Setting breakeven fails in strategy snalyzer

[spencerduran]

I have a strategy that modifies a stoploss after a certain offset. This works great in real time and playback but the strategy analyzer fails.
It seems the position is already closed by the time the modification order is processed:

"Cancelled pending exit order, since associated position is closed,"

Strategy analyzer:


Playback:



Is there a recommended way to handle intrabar order modification so that strategy analyzer is able to process it accurately?

Additional info, i have added a tick data series and am using tick replay in the strategy analyzer.

if (BarsInProgress == 0)
{
    if (Position.MarketPosition != MarketPosition.Flat && EnableBreakEven)
    {   
        CheckBreakEven();​
    }
}

[NinjaTrader_Helom]

Hello spencerduran

Thanks for your message.



This behavior is expected in NinjaTrader 8 due to differences between real-time behavior and Strategy Analyzer historical backtesting, especially with intrabar order modifications.

In your case, since you already have tick replay enabled, and you have added a 1 tick data series, you need to ensure that the order is sent and filled on the secondary bar series. While the entry condition is triggered on the primary bar series, the order needs to be sent on your added 1 tick data series, or BarsInProgress = 1.

For example, the way the bar series is determined is by the first parameter: 0 = primary bars,1 = secondary bars, etc.

EnterLong(1, 1, "Long: 1min");

EnterLong()

BarsInProgress

Also, ensure to have Calculate set to OnPriceChange or OnEachTick.

The link below contains a sample code demonstrating how to improve backtesting NinjaScript Strategies with an intrabar granularity

SampleIntraBarBackTest

We also have a more in-depth developer guide with more information on how to improve backtest order fill accuracy with intrabar granularity.

NinjaScript Developer Guide


Feel free to reach out with any other questions or concerns.