Strategy Intrabar Fills - Tick Replay vs High Order Fill Resolution

[beejinator]

Hello,

I have a strategy that is set to calculate on each tick, as it enters on real time breakout levels, as they are hit intrabar. I typically run the strategy on various "minute" charts (ex. 3 min chart), but the strategy is still set to calculate on each tick.

When running backtest results, I want the strategy to step through each tick as it actually happened, to get accurate real world results of when fills actually occurred and which orders might have stopped out in live trading.

When I select Tick Replay in the Strategy Analyzer (or on the chart), I expected the above to happen. However, this is not the case. I compared a lot of favorable fills in the strategy analyzer (3m chart vs tick chart), and the real life tick flow would have stopped out some of those trades that were marked profitable in the strategy analyzer. This would suggest that Tick Replay is definitely not helpful for what I am trying to accomplish.

So the next thing I tried was selecting High Order Fill Resolution, and turning off tick replay per the warning message that they cannot both be on at the same time. When I try selecting High Order Fill Resolution, I get this error message:


My question:
For my strategy that requires calculation on each tick - How can I run backtests that step through the real world historical data tick by tick, in the sequence it actually happened, so that the strategy fills are accurate and the backtest results are comparable to real life?

Thank you!

[NinjaTrader_Jesse]

Hello beejinator,

TickReplay is not intended to help fills so choosing that wont help fills. You can read about tick replay in the help guide if you need to use OnMarketData historically.

OnEachTick is a reatltime only property so that specifically wont work in a backtest. You can use a 1 tick series to simulate OnEachTick in a backetest. Backtesting and historical bars always use OnBarClose processing.

Because you are already using a multi series strategy you get an error when changing the fill resolution. You would instead need to use a 1 tick series to submit orders in your strategy to replicate the fill resolution. You can see an example of that concept here: https://ninjatrader.com/support/help...ipt_strate.htm

If you plan to use the backtesting tools I would suggest to avoid using OnEachTick and just use a secondary 1 tick series for logic/fills. That would let you backtest the strategy and then it would also work OnEachTick from that BarsInProgress in realtime.