I have a strategy using OnMarketData (this is given, no way around that). To backtest this strategy, I seem to have no other option than using Tick Replay. I'm running backtests on 5 min timeframe and the orders (market orders by EntryLong, EntryShort) are filled only with 5 minute granularity, completely out of the market price at the moment the order has been placed. This of course completely ruins the results.
Can you please advice, am I missing something, or is Ninjatrader not supporting this scenario at the moment? Is it possible to run the backtest with the setup above, and get correct trades? Thank you.
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