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Suggestion: OnBarUpdates with High Order Fill Resolution

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    Suggestion: OnBarUpdates with High Order Fill Resolution

    When you run a daily strategy in real-time with Calculate set to OnPriceChange the OnBarUpdate gets called with every change and your indicators will be calculated so that the last daily bar, which is a partial bar (not closed bar) is included in the calculation.

    There is no easy way to simulate this in back-testing as the back-tester currently works. I would suggest that when back-testing a strategy with Calculate set to OnPriceChange with Order Fill Resolution set to High that the OnBarUpdates get called with Partial Bars according to the Order fill resolution.

    This would be a closer approximation to how NT8 operates when using real-time data with similar settings. This would also simplify the execution of OnClose orders for daily bars by a) having the same code for historical back-testing as live trading, b) not requiring a second dataseries to back-test these type of strategies, and c) not having to modify indicators to take into account partial bar calculations.

    #2
    Thank you for sharing your feedback. I can what you are getting at, and that is an insightful suggestion. My tests confirm that we are only processing OnBarUpdate() once per bar in this case, when the strategy itself is set to OnEachTick. I will log a feature request so that we can begin to track user demand for this change. (SFT-1096)
    Dave I.NinjaTrader Product Management

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