Tick Replay Backtesting

[dibDab]

I'm using a 1 tick bar series for entry & exit but get the following message in my log:

"Backtesting with Tick Replay was not designed to provide higher accuracy concerning order fills and execution in historical. For higher granularity you can utilize but 'high' outside of Tick Replay."

Does Tick Replay not provide higher accuracy because historically it doesn't have bid/ask prices?

[NinjaTrader_BrandonH]

Hello dibDab,

Thanks for your post.

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 when backtesting.

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 when backtesting.

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

See this help guide documentation for more information about developing for Tick Replay: Developing for Tick Replay -
https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm?zoom_highlightsub= developing+for+tick+replay

And, see this reference sample, SampleIntrabarBacktest 'Backtesting NinjaScript Strategies with an intrabar granularity': https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

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

Let me know if I may assist further.