Strategy Analyzer order of events...

[fxRichard]

I believe this is a common problem for the Strategy Analyzer but want to clarify exactly how NT handles things in an attempt to better understand this issue.

Let's say I look for a simple candlestick pattern and want to place a stop or limit order as soon as the pattern presents itself.

I can only know the pattern exists as soon as the bar closes, thus lets assume the following:

Using an indicator with a custom DataSeries for signals
Using Calculate.OnEachTick 

Bar 1 - Pattern forms
Bar 2 (IsFirstTickOfBar) - Indicator identifies pattern and places it in custom DataSeries Signals[0].
Bar 2 - Strategy reads Signals[0] and places a Buy Stop Order

....

Now this is where things go wrong. I would expect that since this code was run on the first tick of bar 2 and a buy stop order was placed that the bars OHLC values would be used to determine an entry in the strategy analyzer?

What is happening is the entries always happen on the next bar. So does this mean that Bar 2 the order is being placed but NT does not "fill" it or process the bar values until the next bar?

Not sure if this is clear, I can provide an image if necessary.

[NinjaTrader_PatrickH]

Hello fxRichard,

Thank you for your post.

From what you describe the order would be submitted on the bar following the confirmation bar. So once the signal is confirmed as valid the execution will occur on the following bar.
In backtesting the executions will occur on the bar after the condition was found as true. Backtesting will calculate condition on the close of the bar.

For information on the differences between historical and real-time executions please visit the following link: http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Please let me know if you have any questions.

[fxRichard]

Hello fxRichard,

Thank you for your post.

From what you describe the order would be submitted on the bar following the confirmation bar. So once the signal is confirmed as valid the execution will occur on the following bar.
In backtesting the executions will occur on the bar after the condition was found as true. Backtesting will calculate condition on the close of the bar.

For information on the differences between historical and real-time executions please visit the following link: http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Please let me know if you have any questions.

Thanks Patrick. From what I am reading in the guide it states:

During backtest, strategies can ONLY be processed at the close of each bar.

So I would assume that since Bar 1 closes, Bar 2 opens, the indicator finds the pattern, the strategy places the order then NT handles the fill of the order on the close of Bar 2 which would put it into Bar 3 correct?

If that is the case would changing my strategy and indicator to use "OnBarClose" for backtesting purposes solve this problem and move the processing from the first tick of Bar 2, to the last tick of Bar 1? I would have to add extra logic for this but that's fine for backtesting purposes. Or would it work like this:

Assuming all are set to OnBarClose:

Bar 1 - Pattern forms
Bar 1 On Bar Close - Analyze pattern on index 0
Bar 1 On Bar Close - Place Limit/Stop order
Bar 2 - Order filled if price hit etc...

This is just assuming that moving from calculating OnEachTick and doing bar close type operations in the IsFirstTickOfBar to OnBarClose solves the problem...

[fxRichard]

Please disregard, problem solved and understand how NT8 handles things in strategy analyzer. Thanks again for the help.