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Limit buy order filled at bar-high

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    Limit buy order filled at bar-high

    Hi, I finally made the jump from NT7 to NT8 and am very surprised about executing orders in a daily chart.

    I have a simple limit buy order below the blue line whatever this may be.
    On the 1st, 2nd and 4th bar I got filled at the blue line, on the 3rd bar at the day's high, although on every day the open was clearly lower than the blue line. So I would strongly expect to get filled at the open if it was lower than my limit price and not at the limit price or even the day's high.

    In NT7 you could change the fill logic but I have not found something similar for NT8. In a thread here it was mentioned that there are no plans to change this.

    I cannot believe this because backtesting is totally useless with this logic. Could you please tell me a solution.

    Thanks very much!
    Bernhard
    Attached Files

    #2
    Hello Bernhard_mu,
    Thanks for your post.

    The Strategy Analyzer does the best it can to simulate the real market but it is not perfect and it works on bar closes instead of every tick. It would be expected for a strategy running real-time to produce different results than the performance results generated during a backtest. The blue line is an indicator that is happening to line up with your executions in this particular image, so that part looks fine to me. In NT8 I would also expect for my order fills to happen within the movement of the bar, so that also looks fine. If the limit order was for a price outside of the 3rd bar, you could expect for that order to be submitted at the best price available for that bar.

    Please review the following links that discuss the differences between Real-Time strategy results vs Strategy Backtest results.
    Help Guide- Discrepancies: Real-Time vs Backtest
    NT Support Forum- Comparing real-time, historical, and replay performance


    In regards to changing the fill logic in NT8, you could set your Order Fill Resolution to "High". This setting will pull in additional historical data(1-Tick series) which adds additional data points to be considered. Please see the following help guide document for more information on historical fill processing.
    Help Guide - Understanding Historical Fill Processing

    I know this is alot of material, so please let me know if you have any questions.
    JoshNinjaTrader Customer Service

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      #3
      Hello Josh,

      thank you very much for your quick reply. I tried several settings but did not succeed.
      If I have only daily data then in my opinion there is no other solution for backtesting because I cannot refer to minute data.

      But, as I mentioned before, as long as the open of the daily bar is below the limit price, then I expect to get my order filled at the open and not at my limit price or even the daily high as in the example.

      Unfortunately this is not possible which I find extremely sad. Reality is totally different than the backtesting in NT8. What I don't understand is that you do not offer the users more realistic possibilites for order fills so that they can choose. NT7 was much better in this way. So unfortunately I have to switch back to NT7.

      Thanks for your time and help!
      Regards
      Bernhard

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