Help backtesting strategy with intrabar granularity

[NinjaTrader_ChelseaB]

Hello nrgtrader,

The code you have shared in post #24 is:

Here's my entry code and location/condition structure. bIPindex is set to 1.
protected override void OnBarUpdate()
{
if (BarsInProgress == 0)
{
if (longSignal)
{
entryOrder = EnterLongLimit(bIPindex, true, 1, limitEntry, entryName);

If you are waiting for the primary bar to close, any order submitted would be after the close of that bar, meaning it would be filled sometime in the next bar.

This is why when backtesting without intra-bar granularity (CalculateOnBarClose is always True when backtesting) order fills always appear on the bar after the trigger bar.

http://ninjatrader.com/support/forum/showthread.php?p=491203#post491203

If the order is filling on the 9:46:55 bar and was submitted with the code you have suggested after the primary bar has closed, then this was triggered from the 9:46:52 bar and was filled with the prices of the tick data from 9:46:52 to 9:46:55 as this was submitted with a 1 as the BarsInProgress parameter in the entry method call overload. The order execution appears to be at 9:46:55 so right near the end of the 9:46:52 bar.

I am interested to see the tick data during this time.

Your post does not include any code for a print so I cannot confirm this print is in the same action block as the entry order.
So far, this is the only code shared that I am aware. (Let me know if I am overlooking one of your posts)

[nrgtrader]

NinjaTrader_ChelseaB Thank you for your patience in sorting this out. I still do not understand where you are getting 09:46:52 from. Nevertheless, looking in more detail at the tick data reveals the problem. Please see the attached image for reference.

I've identified the close of the primary series occurring at 09:46:55 with a price of 31.16 (We know it closed at the high of the bar, and the next bar went higher before dropping -- this price action is highlighted in yellow).

This closing point is when the buy limit order is submitted, as it is triggered by the buy signal which occurs at the close of the primary bar.

As you can see on the 10-tick chart, the price never reaches the buy limit entry level after the order is placed at the time indicated by the print outputs (09:46:55).

Instead, it appears the backtesting engine is simply looking at the timestamp of 09:46:55 and seeing a valid entry price, without respecting the 1-tick dataseries.

You saw my entry order code, and that I have bIPindex set to 1. Why is the backtesting engine apparently referencing the timestamp instead of the tick data series?

[NinjaTrader_ChelseaB]

Hello nrgtrader,

I'm getting 9:46:52 from the trigger bar of the screenshot you have posted in post #27. This would be the bar before the entry order fill marker.

I've added a red circle on where I am getting the close time of the bar before the entry order.

If you are seeing the close of the trigger bar as 9:46:55, the order should be placed after this bar and would appear on the 9:46:57 bar of the screenshot in post 27.

(I am still using this screenshot as the example as trying to refer to your other screenshots is too confusing as we have not firmly established the behavior of the screenshot in post #27. After we are on the same plane understanding this screenshot we can move on to the others. But for simplicity's sake, I am not addressing these for now.)

[nrgtrader]

NinjaTrader_ChelseaB The trigger/signal bar is clearly marked or highlighted or both in all of the images since post #27, including the one from #27, the one you modified. You are incorrectly identifying the signal/trigger bar. I specifically mentioned this potential issue in post #30. Please go back and review everything now that you understand the signal/trigger bar is the one after the one you have understood to be such. I look forward to hearing your suggestions now that this issue is cleared up.

[NinjaTrader_ChelseaB]

Hello nrgtrader,

I am certain that if an order is placed after a bar is closed, even with intra-bar granularity, it will appear on the next bar.

I am reacting to the code you have shared. If an order is being placed after the primary bar has filled, it will show on the next bar. Your code shows a limit order being placed when BarsInProgress is 0. This would indicate it is placing an order after the primary bar closes. If an order is submitted after a bar closes it can't fill on that bar because that bar has closed before the order was submitted.

I've taken the time to create a strategy and export this and attach the script for you to evaluate on your end to demonstrate.
You can view the code, and see the behavior that results.

When flat, the script will wait until a primary bar closes and place an order as well as a dot above the trigger bar. This will also print the time of the submission bar to the Output window and will print the time of the execution.

As you are using a limit order, I have added a commented line that will use a limit order, however, this is best demonstrated using a market order which fills instantly.

Attached is a screenshot of how this looks on my end.

Are you finding the example script I have provided for you to test and view the code of is behaving different on your end?

