Manual management of 1 tick resolution strategy

[pete888]

Hi, With no consideration for complication of code, how would a script be coded for maximum accuracy of orders placed during historical data backtesting? The most complex way, I think, would be to process each tick summarizing them into bars with OHLCVT, of required timeframes, when the first tick of the next time interval is received

I see the various functions and techniques in shown in example code that strives to achieve this level of accuracy with less complexity due to using said functions and techniques. But can the use of these reach the same level of accuracy in historical strategy backtesting? Since I can generate a data set containing each tick and the volume associated with it, I think that going fully manual as described would operate with as much order accuracy as possible. But if there is an easier way, without sacrificing accuracy, what would that be?



I am new to NInjatrader, and I apologize if this question has been answered before, but I've not found this discussed specifically anywhere. Thanks, Pete

[NinjaTrader_BrandonH]

Hello Pete,

Thanks for your post.

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

When in historical data (backtesting), 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.

Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick' and the script will not have the intra-bar information to accurately fill an order at the exact price and time.

Below is a link to the help guide on Calculate.
https://ninjatrader.com/support/help.../calculate.htm

To improve the accuracy of a backtest, you may use Tick Replay along with an added 1-tick series to have logic processed intra-bar and have orders filled intrabar.

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. 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.

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

Please reference the SampleIntrabarBacktest example and the following Help Guide links for more information.

SampleIntrabarBacktest 'Backtesting NinjaScript Strategies with an intrabar granularity' - https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

TickReplay — https://ninjatrader.com/support/help...ick_replay.htm

Developing for Tick Replay -
https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm?zoom_highlightsub= developing+for+tick+replay

Additional information may be found in this NinjaTrader Forum post —
https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance?t=102504