Backtest OnEachTick strategy

[linkcou]

Hi NT Team,

I have a strategy that operates NQ in 5 min bars with limit orders. This is a strategy that requires OnEachTick updates because it uses a volume filter that is updated on every tick.

I am trying to see if I can backtest this strategy with "Order fill resolution" = High (1 second). When I set everything, i received the following message:


I am not sure why this is the case because i am using a single-series (the NQ 5 min bar). Any idea why this is happening?

Thanks!

[bltdavid]

Are you using AddDataSeries in your strategy?

[NinjaTrader_ChelseaB]

Hello linkcou,

You will need to enable TickReplay to use Calculate.OnEachTick, and add a 1 tick series to submit orders to for intra-bar fills.

This forum thread goes into detail.

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

[linkcou]

Thank you both, really helpful!

I enabled the option "TickReplay" and add the piece of code in the screenshot below as per instructions in one of the videos:


However, when I go to the Strategy Analyzer and select the option Fill Resolution "High", i received the error below and it forces me to do the backtest with the "Standard" option:
"Order Fill Resolution is not available when Tick Replay is enabled"


When doing the backtest with the "Standard" option the trades taken don't replicate exactly the strategy.

Additionally, I realized in the backtest that one volume filter that I have "OnEachTick" is not considered when entered the trades. Do I need to declare in the code the filter in any other place to perform the backtest?

Thanks!

[linkcou]

To give a bit more of context, the volume filter i have calculated it in "OnMarketData". See below:

[NinjaTrader_ChelseaB]

Hello linkcou,

Currently, at this time, there is a known issue (tracked with ID# NTEIGHT-10782) where the High Fill Order Resolution and TickReplay cannot be used together. These work great when used on their own, however, when used together a complication arises that prevents the script from processing. Our developers are working hard to have this corrected in an upcoming build of NinjaTrader 8.
In the meantime, if it is necessary to have both, it is still possible to add intra-bar granularity to a script in the code itself with AddDataSeries() for order fill accuracy and use TickReplay to update indicators with Calculate set to OnPriceChange or OnEachTick historically and/or have IsFirstTickOfBar work correctly in historical data.

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

Placing orders to the barsInProgressIndex of the 1 tick series is the same as high order fill resolution and works with TickReplay.

There is a specific way of coding in OnMarketData() for TickReplay.
See the code sample in the help guide linked below.

https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm

[linkcou]

Thank you, Chelsea! I think I am getting closer to solve this issue

I have implemented the barsInProgressIndex = 1 and now it enters/exit in the right levels. However, I am still having troubles with the volume filter.

The filter is implemented as a condition to enter long and short in the "OnBarUpdate"
Filter = ProjectedVolume < SMA(Volume, 10)[0]

Where:
- ProjectedVolume is a calculation using the time remaining in the bar and the current volume.

I implemented in the projected volume the "marketDataUpdate.Volume" as you suggested. However, i dont know how to create a live SMA of 10 period of the current volume.

Any idea how to do this?

I tried SMA(marketDataUpdate.Volume, 10) in the OnBarUpdate but it doesnt work.

Thanks!

[linkcou]

Hi Chelsea,

After a while I found the way to backtest the projected volume and now it's working well

However, I realized in the backtest there are a few missing trades that are right next to the exit bar of the the last exit trade. Example below left screenshot is the backtest and right screenshot the actual trades generated by the strategy in real time:



In the real-time strategy, I have a filter with Barssinceexitexecution to just have one Long or short entry/exit per bar. Taking into consideration what you told me previously I added 1 in the BarsInProgress index in this function. See below the filter code:

"&& (BarsSinceExitExecution(1, "ExitStopShort", 0) != 0 && BarsSinceExitExecution(1, "ExitLimitShort", 0) != 0)"

Do you know why or how i can make the backtest to generate as well the trades in the next bar of the last exit?

Thank you in advance!

[NinjaTrader_ChelseaB]

Hello linkcou,

If there is a condition that is not evaluating as true when expected, print the time of the bar and ALL values used in the full condition set along with labels for each value and comparison operator.
Enable TraceOrders in State.Configure.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

Save the output to a text file and attach this to your next post.
Let me know the specific bar time the order is expected on.

I'll be happy to analyze the output to see why the order is not being submitted when expected.

[linkcou]

Hello Chelsea, thanks for your quick answer!

I have generated a text file of 3 Mb and i can't upload it here. Do you know how can i attache it to you?

The file contains data for NQ future on December 6th at 12:30 when this condition should be true. The 3 conditions i am adding are the below one from the code


I checked the output file and indeed the last exit order is generated at 12:20:04 as per below:

So for the bar time 122500 the "BarssinceExitExecution" should be False as it is in the screenshot above. However, for the timestamp 123000 it should be already true again and i have checked and it's always false for the whole bar. See below the output:

[NinjaTrader_ChelseaB]

Hello linkcou,

The BarsSinceExitExecution is an integer, which is a number, and not a true or false value.

The print should appear:
Print(string.Format("{0} | Close[0]: {1} <= LLL1: {2} && MyProjectedVOL[0]: {3} < SMA(Volume, 10)[0]: {4} && BarsSinceExitExecution(1, "ExitStopLong", 0): {5} != 0 && BarsSinceExitExecution(1, "ExitLimitLong", 0): {6} != 0", Time[0], Close[0], LLL1, MyProjectedVOL[0], SMA(Volume, 10)[0], BarsSinceExitExecution(1, "ExitStopLong", 0), BarsSinceExitExecution(1, "ExitLimitLong", 0)));

[linkcou]

Hello Chelsea, thanks!

I added your code and run it. I still can't send it to you because of the size of the text file. Let me know if there is a way to get it to you.

I can send you some screenshots in the meantime. The strategy is OnEachTick that's why is generating so many lines.


Sending you the text file for the timestamp 12.25 (text v1) and for the timestamp 12.30 (text v2) when it should generate the order.

Let me know if you see any issue.

[NinjaTrader_ChelseaB]

Hello linkcou,

You can use a cloud transfer service.

https://www.google.com/search?q=file+transfer+service

If there is a lot of output, you may also consider writing this to a text file.

Below is a link to an example.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

[linkcou]

Hello Chelsea,

Thanks for your answer.

Below the link to download the output from the backtest:
https://wetransfer.com/downloads/bf15d234df26d0006cfcf8f9d15e240720231211161750/542eb115550cdcc3e9522a0c9856c5d220231211161750/01ee07

Let me know if you can't access.
Thanks!

[NinjaTrader_ChelseaB]

Hello linkcou,

Are you certain you have TraceOrders enabled in State.Configure as advised in post # 9?

The file doesn't have any prints for 12:30. The prints start at 12:55.

You may need to write to a file to include the full output, or use a time filter to only print between a specific range of minutes.