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Incorrect Fill Price even when using tickreplay and having bid/ask.

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    #31
    Originally posted by Trader212310 View Post
    Hi Ray,

    Apologies for not being more clear on what I would be using the functionality in post #27 for.

    I understand there are ways to custom code an NT8 strategy so that it "sends" orders to 1 tick Bid bars and 1 tick Ask bars accordingly (and fills them at the according Bid or Ask Price) when used in the strategy analyzer
    With that in mind, lets assume the following:


    1. I have imported all Bid ticks and Ask ticks (that happened both on and in between trades) into NT8.
    2. The numbers 100 and 106 mentioned in my previous post were Ask prices, not Last prices
    3. I have programed my strategy to send Long entry orders to the 1 tick Ask bars.

    The functionality requested in post #27 would be so that my Long entry would fill at 100 instead of 106.

    Hope this clarifies why I am looking for this feature.
    And now that you state that it is your own lack of clarity that caused me to respond with a response to the question as posed, and not as in your head, I expect you to send me another PM apologizing for the rude one that you sent me yesterday threatening to have NT revoke my access to the forum. As if you even could.

    If I do not get that forthwith, I shall do what I have never done, and publish in this thread said PM that you sent me, rudely giving me orders as if I were your personal slave.

    I am reasonably sure that that is where we shall end up as people of your ilk, unlike me, are unable to admit that you made a mistake. I have met you many times under your different names.

    Comment


      #32
      Hello Trader212310

      You don't need a new feature in NT to get what you are requesting in post #30.
      All you need to do is to update your signal to use Bars.GetOpen(CurrentBar+1) then your signal will occur one bar earlier, and since the Fill Engine is also using Bars.GetOpen(CurrentBar+1) you will get the fill at the price you are expecting, at the time you are expecting.
      Proviso: I have not actually tried this on a tick data series, I just know it works on minute based series.

      Comment


        #33
        Hi Ray,

        Is DaveE correct in that what I mentioned in post #30 is currently possible?

        regards

        Comment


          #34
          Although yes you can do what DavE suggested you must be careful since your working around how its intended to work and coding in 'look ahead' logic into your code. You obviously can't look ahead during realtime so I would not advise adding that code unless you understand what your getting into there in terms of having separate backtest logic vs realtime logic.

          As to utilizing the bid/ask which you re-clarified is what your after this is something we have our list to consider looking into but not something we do currently or anytime in the near future.

          -Brett
          BrettNinjaTrader Product Management

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