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Question about Order Fill Resolution

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    Question about Order Fill Resolution

    I have read a bit about the order fill resolution setting in the backtester and in strategies. I am under the impression that this is better for longer period bars such as hr/day times. I am running various Renko bars from 10 tick to 40 tick. Would tick resolution be necessary for those?

    Also, in another thread I see "When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known." - My buy/sell triggers fire off at bar close. Would intra bar data be necessary in that case?

    Thanks in advance.

    #2
    Hello sprks7979,

    Thanks for your post.

    I see you mentioned backtesting on Renko bars.

    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.

    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

    That information is correct about backtesting with the Strategy Analyzer.

    Please review the help guide document on the differences on real-time vs backtest (historical).
    http://ninjatrader.com/support/helpG...ime_vs_bac.htm

    High order fill resolution will allow you to set a secondary bar series to be used as the price data to fill your orders. This allows you to bring in more granular data than you are currently running the strategy on. For example, you may have a strategy that you run on "Daily" bars but then want to bring in "Minute" bars for the historical fill algorithm to be based on. You could choose to always use the most granular order fill resolution such as a 1 Tick Data Series. However, this forces NinjaTrader to process this additional data for use in the historical fill algorithm.

    The secondary bar series will mimic the 'price based on' setting in your Strategy Analyzer settings. (Ask, Bid, Last)

    Please note, order fill resolution only affects historical orders and does not affect real-time orders.

    Below is a link to a forum post that details this topic.
    https://ninjatrader.com/support/foru...297#post491297

    And, see this help guide page: https://ninjatrader.com/support/help...FillResolution

    Please let me know if you have further questions.
    Brandon H.NinjaTrader Customer Service

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