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Bid ask fill algorithm multiple assets

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    Bid ask fill algorithm multiple assets

    With multiple assets it is not possible to set the fill algorithm to "High".

    As far as I understand: if a market order is submitted on a onbarclose Event then this order will be filled
    at the open oft the next bar (in a non tick-replay backtest) which is the next .last price? Which could be either a bid or an ask price?

    1. How to simulate filling market orders on the next bar open at the ask vor buy orders and bid vor sell orders with multiple assets?

    2. Is there a way to program my own fill algorithm for more realistisch backtests?

    3. In live mode are marketorders filled at actual bid/ask (when slippage =0)? ...meaning: Not filled on the .last price?

    Thanks for any help!

    #2
    Hello fliesch,

    Thanks for your post.

    Please advise the version of NinjaTrader8 you are using (this can be found in Help>about)

    If you select the strategy Sample multi-instrument are you not able to set the fill resolution to "High"?

    Either bid or ask could be last price.

    1) Set the order fill resolution to High 1 tick

    2) No, that capability is not provided in NT8. Please let us know if you would like us to create a feature request to potentially add this capability

    3) Market orders can be filled at ask/bid/last.
    Paul H.NinjaTrader Customer Service

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