Entries at open of bar

[spencerduran]

My strategy works as expected on intrabar entries and exits, but only when i have a single entry. As soon as i add more, entries occur on the open of the bar that triggered the entry, but should have been later in that bar.

Code for broken entries:

    private void ExecuteLongEntry(BarType previousBarType, BarType currentBarType)
    {
        if (longLastEntryBar != CurrentBar) {
                    // Enter a position with a size of 4
            SetProfitTarget("my1stentry", CalculationMode.Ticks, 80);
            SetProfitTarget("my2ndentry", CalculationMode.Ticks, 100);
            SetProfitTarget("my3rdentry", CalculationMode.Ticks, 120);
            SetProfitTarget("my4thentry", CalculationMode.Ticks, 140);
            EnterLong( 1, "my1stentry");
            EnterLong( 1, "my2ndentry");
            EnterLong( 1, "my3rdentry");
            EnterLong( 1, "my4thentry");

            longEntryCount++;
            longLastEntryBar = CurrentBar;
            longEntryBarHigh = High[1];
            longEntryBarLow = Low[1];
            formingBarLow = High[0];
        }
    }​

Example of unwanted entries in backtest:
Code that works with single entry:

    private void ExecuteShortEntry(BarType previousBarType, BarType currentBarType)
    {
        if (shortLastEntryBar != CurrentBar) {
            EnterShort(1, Convert.ToInt32(4), "Short");
            SetProfitTarget(CalculationMode.Ticks, 75);
            shortEntryCount++;
            shortLastEntryBar = CurrentBar;
            shortEntryBarHigh = High[1];
            shortEntryBarLow = Low[1];
            formingBarHigh = High[0];
        }
    }​

Output in strategy analyzer:


I'm using tick replay, and the only difference is the number of orders

[NinjaTrader_Emily]

Hello spencerduran,

Thank you for your post.

Please clarify what you mean by "As soon as i add more, entries occur on the open of the bar that triggered the entry, but should have been later in that bar."
Do you mean that entries are being shown at the Open price of the bar rather than an intrabar price? This would be expected in a backtest because of the historical fill algorithm. Fill prices are determined based on the OHLC prices of the bar. Tick replay would allow for intrabar actions to occur, but it does not introduce more granular, intrabar prices for the order fill algorithm. What are the results if you disable tick replay and instead use the High Order Fill Resolution with a 1 tick data series? This would intoduce more granular data, with 1-tick being the most granular option available. Then the order fill prices should represent the intrabar price values where the orders were filled at. For more information on discrepancies between real-time and backtest, the historical order fill algorithm, and intrabar granularity, please see the following links:

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm

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

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

Please let us know if we may be of further assistance.

[spencerduran]

Ah, what i meant by that was "As soon as i edit the strategy to include additional separate orders and re-run the strategy analyzer"
The goal is to be able to set different profit targets for each of the four entries

if you notice in the second screenshot in the original post, those are the correct entry points.

If i disable tick replay and use high resolution with 1 tick additional data, all entries are shown at the open of the bar following what should have been the entry bar. (pictured)

[spencerduran]

Incorrect entry point (open of trigger bar):

Correct entry point:


High resolution with additional 1 tick data series:

[NinjaTrader_Emily]

Hello spencerduran,

Thank you for your reply.

With Tick Replay disabled, it is expected that the strategy will run its logic "On Bar Close" rather than On Price Change or On Each Tick. That is why, with Tick Replay disabled, you see the entries on the bar after the entry condition is triggered. What you will need to do to get your entry logic to process intrabar as well as have more granular price data for the profit targets to be filled at their separate prices is enable Tick Replay and also program your strategy to add a 1-tick data series and submit orders to that added series. We have a reference sample of backtesting with intrabar granularity (which is essentially what the High Order Fill Resolution is doing) here:

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

The reason this is necessary is that Tick Replay can not be used with High Order Fill Resolution at the same time, so you must program the more granular data resolution into your strategy's logic itself.

Please let us know if we may be of further assistance.