I'm testing a scalping strategy that I developed. The difference between onbarclose and oneachtick is substantial in replay backtesting. My question is how does "on each tick" really work? Is it capturing the same trade over and over due to volatility in the market? I'm trading the NQ. When I use on bar close, it takes one trade only. But the on each tick option produces multiple trades per entry point. Curious as to how this works. Thanks.
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Hello Fran888,
When using OnEachTick and comparing against historical results you would see large differences because the historical test will be run OnBarClose and not OnEachTick. In playback you can test OnEachTick because you are playing through realtime data.
OnEachTick means OnBarUpdate is called for each tick, OnBarClose means OnBarUpdate is called once each bar closes.
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