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Exiting on market with historical tick data

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    Exiting on market with historical tick data

    I have 3 years of ES tick data. I am backtesting a strategy that Enters with a massive stop loss and a small profit target.

    I have a section of code that once in a position checks a condition from an indicator in a different time frame.

    It says

    if(blah blah)
    ExitLong("longtrade");

    The problem is, this exits the position at the next traded tick. This is unrealistic. I need it to exit at the close of the last bar +1. So if (blah blah) is a 1 min bar, and it closes, giving the indicator the data it needs to check the condition, then I want to exit at that price plus one tick against me, in order to simulate always taking the market price.

    I've read for hours on this forum and been able to answer all my questions, except for this one. So I just want to know how can I do this?

    Thanks in advance,

    Wayne

    #2
    Hi Wayne, in backtesting the script would have per default access to the OHLCV info of the primary series and conditions / trades are processed with CalculateOnBarClose = true. That means when you bar has closed > it would process the exit then on the next tick / open of next bar. You could submit to another / finer series though in backtesting to simulate intrabar fills here.

    http://www.ninjatrader.com/support/f...ead.php?t=6652
    BertrandNinjaTrader Customer Service

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