I encourage traders to write what is difficult or impossible to do in NinjaTrader. I hope we gather enough information in one thread so new forum users can get a basic idea about NinjaTrader and hopefully question raised in this thread would be addressed in the future versions of NT.
Here are few limitations i discovered so far:
When entry (or exit) signal is trigerred it is not executed until the open of the next bar
This maybe OK for most day trading strategies but it is very limiting when you want to test the strategy using daily bars.
Lets say you want to use a simple strategy where you want to buy at open when stock gaps down more than 2%. Stock gaps down, signal triggers - but you would enter position only at next bar open (next day open) which could be 4% higher than your entry signal. Same limitations goes for exit positions. Lag between signal triggered and real entry in strategy is 1 full trading day. (or even more if we ad Saturday, Sunday, Presidents day... )
Because of this limitation the data you get from strategies is too random. you never get exact entry or exit price - always price of the next bar open.
It is basic and most important thing that you get correct entry and exit price.
On the forum it is described briefly that you can use intrabar fills but I haven't seen it working in action. This is so fundamental problem that it should be addressed and explained step by step if it is possible to solve.
You can not buy or sell at bar close, only at bar open
This is actually the same problem as the one explained above. Lets say you want to buy at dip in price and exit next day when you expect a correction. With entry at open you don't catch the correction, but you would get it with bar close.
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