Strategy analyzer with unmanaged orders

[Gerik]

Hello,

I am using unmanaged orders in a strategy.

When I run my strategy in a chart (historical) all orders get filled. When using the Strategy Analyzer, not every order gets filled although a limit has been reached and surpassed. I am using ES 06-23, so there should be enough liquidity.

Any ideas where to look for the root cause of this issue? Is think this is a little bit strange as filling orders in a chart should be same as with the strategy analyzer.

Sincerely
Gerik

[NinjaTrader_ChrisL]

Hello, thanks for writing in. This may be caused by the bar type you are using as it may not have enough resolution to estimate the limit order fill. If the strategy does not add any extra data series, you can use set "Order Fill Resolution" to "High" and set a smaller data series to use to fill orders upon to improve this order fill estimation. See the documentation here:

https://ninjatrader.com/support/helpGuides/nt8/index.html?backtest_a_strategy.htm#UnderstandingBacktestProperties

[Gerik]

Hello Chris,

thank you for your real-time response.

I tried to change "Order Fill Resolution" to "High". I am using 5 minutes as the data series and 1 minute for the order fill resolution. I have the same issue. Any additional ideas?

Sincerely
Gerik

[NinjaTrader_ChrisL]

Hi Gerik, please try a 1 tick series first, if you still have the same issue here, you will need to use Prints to debug your strategy and first see if the order is being placed and track it in OnOrderUpdate. We also have a strategy example here that you can test out which also uses limit/stop orders:

https://ninjatrader.com/support/help...onorderupdate_ and_onexec.htm

Here is more information on using Prints:

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working#post791121

Kind regards,
-ChrisL