will never be 100% accurate, but it would help to know what is the most accurate method possible

regards

Erwin