[nrgtrader]

NinjaTrader_ChelseaB thanks for taking the time to create the test script, and again, for your patience in this matter. I'm on NT7 though so that script won't import. I'm glad we are in agreement about the expected behavior and that you understand my issue. I've verified the print for the entry order is indeed in the entry call:

            if (longSignal)
            {                        
                entryName = "Long";
                entryOrder = EnterLongLimit(bIPindex, true, 1, limitEntry, entryName); // Work entry order
                Print(Time[0].ToString() + ": longSignal");

It would really help if we could have a finer time resolution on the prints in this case though.

Next, I will strip out the proprietary stuff of my code and see if I can't recreate the problem for demonstration on your end.

[NinjaTrader_ChelseaB]

Hello nrgtrader,

I'm not certain that I understand.

The script I have created was to confirm that if an order is placed after a bar closes, it will fill on the bar after it is submitted.

This would mean that if the order is filling on the 9:46:55 bar (with the screenshot in Post #27) and was submitted with the code you have suggested after the primary bar has closed, then this was triggered from the 9:46:52 bar and was filled with the prices of the tick data from 9:46:52 to 9:46:55 as this was submitted with a 1 as the BarsInProgress parameter in the entry method call overload.

Is this making sense?
Do you feel that we have the same expectations of the behavior?

If you would like, I can re-make this script for NinjaTrader 7 as the behavior is exactly the same.

[nrgtrader]

Yes, I understand what your script is designed to do, and I believe we have the same expectation of behavior -- that the entry should only take place after the signal/trigger.

But you saw the output and I hope at this point understand that is not the behavior I am experiencing here on my end.

[nrgtrader]

NinjaTrader_ChelseaB

I used the code sample here http://ninjatrader.com/support/forum...ad.php?t=18890 as a template and modified it to trigger only on the signal/trigger bar at issue (1200 tick bar closing at 09:46:55 on February 3, 2016, with a price of 31.16 using CLH16 data).

I am able to reproduce the problem with this code, where the entry executes within the span of the signal/trigger bar.

To reiterate:

1. The signal/trigger bar is the 1200 tick bar closing at 09:46:55 on February 3, 2016, with a price of 31.16 using CLH16 data.
2. Per the strategy attached to this post, the entry cannot trigger before the bar described in #1 has closed.
3. Yet the back-testing engine registers a trade as having been entered and profit target filled, within the span of the bar described in #1. In other words, the entry order and profit targets were filled before the signal/trigger had registered, obviously an impossibility in a real-time scenario, and quite problematic for back-testing accuracy.

Here is my output:

