I am not clear on the benefit. If you're getting your signals from the 5 minute bar, what purpose does submitting the order on the 1 minute bar serve? Wouldn't the order be submitted at roughly the same time if you had just done it on the 5 minute bar?
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What's the benefit of the intra-bar granularity sample?
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What's the benefit of the intra-bar granularity sample?
The sample found here: http://www.ninjatrader-support.com/v...ead.php?t=6652
I am not clear on the benefit. If you're getting your signals from the 5 minute bar, what purpose does submitting the order on the 1 minute bar serve? Wouldn't the order be submitted at roughly the same time if you had just done it on the 5 minute bar?Tags: None
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The sample is for backtesting. In backtesting you can't submit an order until the next bar. This poses a substantial gap between entry signal and order time if your bars are 5min bars. Having intrabar granularity allows you to mimic more closely how it would behave in realtime by submitting orders to say the 1min bars.
There is not as much use in doing this in realtime since you can simply use CalculateOnBarClose = false in realtime.Josh P.NinjaTrader Customer Service
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Originally posted by NinjaTrader_Josh View PostThe sample is for backtesting. In backtesting you can't submit an order until the next bar. This poses a substantial gap between entry signal and order time if your bars are 5min bars. Having intrabar granularity allows you to mimic more closely how it would behave in realtime by submitting orders to say the 1min bars.
There is not as much use in doing this in realtime since you can simply use CalculateOnBarClose = false in realtime.
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Originally posted by NinjaTrader_Josh View PostWithout intrabar granularity:
5:00 = 5min signal bar
5:05 = trade bar
earliest possible Exit() = 5:10
With intrabar granularity:
5:00 = 5min signal bar
5:01 = trade bar
5:02 = earliest possible exit (aside from profit target/stop loss)
Maybe I'm missing something. Also, will this be necessary in NT 7?
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Originally posted by NinjaTrader_Josh View PostThe entry is not the issue. It is the benefits in exiting. Again, this is only for a seemingly more realistic backtest result and has limited implications for real world trading.
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