Bid/Ask data in backtesting

[newuser]

Is it possible to force NinjaTrader (7) to use Bid data for long exits and Ask data for Short exits? In other words to have a backtest behave like a real world scenario.

I have added bid and ask data using the Add() method:

            Add(Instrument.FullName, PeriodType.Minute, BarsPeriod.Value, MarketDataType.Bid);        
            Add(Instrument.FullName, PeriodType.Minute, BarsPeriod.Value, MarketDataType.Ask);

I can ensure that entry orders are placed on the right series i.e. Ask for Long entry, Bid for Short entry by using BarsInProgress(), but I don't know how to ensure that NT evaluates my stop and target orders on the right series.

I note that none of the SetStopLoss() nor SetProfitTarget() methods include an overload that incorporates the barsInProgressIndex but all of the following 'Exit' methods do:

ExitLong()
ExitLongLimit()
ExitLongStop()
ExitLongStopLimit()
ExitShort()
ExitShortLimit()
ExitShortStop()
ExitShortStopLimit()

I presume the answer lies in using one or more of these methods to place my stop and target orders(?) The NT7 manual has an article on using historical bid/ask so I gather this should be possible, but I'm just not sure how to get it to work.

For additional context I am using stops and targets that are calculated dynamically at the time the trade is placed, but the stop/target values do not change again from that point.

I find with large data sets (that you easily get in a decent sized backtest) that the backtest is not accurate because trade outcomes would have been different had the correct price series been used.

[NinjaTrader_ChrisL]

Hello newuser, thanks for your post.

In this case, you will need to submit your stop loss and profit target orders manually. This reference sample shows how to do this:

https://ninjatrader.com/support/helpGuides/nt7/?using_onorderupdate_and_onexec.htm

Because you are using the standard "Enter" orders, you can specify a barsInProgressIndex.

Alternatively, you can record the last bid or ask price when BarsInProgress == 1(ask) or 2(bid) in a class level variable assuming the only added series are the ask and bid series. Then you could call SetStopLoss/ProfitTarget with those recorded prices.

Best regards.

[newuser]

Thanks for the prompt reply. I have a couple questions about your last paragraph:

Alternatively, you can record the last bid or ask price when BarsInProgress == 1(ask) or 2(bid) in a class level variable assuming the only added series are the ask and bid series. Then you could call SetStopLoss/ProfitTarget with those recorded prices.

I am only adding the bid and ask series but I'm not sure what you mean by "...record...in a class level variable... Then...call SetStopLoss/ProfitTarget with those recorded prices." Can you elaborate a little further on how to do that?

[NinjaTrader_ChrisL]

Hi newuser, thanks for your reply.

You can do something like this:

    public class GetBidAskForPrimary : Indicator
    {
        private double LastBid;
        private double LastAsk;

        ...

        protected override void OnBarUpdate()
        {
            if(BarsInProgress == 0)
            {
                Print("Last Bid: " + LastBid);
                Print("Last Ask: " + LastAsk);
            }

            if(BarsInProgress == 1)
            {
                if(Close[0] != LastBid)
                {
                    LastBid = Close[0];
                }
            }

            if(BarsInProgress == 2)
            {
                if(Close[0] != LastAsk)
                {
                    LastAsk= Close[0];
                }
            }
        }