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stefy · 05-12-2008, 02:15 PM

Hi everyone

I'm working with 1min bars and currently I'm backtesting executing at market price.
I'd like to put an order between bid/ask, and then, after 30 secs, if I didn't get filled, to execute at market price.
Can I backtest this? If I can, how?

Thank you

NinjaTrader_Ray · 05-12-2008, 02:44 PM

You can not backtest this since historical bid/ask data does not exist on a bar basis, only OHLC, Volume and Time are known in a historical backtest.

stefy · 05-12-2008, 02:56 PM

Thank you.

When I backtest a strategy with Market execution, the strategy is supposed to use bid/ask prices though. Am I correct?

NinjaTrader_Ray · 05-12-2008, 03:19 PM

No since ask/bid data is not present on a OHLC bar.

05-12-2008, 02:15 PM	#1
stefy Senior Member Join Date: Apr 2008 Posts: 310 Thanks: 0 Thanked 0 times in 0 posts	Two step execution Hi everyone I'm working with 1min bars and currently I'm backtesting executing at market price. I'd like to put an order between bid/ask, and then, after 30 secs, if I didn't get filled, to execute at market price. Can I backtest this? If I can, how? Thank you
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05-12-2008, 02:44 PM	#2
NinjaTrader_Ray Administrator Join Date: Nov 2004 Location: Denver, CO, USA Posts: 11,163 Thanks: 6 Thanked 45 times in 32 posts	You can not backtest this since historical bid/ask data does not exist on a bar basis, only OHLC, Volume and Time are known in a historical backtest. Ray NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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05-12-2008, 02:56 PM	#3
stefy Senior Member Join Date: Apr 2008 Posts: 310 Thanks: 0 Thanked 0 times in 0 posts	Thank you. When I backtest a strategy with Market execution, the strategy is supposed to use bid/ask prices though. Am I correct?
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05-12-2008, 03:19 PM	#4
NinjaTrader_Ray Administrator Join Date: Nov 2004 Location: Denver, CO, USA Posts: 11,163 Thanks: 6 Thanked 45 times in 32 posts	No since ask/bid data is not present on a OHLC bar. Ray NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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