When I am back-testing I have seen some fills that should not have been filled. For example if my primary bars are 10min bars I have a fill that buys at the low of the bar and closes near the top of the bar when the bar is a down bar. IE the close of the trade wouldn't have happened after the open. So my question is how can I alter the logic to check for fills to add a condition that the time of the closing fill needs to be greater the the time of the opening fill?
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Historical FIlls/ Mutli Series Strategies
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Historical FIlls/ Mutli Series Strategies
I have added custom logic for my strategy when running on Historical . I have added 1 tick time frame and am processing logic on each tick.
When I am back-testing I have seen some fills that should not have been filled. For example if my primary bars are 10min bars I have a fill that buys at the low of the bar and closes near the top of the bar when the bar is a down bar. IE the close of the trade wouldn't have happened after the open. So my question is how can I alter the logic to check for fills to add a condition that the time of the closing fill needs to be greater the the time of the opening fill?Tags: None
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Hello GKonheiser,
Thank you for your post.
I would recommend executing to the added secondary series in this case. Are you setting your order entry and exit methods to the secondary bars series BarsInProgress Index?
For information please visit the following link: http://ninjatrader.com/support/forum...ead.php?t=6652
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Hi Patrick,
Sorry yes my entry and exit are on the secondary series. Does that guarantee that the exit price happened after the entry?
Thx
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Hello GKonheiser,
Thanks for your reply.
Yes, if the exits and entries are indeed both on the secondary bar series the exit would be after the entry. If you are not finding this to be the case, please feel free to send in your strategy or a small strategy that replicates the issue and the steps to recreate the issue. Send to Platformsupport[at]Ninjatrader[dot]Com with Atten:Paul and a link to this thread.Paul H.NinjaTrader Customer Service
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