Fill limit orders on touch error

[mballagan]

I have a strategy running on a one renko chart. The stop is 10 ticks and profit 4 ticks with 'Fill limit orders on touch' enabled.

There are some instances when a price appears to be touched but the order is not filled. Is this a feature of the simulation engine?

In the example of the image the order enters at 3816.0 and the price appears to touch 3818.0 before reversing but the order is not filled at the profit target and exits with a loss. (Instrument FESX).

[NinjaTrader_BrandonH]

Hello mballagan,

Thanks for your post.

I see that you are backtesting a strategy on Renko bars.

Backtesting on Renko bars is not reliable because the Open can be redrawn based on the direction of the bar in real-time.

Standard Renko bars can be challenging for backtesting as the barstypes use functionality to remove the last bar in the data series and replace the bar with a new Open price. This is done with reversals and cannot be simulated historically because the bars are already built.

You could try setting order fill resolution to High with a value of 1 Tick to see if this improves the situation.

Otherwise, testing may be done with the Playback Connection to fully simulate standard Renko bars with accurate reversals and order fills.

Playback: https://ninjatrader.com/support/help...8/playback.htm

Let us know if we may assist further.

[mballagan]

Hello mballagan,

Thanks for your post.

I see that you are backtesting a strategy on Renko bars.

Backtesting on Renko bars is not reliable because the Open can be redrawn based on the direction of the bar in real-time.

Standard Renko bars can be challenging for backtesting as the barstypes use functionality to remove the last bar in the data series and replace the bar with a new Open price. This is done with reversals and cannot be simulated historically because the bars are already built.

You could try setting order fill resolution to High with a value of 1 Tick to see if this improves the situation.

Otherwise, testing may be done with the Playback Connection to fully simulate standard Renko bars with accurate reversals and order fills.

Playback: https://ninjatrader.com/support/help...8/playback.htm

Let us know if we may assist further.

Thanks for your reply. In this case I'm not in backtest mode but in realtime simulation. Is there a way to set order fill resolution as in historical?

Alternatively I could add a 1 tick chart and execute orders on this timeframe (the entry condition being set by the renko bars).

[NinjaTrader_BrandonH]

Hello mballagan,

Thanks for your note.

If you are running a strategy real-time, you could set the Order Fill Resolution in the Historical Fill Processing section of the strategy's Properties when enabling the strategy.

See this help guide page for more information: https://ninjatrader.com/support/help...tegyProperties

Let us know if we may assist further.