Fastest way to place a long limit order?

[joehanus]

I'm developing a strategy that places long limit orders at the PSAR[0] indicator value if the ask price of my equity is greater than it. I would like to place this order as soon as it is possible (i.e. as soon as the ask price is greater than or equal to the PSAR value of the previous closed bar). Initially, I was using the condition GetCurrentAsk() > PSAR[0] to place my long limit order at the PSAR[0] value, with the calculation mode to OnBarUpdate, but then I realized GetCurrentAsk() is only called once at the close of every bar, so now I'm wondering if I could have placed the order earlier. Originally I was using the following with range bars (with the CurrentBar logic to prevent multiple orders per bar):

Calculate = calculate.OnBarClose
protected override void OnBarUpdate()
        {
            if (GetCurrentAsk() > PSAR[0] && tradeEntryBar != CurrentBar)
            {
                EnterLongLimit(0,true,TradeQuantity,PSAR, "myLongEntry");
                tradeEntryBar = CurrentBar;
            }
            
        }​

But using OnEachTick, I am calculating the GetCurrentAsk() for each tick, then I'm using PSAR[1], which I believe the [1] would now represent the close of the previous bar (since I'm using OnEachTick).

Calculate = calculate.OnEachTick
protected override void OnBarUpdate()
        {
            if (GetCurrentAsk() > PSAR[1] && tradeEntryBar != CurrentBar)
            {
                EnterLongLimit(0,true,TradeQuantity, AuSuperTrendU111.StopDot[1], "myLongEntry");
                tradeEntryBar = CurrentBar;
            }
            
        }​

Or.... should I be using OnMarketData, so I would have something like this:

Calculate = calculate.OnBarClose
        protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
​        {
           if (marketDataUpdate.MarketDataType == MarketDataType.Ask && marketDataUpdate.Price > PSAR[0] && tradeEntryBar != CurrentBar)
            {
                EnterLongLimit(0,true,TradeQuantity, PSAR[0], "myLongEntry");
                tradeEntryBar = CurrentBar;
            }​
            
        }​

So my question is which of these 3 options (or is there another) is the fastest way of placing my limit order at the PSAR level as soon as it is possible (i.e. on the right side of the market).

Thank you!

[NinjaTrader_Gaby]

Hello joehanus,

Thank you for your post.

If you want to do something intra-bar (as opposed to waiting until the bar closes), use Calculate.OnEachTick or Calculate.OnPriceChange.

https://ninjatrader.com/support/helpguides/nt8/calculate.htm

When using Calculate.OnEachTick or OnPriceChange, [0] is the currently building bar and [1] is the just closed bar. So PSAR[0] would be the current value of the indicator while PSAR[1] is the value of the indicator 1 bar ago.