Backtest executing orders at Open instead of Close

[jdemp0913]

I have a strategy that uses daily data which is designed to execute trades as Market On Close, but the actual prices of the trade executions as shown in the Strategy Analyzer use Open of the next bar. This results in the wrong PnL performance. Is there any way I can execute a MOC order in the Strategy Analyzer? Any help will be greatly appreciated!

[NinjaTrader_Jesse]

Hello,

Thank you for the post.

This would be an item related to how the backtest processes the strategy. To gain fills in the same bar, you would likely need to use logic and intrabar granularity. You can simulate this using a 1 tick series or you could also try using the other fill modes to see how the strategy reacts.

We have a sample that uses intrabar granularity here: http://ninjatrader.com/support/forum...ead.php?t=6652

You can find more about the differences between real-time and historical modes here: http://ninjatrader.com/support/helpG...tsub=discrepan

I look forward to being of further assistance.