NextLow

[ScottB]

Hi,

Are the exact rules for how NextLow/NextHigh are calculated available? I often need to back test with 1 tick bars due to the nature of the strategies I work on and it isn't immediately obvious to me how that would work if using the default fill type.

Reading the code and assuming NextLow is the low the current bar will make at some point, it doesn't seem possible to get a trade through on a 1 tick bar.

Also it appears Market Replay behaves differently than back test with regard to fill types; is that correct?

Lastly, when using Market Replay is there any estimation of your position in the bid queue (for a long limit order) for determining if you would have gotten filled?

Best Regards,
Scott

[NinjaTrader_RyanM1]

Hi Scott,

Are the exact rules for how NextLow/NextHigh are calculated available?

No, NextLow and NextHigh are not documented. You'll them in our fill types but this area is beyond our scope of support.

Also it appears Market Replay behaves differently than back test with regard to fill types; is that correct?

Yes, market replay fills are according to the real time simulator engine, not the historical fill rules.

Lastly, when using Market Replay is there any estimation of your position in the bid queue (for a long limit order) for determining if you would have gotten filled?

The simulator engine does simulate your position in the queue. There's not really a way to estimate this except for looking at the volume at price in Superdom /level II screen at time of submission.

[ScottB]

Thanks for getting back to me Ryan. Is there any documentation on any of this?

My primary interest is in 1 tick bars and how they would be affected by the liberal vs. default fill types.

Without knowing how NextLow is derived, I have no way of doing that on my own without essentially reverse engineering the calculations (which of course is what I am trying to avoid).

But I certainly understand if this is undocumented I am largely on my own.

Best Regards,
Scott

[NinjaTrader_RyanM1]

Right, no documentation / support for custom fill types. We provide the source for our built in ones, but will be on your own to deconstruct or implement a custom one.