How does Limit order work in backtest?

[millridge]

Hi,

What is the difference between market order and limit order during backtest? .

According to document of GetCurrentBid(), when accessed during a historical backtest, the close price of the evaluated bar is substituted.

But If I replace EnterLongLimit() with EnterLong(), the back test on historical data is different.



*****************************************
Examples

protected override void OnBarUpdate()
{
if (CurrentBar < 20)
return;

// Only enter if at least 10 bars has passed since our last entry
if (BarsSinceEntry() > 10 && CrossAbove(SMA(10), SMA(20), 1))
EnterLongLimit(GetCurrentBid(), "SMA Cross Entry");
}

[NinjaTrader_Brett]

Hello,

Thanks for the forum post and patience.

This has to do in part with this information here on BackTest:

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

Now this doesn't directly answer the question however I felt that it is important information none the less.

As far as different results either EnterLong() (market) vs EnterLongLimit() (limit) by default market orders are always filled on the nextOpen whereas the Limit orders will fill at the limit price if NT can determan that the market action passed through it.

-Brett

[millridge]

Brett,

So it's very clear for how market oder is handled during backtest, but I am still not clear how limit order is treated.

"..whereas the Limit orders will fill at the limit price if NT can determan that the market action passed through it" since we are talking about backtest, the only info we have is data bar(OHLC), could you clarify how NT handles it? I thought in backtest it is the same as market order, filled on the nextOpen.

Thanks,

[NinjaTrader_Brett]

Basically if the nextOpen would fill it instead of just filling it at open it would fill at the limit price +/- your slippage you set for the backtest.

-Brett

[millridge]

So, for backtest

EnterLongLimit(GetCurrentBid(), "SMA Cross Entry");

What exactly is the filling price of this entry?

Thx,

[NinjaTrader_Brett]

Hello,

It would be whatever it set in the first parameter for price. In this case you are using GetCurrentBid() which in historical pulls the current close.

-Brett

[millridge]

Here is my understanding:

market order EnterLong() will fill the entry at next bar opening price

Limit order EnterLong(GetCurrentBid(), "") will fill the entry at current bar closing price.

I see the difference if there is a gap between two bars.

Am I right?

[NinjaTrader_Brett]

This is Correct.

_Brett

[millridge]

Bret,

what can I do If I want to use Limit order but still want to fill at next bar opening price?

[NinjaTrader_Brett]

Hello,

This would not be possible with our default fill type. You would have to modify how the fills in backest are done. This is possible however its not supported.

My Documents->NinjaTrader 7->bin->custom->type->defaultfilltype.cs

-Brett

[millridge]

How about the ideal of modifying GetCurrentBid(), so that during backtest, it will take opening price of next bar instead of closing price of current bar? Is it possible?

[NinjaTrader_Brett]

Hello,

I do not see any way to modify that unfortunately.

Curious why not just use Market Orders if you want that price. You could have a strategy for backtesting and then have a strategy for live if you wanted to use the limits live.

-Brett

[millridge]

I want to have automatic system which needs backtest results to generate entry signal(limit order) in real time. For example like NT sample code "simpleMAcrossover".

It seems to me it makes more sense to have a limit order to fill at opening price of next bar during backtest. This is more close to real time trading. It is not always the case we can fill the order at current bar closing price, considering the gap between two bars, especially between current day's close and next day's opening.


*********************************

10.4.3.31 GetCurrentBid()

Definition

Returns the current bid price.

Method Return Value

A

double value representing the current bid price. Note: When accessed during a historical

backtest, the close price of the evaluated bar is substituted

[NinjaTrader_Brett]

This would require a custom fill type as the NinjaTrader Default fill type does not allow this.

-Brett

[millridge]

Get my own custom fill type done, Thanks.