Fill trades on currect close in backtesting

[anachronist]

An exit order isn't submitted until the entry order fills. You should not have exit and entry orders working at the same time for the same signal name.

OK, that's what I expected. I call EnterLongLimit(), ExitLongLimit(), and ExitLongStop() all at the same time. I guess I should have asked, if the exit orders are all associated with the entry, are they linked as OCO, so if one gets filled the other is automatically cancelled?

Just trying to figure out how much I need to manage myself.
-A

[NinjaTrader_Bertrand]

GM Alex, no unlike the Set()'s the Exit()'s would not OCO linked per default, you would need to do the cancelling as needed and thus provide the OCO functionality via your code. Only the unmanaged mode would offer a SubmitOrder() method that would enabled you to directly link orders via custom string together so they are OCO'ed directly.

[alexstox]

My personal solution was to create a new fill type.
Just copy any of the other fill types into a new file, then I rewrote the limit order type fill to:

FillPrice = order.LimitPrice;

erasing everything else. This fill type will essentially fill the order at whatever limit price you set (which you can then set to the corresponding close), although the entry date will still be counted as next day.

Dear pretender, would you be so kind to explain in detail how to do this?
And will it solve my problem?
I'm working with KineTick EndOfDay data. I need stop order to be filled at the day it was put, because some days are volatile and can trigger order at the day when order was placed.

[alexstox]

Question to Support and Development

Hello. Would you be so kind to explain why it is so hard to implement in NT Backtesting to trigger order by settled price? It can be because every bar has HIGH and LOW. So, if settled price between - placed order trigger by it.
Sorry. I am newbie )))

[NinjaTrader_Bertrand]

alexstox, the custom fill type presented target limit order executions, which would not be of help for your stop order issue - what exact problem do you currently see? Orders placed in backtesting would be filled on the next bar in NT, as this would be the earliest possible trade location / execution point after the bar has closed, which is a conservative approach in backtesting we feel is warranted.

[anachronist]

Would you be so kind to explain why it is so hard to implement in NT Backtesting to trigger order by settled price?

Stop or limit orders would work for that purpose. If you're describing a "market if touched" order, that's also easy to do in backtesting, but very hard in real time. I've wanted market-if-touched capability in the SuperDOM window for a long time.

-Alex

[alexstox]

Well. It's not so comfortable when testing DAILY bars.