How to make a High Order Fill Resolution with a Multi-Series(& Instruments) Strategy?

[PrQuantumH]

Dear all,

I would like to know how to use the High Order Fill Resolution (1 Minute or 1 Tick) in Back-Testing with a Multi-Series & Multi-Instruments Strategy ?

The reason is to make the Entry price more accurate at the intra-bar and not waiting until the close of the bar.

Example Template where the trading Time-Frame is 35 minutes (The first data series) :

NinjaTrader.Cbi.InstrumentList [B]list[/B] = NinjaTrader.Cbi.InstrumentList.DbGet("[B]Instruments_List[/B]");

protected override void OnStateChange()
{[INDENT]if (State == State.SetDefaults)
{[/INDENT][INDENT=2]//
//
[B]OrderFillResolution = OrderFillResolution.High;[/B]
//
//[/INDENT][INDENT]}
else if (State == State.Configure)
{[/INDENT][INDENT=2]if ([B]list [/B]!= null)
{[/INDENT][INDENT=3]
foreach (Instrument [B]i[/B] in [B]list.Instruments[/B])
{[/INDENT][INDENT=4]AddDataSeries([B]i[/B].FullName,BarsPeriodType.Minute, 35);
AddDataSeries([B]i[/B].FullName,BarsPeriodType.Minute, 40);
AddDataSeries([B]i[/B].FullName,BarsPeriodType.Minute, 45);
AddDataSeries([B]i[/B].FullName,BarsPeriodType.Minute, 50);[/INDENT][INDENT=3]}[/INDENT][INDENT=2]
}[/INDENT][INDENT]
}[/INDENT]
 }

Regards,

[NinjaTrader_Jesse]

Hello PrQuantumH,

The fill resolution setting is for single instrument strategies. If you wanted to do the same general task you would need to add a 1 tick secondary series to your script using AddDataSeries and then use that series for submitting orders. You can find a sample of that concept here:

https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

In the analyzer you would then select the standard fill resolution setting as your strategy is programmed to do that task instead.