Backtest with Tick Dataseries filled outside of area?

[brad79]

I'm building a simple scalp strategy but when I view my backtest trades and load all the data series into the chart view of a trade, I'm seeing things like the below (where a fill happens outside of price traded).

My main strategy series is 1 min, I've also added a 1 tick data series, and a separate custom chart data series. My orders are always placed vs BarsInProgress 1 which should be my tick chart.

Code sample:

            else if (State == State.Configure)
            {
                AddDataSeries(Data.BarsPeriodType.Tick, 1);
                AddDataSeries(new BarsPeriod { BarsPeriodType = (BarsPeriodType)54324, BaseBarsPeriodValue = 12, Value = 3, Value2 = 31});
            }​

if (BarsInProgress == 1)
            {
                if ( Position.MarketPosition == MarketPosition.Flat &&
                    CanEnterLong )
                {
                    SetProfitTarget(@"scalp", CalculationMode.Ticks, 8, false);
                    EnterLong(5, @"scalp");
                }

                if (Position.MarketPosition == MarketPosition.Long) Print(Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0]));

                if(Position.MarketPosition == MarketPosition.Long && Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0]) < -200)
                {
                    ExitLong(@"scalp");
                }​

[brad79]

Based off what I can tell, it will fill the the profit target if the minute candle touched the profit, even if it was before the trade was entered... Below screenshot, you can see on the tick, when it was filled and it never reached the TP value, but when the minute candle completed, it filled the trade because that minute candle had been up that high (on tick chart you can see this before the entry). I assume I need to not use TakeProfit or StopLoss and enter them manually on the tick timeframe.

[NinjaTrader_Emily]

Hello brad79,

Thank you for your post.

So I may assist you more accurately, please answer all of the following questions:

• What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.?.?.?)
• Who are you connected to? This is displayed in green in the lower-left corner of the Control Center window.
• Are you connected to your data feed provider when running this test?
• What instrument(s) (and expiry if applicable) have you selected?
  • Based on your screenshots, it is NQ 03-24 correct?
• What From and To date is selected?
• Based on your screenshots, it seems this is only happening on the SetProfitTarget() order, correct? Are there any times where the ExitLong(@"scalp") order is filled, and if so is that within the range of the bar or no?
• Do you receive an error on the screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?

Please also provide the date and time for one of the orders in question so I may take a look at the date for NQ 03-24 on that date and time to investigate.

I would like to point out the following note in the help guide that may be related to this behavior:

• "Should you have multiple Bars objects of the same instrument while using SetProfitTarget() in your strategy, you should only submit orders for this instrument to the first Bars context of that instrument. This is to ensure your order logic is processed correctly and any necessary order amendments are done properly."
  • https://ninjatrader.com/support/help...ofittarget.htm

Based on your snippet, you are submitting orders to the added 1-tick data series which is the secondary Bars context of the instrument and not the first Bars context of NQ 03-24.

Thanks in advance; I look forward to further investigating this item.

[brad79]

I would like to point out the following note in the help guide that may be related to this behavior:

• "Should you have multiple Bars objects of the same instrument while using SetProfitTarget() in your strategy, you should only submit orders for this instrument to the first Bars context of that instrument. This is to ensure your order logic is processed correctly and any necessary order amendments are done properly."
  • https://ninjatrader.com/support/help...ofittarget.htm

Based on your snippet, you are submitting orders to the added 1-tick data series which is the secondary Bars context of the instrument and not the first Bars context of NQ 03-24.

Thanks in advance; I look forward to further investigating this item.

This is my issue. Thank you.