Higher Backtesting Resolution (1 tick)

[gregid]

This has been mentioned already but I believe it deserves separate thread not to be lost among other issues. As it is right now the smallest resolution we can backtest with is 1 minute - which is very often not sufficient.
In NT7 due to lack of higher resolution backtesting we had to resort to adding additional bar series (eg. 1 tick or 1 range bar) and amend the strategy accordingly - this added unnecessary overhead on our development time and caused additional limitations. Personally I very frequently use MRO and LRO for my conditions but these 2 methods have a limitation - they don't work with multi time frame / multi instrument strategies. This forced me to delegate all my condition testing to custom indicator. Other issues with additional series include lack of some simple overloads with only BarsInProgress as parameter, eg. ExitLong(int barsInProgressIndex), etc.
So the problem with the assumption that we don't need higher resolution than 1 minute is that majority of people requesting higher resolution backtesting in the past are quite aware of the additional performance overhead since we already use additional series for execution in NT7 - only in a very cumbersome way - we were hoping to avoid with NT8. As it stands I'll have to keep doing it the same way as in NT7, so there will be no performance benefit for people like me anyway.
The only time I backtested on the orignal bars is to check if the strategy is functioning properly. For backtesting/optimization statistics I always used 1tick/1range for executions and like most people in this situation I am aware of the performance overhead.
So the artificial limitation, ie. deciding we won't need more than 1 minute is very disconcerting for those of us who looked forward for the higher resolution backtesting in NT8.

Sincerely
Greg

[NinjaTrader_Matthew]

Greg,

Maybe I am misunderstanding, but from the Historical fill processing option, there is a 'high' order fill resolution where you can configure 1 tick, 1 second, etc for most bar types...

There is some potential issues with allowing uses to add all different types, since the underlying values must be divisible by the primary for accuracy (for example, a Range chart we could not guarantee that 1 second was a 'higher' resolution).

For those exotic bar types where the resolution is not currently available, you can always enable 'Show Tick Replay' from the Tools-> Options-> Market Data category, which will expose a 'Tick Replay' option in the strategy analyzer which will then throw Market Data events that went into the building of the bar and can be used for backtesting.

Currently we're missing a concept of setting the "Calculate" setting from the strategy analyzer so your Tick Replay strategies will calculate OnEachTick, but you can always hard code that value to take full advantage of Tick Replay.

But with that said, I do personally see your point that there should really be no reason why1-tick should be not available on all bar types and we're reviewing that internally.

[gregid]

Thank you Matthew, for chiming in.
Yes there is a bit of misunderstanding - but this is one of the rare cases where I will be glad to be wrong .
1. I assumed the higher resolution is the same for all bar types as at the moment I temporarily I only have access to time bars, so I have seen 1 minute to be the highest.
2. After you suggested that the resolution is different for different bar types I made some checks with the following results (Bar Type -> Higher Resolution Bar Types):
Tick -> Tick
Volume -> Tick, Volume
Second -> Tick, Second
Minute -> Minute, Second, Tick
Day -> Day, Minute
Week -> Day
Month -> Day
Year -> Day
Range, Heiken Ashi, Kagi, Renko, PointAndFigure, Line Break + I assume all custom bars have no higher resolution available.
The lack of higher resolution on these bars is going to be problematic as I would argue these are especially the type of bars that would benefit from higher resolution.

Your advice on using Tick Replay may be helpful - although I don't see how this could solve executing the trades on higher resolution - I'll have to reasearch this idea further and reply back to you. Some questions:
- If execution (eg. EnterLong) would happen OnMarketData will it execute at the tick or at the bar.
- Which data would it use for execution if the eg. EnterLong would be called inside of OnOrderUpdate/OnPositionUpdate/OnExecutionUpdate.

I really like what you did with NT8 and I really hope you will be able to deliver tick resolution for all bar types. If I could vote for only one change I would like to materialize in NT8 - that would be it.

[NinjaTrader_Matthew]

I wanted to let you know as a result of this discussion, we will be allowing 1 tick resolution to all the custom bar types for high resolution fill processing - NTEIGHT-8212

To answer your questions;

- Executions have access to this tick data-> therefore an order would execute at the tick, not the bar
- It would be using tick data from those update events.

[gregid]

I wanted to let you know as a result of this discussion, we will be allowing 1 tick resolution to all the custom bar types for high resolution fill processing - NTEIGHT-8212

To answer your questions;

- Executions have access to this tick data-> therefore an order would execute at the tick, not the bar
- It would be using tick data from those update events.

Great, thanks for the update!