Volumetric Bars and Order Fill Resolution

[tietzmann]

Hi Support,

I created a strategy that works with volumetric bars, because I need to get bid and ask info from the bar. This is how I am doing this:

NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe barsType = Bars.BarsSeries.BarsType as
NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe;

double bidLow = barsType.Volumes[CurrentBar].GetBidVolumeForPrice(Low[0]);

So far so good. My footprint chart where I apply this strategy is of Type Volumetric, Base Period Type Range, Base Period Time 5.

Now, when I backtest the strategy with Order Fill Resolution = Standard I get very different results than running with the High Resolution. Why is that? The Standard resolution won't read the bid and ask for every price level that I have on the chart?

Also, I added a new dataseries to the strategy and now I can't use the High resolution anymore. Is there any work around for this?

AddDataSeries("^VIX", Data.BarsPeriodType.Minute, 10);

Regards,
Juliano

[NinjaTrader_ChelseaB]

Hello Juliano,

Welcome to the NinjaTrader forums!

Add a 1 tick series for intra-bar granularity and submit orders to the BarsInProgressIndex of that 1 tick series.

Return in OnBarUpdate() if BarsInProgress is not the primary series 0.

if (BarsInProgress != 0)
return;

Below is a link to a forum post that links an example.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

[tietzmann]

Hi Chelsea,

Thanks for the prompt response! To be honest I don't really understand how using a secondary data series with Tick has fixed the issue, but it did!

Just to document for other users here is what I did:

else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);
}

if (BarsInProgress != 0)
return;

// first param is BarsInProgressIndex set to the secondary Tick data series
EnterLong(1, 1, "Long1");

[NinjaTrader_ChelseaB]

Hello tietzmann,

The 1 tick series provides the proper tick data for the orders to get valid prices to fill with.