2/3/2016 9:46:55 AM Entered internal PlaceOrder() method at 2/3/2016 9:46:55 AM: BarsInProgress=1 Action=Buy OrderType=Limit Quantity=1 LimitPrice=30.83 StopPrice=0 SignalName='long limit entry' FromEntrySignal=''
2/3/2016 9:46:55 AM This print could not occur unless the BarsInProgress == 0 bar has closed. Order is now submitted
2/3/2016 9:46:55 AM Order='NT-00000/Backtest' Name='long limit entry' State=PendingSubmit Instrument='CL 03-16' Action=Buy Limit price=30.83 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='0fa0ba4e5a034148ad8bc84ca7cd4b6a' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00000/Backtest' Name='long limit entry' State=Accepted Instrument='CL 03-16' Action=Buy Limit price=30.83 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='0fa0ba4e5a034148ad8bc84ca7cd4b6a' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00000/Backtest' Name='long limit entry' State=Working Instrument='CL 03-16' Action=Buy Limit price=30.83 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='0fa0ba4e5a034148ad8bc84ca7cd4b6a' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00000/Backtest' Name='long limit entry' State=Filled Instrument='CL 03-16' Action=Buy Limit price=30.83 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=30.8 Token='0fa0ba4e5a034148ad8bc84ca7cd4b6a' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Execution='NT-00000' Instrument='CL 03-16' Account='Backtest' Name='long limit entry' Exchange=Default Price=30.8 Quantity=1 Market position=Long Commission=0 Order='NT-00000' Time='2/3/2016 9:46:55 AM'
2/3/2016 9:46:55 AM Entered internal PlaceOrder() method at 2/3/2016 9:46:55 AM: BarsInProgress=1 Action=Sell OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=30.70 SignalName='stop' FromEntrySignal='long limit entry'
2/3/2016 9:46:55 AM Entered internal PlaceOrder() method at 2/3/2016 9:46:55 AM: BarsInProgress=1 Action=Sell OrderType=Limit Quantity=1 LimitPrice=30.92 StopPrice=0 SignalName='target' FromEntrySignal='long limit entry'
2/3/2016 9:46:55 AM Order='NT-00001/Backtest' Name='stop' State=PendingSubmit Instrument='CL 03-16' Action=Sell Limit price=0 Stop price=30.7 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='156803c5956b4a368f733ef68eff0070' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00001/Backtest' Name='stop' State=Accepted Instrument='CL 03-16' Action=Sell Limit price=0 Stop price=30.7 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='156803c5956b4a368f733ef68eff0070' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00001/Backtest' Name='stop' State=Working Instrument='CL 03-16' Action=Sell Limit price=0 Stop price=30.7 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='156803c5956b4a368f733ef68eff0070' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00002/Backtest' Name='target' State=PendingSubmit Instrument='CL 03-16' Action=Sell Limit price=30.92 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='a3f478b967864bb2bce719526da75fed' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00002/Backtest' Name='target' State=Accepted Instrument='CL 03-16' Action=Sell Limit price=30.92 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='a3f478b967864bb2bce719526da75fed' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00002/Backtest' Name='target' State=Working Instrument='CL 03-16' Action=Sell Limit price=30.92 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='a3f478b967864bb2bce719526da75fed' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Cancelled pending exit order, since associated position is closed: Order='NT-00001/Backtest' Name='stop' State=Working Instrument='CL 03-16' Action=Sell Limit price=0 Stop price=30.7 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='156803c5956b4a368f733ef68eff0070' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00001/Backtest' Name='stop' State=PendingCancel Instrument='CL 03-16' Action=Sell Limit price=0 Stop price=30.7 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='156803c5956b4a368f733ef68eff0070' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00001/Backtest' Name='stop' State=Cancelled Instrument='CL 03-16' Action=Sell Limit price=0 Stop price=30.7 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='156803c5956b4a368f733ef68eff0070' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Order='NT-00002/Backtest' Name='target' State=Filled Instrument='CL 03-16' Action=Sell Limit price=30.92 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=30.92 Token='a3f478b967864bb2bce719526da75fed' Gtd='12/1/2099 12:00:00 AM'
2/3/2016 9:46:55 AM Execution='NT-00001' Instrument='CL 03-16' Account='Backtest' Name='target' Exchange=Default Price=30.92 Quantity=1 Market position=Short Commission=0 Order='NT-00002' Time='2/3/2016 9:46:55 AM'

[NinjaTrader_PatrickH]

Hello nrgtrader,

Thank you for your response.

I expect the same behavior you are expecting. I am unable to get results using this strategy. Do you have a more recent example on the CL 03-17? If so, can you provide me with a screenshot of your settings on the Strategy Analyzer so I may replicate on my end?

I look forward to your response.

[nrgtrader]

Hi NinjaTrader_PatrickH -- thanks for taking a look. I have modified the script using CL 03-17, 1200 tick chart, with a closing time of 10:29:22 (Today).

Below is my output and attached are the modified script and screenshots of the trade and strategy analyzer settings.

