Adding 1 Tick Data Series

[DBlev]

Hi,
I've read some articles on this, but I'm still a little confused. Does adding a 1 tick data series give you the most realistic fill for back testing strategies? Does the number of contracts come into play? Should slippage be added to the test? I'm testing for (ES, NQ, YM).

Thanks,
Dave

[NinjaTrader_ChrisL]

Hi Dave, thanks for writing in.

You can choose a 1 tick series for the High Order Fill Resolution and it will use a 1 tick series to determine if the price hit an order. If your strategy adds more data series, High order fill resolution can not be used, so you have to add a 1 tick series yourself and submit the order to that series using an order entry overload that takes a BarsInProgress index e.g.:

EnterLongLimit(int barsInProgressIndex, bool isLiveUntilCancelled, int quantity, double limitPrice, string signalName)

We have a fully implemented example here:
https://ninjatrader.com/support/help...ipt_strate.htm

Here is the filling algorithm we use in a backtest:
https://ninjatrader.com/support/help...fill_logic.htm

Kind regards,
-ChrisL

[DBlev]

Thanks for the reply Chris.

I implemented the multi-series option that you mention above, filling on the one tick series.

I reread the filling algo documentation. It doesn't seem to account for the number of contracts being traded. Is that accurate? Is there a way to program for that? I would guess that the fill algo is pretty accurate when trading one contract, but what about 25 or 50?

Thanks,
Dave

[NinjaTrader_ChrisL]

Hi Dave, thanks for your reply.

It does account for every contract specified in the Quantity parameter. Could you detail out what exactly you are seeing between using 1 contract or 25?

Best regards,
-ChrisL

[DBlev]

Hi Chris,
I'm not seeing anything weird on the 1 vs 25. I was seeing different results for 1 minute vs 1 tick. I was just making sure I was back testing in the most precise way.

Thanks,
Dave