EMA Crossover Intra-bar execution not working

[cmaddrix]

Hi everyone,

I have been trying to get this ema crossover strategy to execute trades intra-bar vs on bar close. Can anyone offer any advice as to how to accomplish this? I am trading on the 1 Min chart and I have tick replay enabled on the chart and selected in the strategy settings. Currently trades are being executed after bar close. Thanks

namespace NinjaTrader.NinjaScript.Strategies
{
public class SampleMACrossOver2 : Strategy
{
private EMA emaFast;
private EMA emaSlow;

private int? lastEntryBar = null;
private int tradesToday = 0;
private DateTime currentSessionDate = Core.Globals.MinDate;

region OnStateChange
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = "EMA Crossover with spread filter, angle exit, and concise debugging.";
Name = "SampleEMACrossOver2";

Fast = 3;
Slow = 18;

MinBarsBetweenEntries = 3;
MaxTradesPerDay = 5;

AngleReversalTicks = 4;

SpreadThresholdTicks = 2;
SpreadLookbackPeriod = 5;

EnableLong = true;
EnableShort = true;

EnableDebug = false;

IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
Calculate = Calculate.OnEachTick; // intra‑bar tick‑by‑tick processing
}
else if (State == State.DataLoaded)
{
emaFast = EMA(Fast);
emaSlow = EMA(Slow);

emaFast.Plots[0].Brush = Brushes.Goldenrod;
emaSlow.Plots[0].Brush = Brushes.SeaGreen;

AddChartIndicator(emaFast);
AddChartIndicator(emaSlow);
}
}
#endregion

region OnBarUpdate (primary series only)
protected override void OnBarUpdate()
{
if (BarsInProgress != 0)
return; // just in case

if (CurrentBar < BarsRequiredToTrade || CurrentBar < SpreadLookbackPeriod)
return;

// -------- Daily reset --------
if (Time[0].Date != currentSessionDate.Date)
{
tradesToday = 0;
currentSessionDate = Time[0].Date;
}

// -------- Trade filters --------
if (tradesToday >= MaxTradesPerDay)
return;

if (lastEntryBar.HasValue && CurrentBar - lastEntryBar.Value < MinBarsBetweenEntries)
return;

if (!IsSpreadAdequate())
return;

// -------- Entry signals (intra‑bar) --------
bool longSignal = EnableLong && CrossAbove(emaFast, emaSlow, 1);
bool shortSignal = EnableShort && CrossBelow(emaFast, emaSlow, 1);

if (EnableDebug && (longSignal || shortSignal))
Print($"{Time[0]:yyyyMMdd HH:mm:ss.fff} longSig:{longSignal} shortSig:{shortSignal} emaF:{emaFast[0]:F2} emaS:{emaSlow[0]:F2}");

if (longSignal)
EnterLong("Long Entry");
else if (shortSignal)
EnterShort("Short Entry");

ManageAngleReversalExits();
}
#endregion

region Helper Methods
private bool IsSpreadAdequate()
{
for (int i = 0; i < SpreadLookbackPeriod; i++)
{
double spreadTicks = Math.Abs(emaFast[i] - emaSlow[i]) / TickSize;
if (spreadTicks < SpreadThresholdTicks)
return false;
}
return true;
}

private void ManageAngleReversalExits()
{
double slopeTicks = (emaFast[0] - emaFast[1]) / TickSize; // ticks change over 1 bar (still fine intra‑bar)

if (Position.MarketPosition == MarketPosition.Long && slopeTicks <= -AngleReversalTicks)
{
if (EnableDebug) Print($"Angle EXIT long slope:{slopeTicks:F1}");
ExitLong("AngleExitLong", "Long Entry");
}

if (Position.MarketPosition == MarketPosition.Short && slopeTicks >= AngleReversalTicks)
{
if (EnableDebug) Print($"Angle EXIT short slope:{slopeTicks:F1}");
ExitShort("AngleExitShort", "Short Entry");
}
}
#endregion

region OnExecutionUpdate
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity,
MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.BarsInProgress != 0 || execution.Order.OrderState != OrderState.Filled)
return;

if (EnableDebug) Print($"FILLED {execution.Order.Name} {price} {time:HH:mm:ss.fff}");

if (execution.Order.Name == "Long Entry")
{
SetStopLoss("Long Entry", CalculationMode.Ticks, StopLossTicks, false);
SetProfitTarget("Long Entry", CalculationMode.Ticks, TakeProfitTicks);
}
else if (execution.Order.Name == "Short Entry")
{
SetStopLoss("Short Entry", CalculationMode.Ticks, StopLossTicks, false);
SetProfitTarget("Short Entry", CalculationMode.Ticks, TakeProfitTicks);
}

lastEntryBar = CurrentBar;
tradesToday++;
}
#endregion

[NinjaTrader_ChelseaB]

Hello cmaddrix,

To have intra-bar actions in real-time, in the strategy properties in the Strategies window, set Calculate to OnPriceChange.

Note, for this to work in historical 1-tick intra-bar granularity and TickReplay are necessary.

https://support.ninjatrader.com/s/article/Developer-Guide-Improving-backtest-order-fill-accuracy-with-intrabar-granularity