Tick replay backtest and order fill

[NinjaTrader_Jim]

Hello KarstenKafl,

1. If i use the high order fill resolution in the the strategy - then when watching the results as on the chart - if i have set the
Calculate = Calculate.OnEachTick;

and i have again simple go long on close cross above EMA - will i not be able to see the "correct" order placement on the chart?

High order fill resolution changes the data series used to fill orders. It does not allow historical data to be processed with Calculate.OnEachTick/Calculate.OnPriceChange.

Tick Replay allows for historical data to be processed with Calculate.OnEachTick/Calculate.OnPriceChange.

Tick Replay does not change the data series used to fill orders.

If you want historical data to be processed with Calculate.OnEachTick/Calculate.OnPriceChange and have orders filled with intrabar granularity, you need to use Tick Replay and submit orders to a single tick data series. See post #2.

2. Will the fill limit order on touch have anything to do with this crossover on historical on chart?

This allows limit orders to be filled when touched, as opposed to being "ticked-through." This applies to historical processing and does not apply to realtime order fill simulations.

3. The Playback Connection have interbar ticks right? so it will only differ from real life - because of orders slipage?

Yes, Playback mimics realtime. The biggest difference is slippage, but you may also encounter order rejections from your broker in a live environment than what you would form trading with Playback/Sim101.

We look forward to assisting.

[KarstenKafl]

Thanks again Jim

Now - just so i understand it.

1. if i make a strategy with the 1 tick. extra series - just as you did in the script SampleIntrabarBacktest - and i compare the result with the same setup - but just using the order fill resolution High – then the results would be the same right?
And this should also be very close to the same result as live – when copmareing this to historical backtest data – right?

2. But if I have this – why would I then need to have Tick Replay? – is this for showing the correct results from the historical part of the strateg6y – showing on the Chart?

Thanks for explaining

[NinjaTrader_Jim]

Hello KarstenKafl,

High order fill resolution changes the data series used to fill orders. Submitting orders to a single tick data series is done with the same intentions. You will have to submit orders to the 1 tick data series in addition to adding the single tick data series to the script to emulate High order fill resolution. Then you can expect similar results between High Order Fill Resolution and submitting orders to a single tick data series.

Order fills will then be as close as you can get to live trading through a backtest with NinjaTrader.

Tick Replay allows for historical data to be processed with Calculate.OnEachTick/Calculate.OnPriceChange.

You would use Tick Replay if you want OnBarUpdate to process OnEachTick or OnPriceChange for each data series your script processes when the script processes historical data.

[KarstenKafl]

Ok thanks again Jim

So if I need to check cross above - on each tick - while backtesting - then I would need to have both the extra 1 tick series + Tick replay enabled in the strategy - also for backtesting.

And this is what I believe I did before - but i used a 1 minut series as the Secondary series where I entered the positions - and then 2000 tick was the
main series.
and if I did the tick replay here - then the results where unrealistically great.

So I guess I need the secondary series to be 1 tick.

I hope i understand it now.
thanks