Backtest Historical Vs Playback Historical?

[NUVERSA]

Hello,
I'm experiencing a strange issue with backtesting versus playback. During playback, as I scrub through a trade, it splits into partial fills like 5-1-1 for a 7-contract order. However, when I hit F5 to refresh, it shows a solid fill of 7 contracts. Is there something I'm missing in the settings? I've tried adjusting settings like high resolution, market replay, and fill limit order on touch, but nothing seems to make the playback behave like the historical test. Any insights or suggestions would be appreciated.

[NinjaTrader_Gaby]

Hello NUVERSA,

Thank you for your post.

When using the Playback, are you testing using historical data or replay data? You mention both in your post so I'm not clear on which data you are seeing this behavior occur on.

Market Replay is a recording of live data as it is seen and includes Level II data. By replaying this data, you replay the market movements the instrument experienced as accurately as possible on the platform, as you replay a full recording.

When replaying historical data, or backtesting (which uses historical data), this only includes Level I data. When in historical data, 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.

If you are doing a replay, then hit F5 to refresh, these orders are now "historical" orders instead of orders replayed using Market Replay which has more granular data.

Please let me know if I can assist further.

[NUVERSA]

okay got it, So you're saying id have to inject a 1 tick series to execute orders on to obtain similar action as playback.
As a note, even on the historical data playback im getting partial fills
on market replay im getting more market fills, but when i hit F5 refresh, it changes the exit index as you so and fills them all as 7

[NinjaTrader_Gaby]

Hello NUVERSA,

Yes exactly, intra-bar granularity adds a second data series such as a 1 tick series using AddDataSeries() so that the strategy or indicator has the individual ticks in the historical data in between the High and Low of the primary series.

• This allows for more accurate trades by supplying the correct price at the correct time for the order to fill with. The orders placed will need to use the BarsInProgress (BarsArray) index of that finer resolution series.
  • https://drive.google.com/file/d/12F6...C3TgPC3pA/view
  • Help guide link

In NinjaTrader 8, there have been two new enhancements so that programmers may not have to manually add this secondary series and code the script for high accuracy fills (Order Fill Resolution) or for intra-bar actions (TickReplay) depending on the needs of the script.

on market replay im getting more market fills, but when i hit F5 refresh, it changes the exit index as you so and fills them all as 7

When you refresh after the Market Replay, this is re-calculating those trades under historical data instead of Market Replay data. When you let the playback run on Market Replay, it is producing virtually real time results. However once you refresh or skip through the replay, it will reload all the historical data.

Please let me know if you have any further questions.