Daily Bar Strategy

[habibalex]

I am trying to backtest a daily bar strategy. I would like to submit market orders on the daily bar close however, using EnterLong() on the daily of the bar entry only fills it on the following day. I've tried changing it so that it enters the order the day before but it still doesn't seem to work. I would like to have it fill on the day the signal occurs. How do I do that using a Day dataseries?

[NinjaTrader_BrandonH]

Hello habibalex,

Thanks for your post.

Please review the help guide document on the differences on real-time vs backtest (historical).
http://ninjatrader.com/support/helpG...ime_vs_bac.htm

An order is filled with data after the order triggers. Bar closures are signaled by the first tick of a new bar. When a daily bar closes, the next bar is developing, and that data is used to fill the order in backtest.

If your strategy is set to run in the mode of Calculate.OnBarClose which means that the strategy code executes once at the end of each bar and will perform calculations on completed bars. If your strategy determines to enter an order, the order would be placed on the next bar. In this mode, your strategy will operate the same historically as it does when connected to real-time (or replay) data.

Using the calculate mode of Calculate.OnPriceChange, or Calculate.OnEachTick, will allow the strategy to be executed intrabar with greater frequency which means your code will be executed on each tick or each change in price. Depending on the bar size and market volatility this can be a significant number of times per bar. You would be working with data that could change and your strategy conditions could change from one tick to the next. Entry orders would be executed intrabar instead of waiting until the next bar.

Note to improve the accuracy of a backtest, you may use Tick Replay along with an added 1-tick series to have logic processed intra-bar and have orders filled intrabar. Tick Replay would be used to have the logic process OnEachTick or OnPriceChange with historical data, but this does not allow for intra-bar order fills. You would need to add a single tick data series and submit orders to that single tick data series for a strategy that uses Tick Replay.

High Order Fill Resolution allows for intra-bar order fills with historical processing, but is not compatible with Tick Replay.

Please reference the SampleIntrabarBacktest example and the following Help Guide links for more information.

SampleIntrabarBacktest 'Backtesting NinjaScript Strategies with an intrabar granularity' - https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

TickReplay — https://ninjatrader.com/support/help...ick_replay.htm

Developing for Tick Replay -
https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm?zoom_highlightsub= developing+for+tick+replay

Additional information may be found in this NinjaTrader Forum post —
https://ninjatrader.com/support/foru...mance?t=102504

Let us know if we may assist further.