2/10/2017 10:29:22 AM Entered internal PlaceOrder() method at 2/10/2017 10:29:22 AM: BarsInProgress=1 Action=Buy OrderType=Limit Quantity=1 LimitPrice=54.03 StopPrice=0 SignalName='long limit entry' FromEntrySignal=''
2/10/2017 10:29:22 AM This print could not occur unless the BarsInProgress == 0 bar has closed. Order is now submitted
2/10/2017 10:29:22 AM Order='NT-00000/Backtest' Name='long limit entry' State=PendingSubmit Instrument='CL 03-17' Action=Buy Limit price=54.03 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='b63d6f4972ba45f7bf7e7755d9090135' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00000/Backtest' Name='long limit entry' State=Accepted Instrument='CL 03-17' Action=Buy Limit price=54.03 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='b63d6f4972ba45f7bf7e7755d9090135' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00000/Backtest' Name='long limit entry' State=Working Instrument='CL 03-17' Action=Buy Limit price=54.03 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='b63d6f4972ba45f7bf7e7755d9090135' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00000/Backtest' Name='long limit entry' State=Filled Instrument='CL 03-17' Action=Buy Limit price=54.03 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=1 Fill price=54.03 Token='b63d6f4972ba45f7bf7e7755d9090135' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Execution='NT-00000' Instrument='CL 03-17' Account='Backtest' Name='long limit entry' Exchange=Default Price=54.03 Quantity=1 Market position=Long Commission=0 Order='NT-00000' Time='2/10/2017 10:29:22 AM'
2/10/2017 10:29:22 AM Entered internal PlaceOrder() method at 2/10/2017 10:29:22 AM: BarsInProgress=1 Action=Sell OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=53.93 SignalName='stop' FromEntrySignal='long limit entry'
2/10/2017 10:29:22 AM Entered internal PlaceOrder() method at 2/10/2017 10:29:22 AM: BarsInProgress=1 Action=Sell OrderType=Limit Quantity=1 LimitPrice=54.13 StopPrice=0 SignalName='target' FromEntrySignal='long limit entry'
2/10/2017 10:29:22 AM Order='NT-00001/Backtest' Name='stop' State=PendingSubmit Instrument='CL 03-17' Action=Sell Limit price=0 Stop price=53.93 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='6563b1d9033d463dbda91f39648b96db' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00001/Backtest' Name='stop' State=Accepted Instrument='CL 03-17' Action=Sell Limit price=0 Stop price=53.93 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='6563b1d9033d463dbda91f39648b96db' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00001/Backtest' Name='stop' State=Working Instrument='CL 03-17' Action=Sell Limit price=0 Stop price=53.93 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='6563b1d9033d463dbda91f39648b96db' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00002/Backtest' Name='target' State=PendingSubmit Instrument='CL 03-17' Action=Sell Limit price=54.13 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='74f1fbe9486d45e99938c08aa836a5ad' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00002/Backtest' Name='target' State=Accepted Instrument='CL 03-17' Action=Sell Limit price=54.13 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='74f1fbe9486d45e99938c08aa836a5ad' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:22 AM Order='NT-00002/Backtest' Name='target' State=Working Instrument='CL 03-17' Action=Sell Limit price=54.13 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='74f1fbe9486d45e99938c08aa836a5ad' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:30:05 AM Cancelled pending exit order, since associated position is closed: Order='NT-00001/Backtest' Name='stop' State=Working Instrument='CL 03-17' Action=Sell Limit price=0 Stop price=53.93 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='6563b1d9033d463dbda91f39648b96db' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:50 AM Order='NT-00001/Backtest' Name='stop' State=PendingCancel Instrument='CL 03-17' Action=Sell Limit price=0 Stop price=53.93 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='6563b1d9033d463dbda91f39648b96db' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:50 AM Order='NT-00001/Backtest' Name='stop' State=Cancelled Instrument='CL 03-17' Action=Sell Limit price=0 Stop price=53.93 Quantity=1 Strategy='STRATEGY' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='6563b1d9033d463dbda91f39648b96db' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:50 AM Order='NT-00002/Backtest' Name='target' State=Filled Instrument='CL 03-17' Action=Sell Limit price=54.13 Stop price=0 Quantity=1 Strategy='STRATEGY' Type=Limit Tif=Day Oco='' Filled=1 Fill price=54.13 Token='74f1fbe9486d45e99938c08aa836a5ad' Gtd='12/1/2099 12:00:00 AM'
2/10/2017 10:29:50 AM Execution='NT-00001' Instrument='CL 03-17' Account='Backtest' Name='target' Exchange=Default Price=54.13 Quantity=1 Market position=Short Commission=0 Order='NT-00002' Time='2/10/2017 10:30:05 AM'

[NinjaTrader_PatrickH]

Hello nrgtrader,

Thank you for your patience.

This breaks down to the fact that there can be multiple ticks for the same price and/or time. In the case of your last screenshot there were several 1 tick that closed at the time of 10:29:22 AM. Some of the prices were also for 54.03.

NinjaTrader 7 cannot determine what tick came first when they match the same time down to the second. So once the tick that filled the order reported it's timestamp the order wound up on the prior 1200 tick bar due to it's own timestamp.

The timestamp can go down to the millisecond in NinjaTrader 8 if you wish to work your backtesting in NinjaTrader 8.

Please let me know if you have any questions.

[nrgtrader]

NinjaTrader_PatrickH thank you for the information.

It's too bad the NT7 backtesting engine cannot parse 1 tick data, and that I to had go through another 30 posts after I first identified the problem in #10 (Again in #14, #17, #18, #19, #21, #22, #27, #29, #30, and so on.)

Please let me know of any work arounds you're aware of apart from migrating to NT8. As 1 tick data is the highest resolution available, this would be preferable, but perhaps Add(PeriodType.Second, 1); will work better in this case, or would that cause problems given the primary series is in ticks?

[NinjaTrader_PatrickH]

Hello nrgtrader,

Thank you for your patience.

The Seconds bar type would also fall to the same limitation as it's base is ticks.

Please let me know if you have any questions.

[nrgtrader]

NinjaTrader_PatrickH could I introduce a one second delay for the entry order, and if so, how might I do that? I was thinking something like setting flags for the signal then adding if (ToTime(Time[0]) > signalTime && signalTriggered)