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sample intrabar backtest doesn't work

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    sample intrabar backtest doesn't work

    this SampleIntrabarBacktest_NT8.zip doesn't show any intrabar fills when run on the strategy analyzer. the fills are at the open of the 5 minute bar 2 bars away from the bar where the cross happened.

    it doesn't work properly on playback either. missed entries and entries nowhere near a ma cross on the 5 minute chart. please advise
    Attached Files
    Last edited by trader3000a; 10-10-2021, 10:33 AM.

    #2
    Hello trader3000a,

    May I confirm the script is running with Calculate set to OnPriceChange and that TickReplay is enabled?
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Hi Chelsea, do you mean the "show tick replay" box under tools/options/market data should be checked?

      Comment


        #4
        Hello,

        Yes, this would need to be enabled in the Tools window and enabled in the Data Series for this specific chart.
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          sorry, I'm confused. the documentation says that show tick replay isn't to be used for backtest in strategy analyzer...

          Would you mind telling me exactly what to do to run this sample in the strategy analyzer accurately, achieving it's intention re granularity? It would be great if the sample strategies had a section under them like:

          To run this sample successfully in:

          real time:
          step a
          step b
          step c
          etc.

          market replay:
          step a
          step b
          step c
          etc.

          strategy analyzer:
          step a
          step b
          step c
          etc.

          Comment


            #6
            Hello trader3000a,

            As detailed in the forum post I have linked, TickReplay does not provide intra-bar fill information for order fills, however this does allow for indicators to update for Calculate.OnPriceChange that need to do. 1-tick granularity must be implemented because TickReplay and OrderFill Resolution High cannot be used together.

            Implement 1-tick intra-bar granularity for accurate order fills.
            Enable TickReplay
            Run script in backtest, real-time, and playback
            Chelsea B.NinjaTrader Customer Service

            Comment

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