Execution on the same bar

[MrBaffalo]

Hi all!

I'm fighting with a system "scalping like", a lot of trades are filled in/out on the same bar, so while backtesting executions I'm observing many trades are not possible because, in example on a 2 mins bar, the system do not know what happened during the bar formation.

Attached a snapshot of deals I'm lookig to develop in order to get a better backtest.

Thanks in advance for any suggestions,

Regards

marce

[NinjaTrader_Ray]

imported post

Marce,

I am not sure if there are any tricks of the trade that will provide you with what you are looking for. We do have on our list for future enhancement support for intrabar resolution backtesting which I suspect is what you would ultimately want.

Ray

[MrBaffalo]

imported post

Right Ray, thanks for your answer.

I thought to code something to develop the DefaultFillType.cs, just to add some condition during execution in order to filter trades, but I'm not sure this solution will work fine.

Another question regarding accounts and systems, what if I execute different strategies on the same symbol?

Regards

Marce

[NinjaTrader_Ray]

imported post

DefaultFillType.cs is only applicable to historical backtest and is not used to fill real-time simulation. There is no way to change the internal real-time simulation fill logic.

You can execute different strategies on the same symbol no problem in the same account. Keep in mind, the strategy positions will not be in sync with the actual account position. For example, StrategyA can be long 1 contract while StrategyB can be short 1 contract which would be FLAT in your real account.

Ray