SubmitOrderUnmanaged(): what difference between bars series of same instrument

[fx.practic]

Hello.
I creating strategy, operating with 2 timeframes [60 min (series 0) and 1 min (series 1)] of same instrument.
It use unmanaged orders and work with COBC == true.

Is there any difference between:

SubmitOrderUnmanaged( selectedBarsInProgress = 0, ... );
SubmitOrderUnmanaged( selectedBarsInProgress = 1, ... ); 

in backtests and live trading?

[NinjaTrader_ChrisL]

Hello fx.practic,

Thanks for the post.

The choice you make for BarsInProgress submissions will have an effect on the historical order fills that occur in a backtest per the historical fill algorithm. Using an hourly bar for backtesting could lead to incorrect order fill estimation in a backtest. Using a higher resolution bar series for order fills can alleviate this.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?understanding_historical_fill_.htm

Please let me know if I can answer any questions.

[fx.practic]

How to choose timeframe if all used are not time-proportionsl?

For example, 11 range and 233 ticks?

May be, there is way to choose bar series each time on exact bar?
May be, I cab to compare times or closes prices of last bars of each used timeframe?

[NinjaTrader_ChrisL]

Hello fx.practic,

Thanks for the reply.

If you had an 11 range primary series and a 233 tick secondary series, it is more probable that the 233 tick series would see more OnBarUpdates than the 11 range series if your calculation mode was set to OnBarClose. The historical fill logic will work in the same way regardless of time.

If you need to get the timestamp of a bar, you may use the Times[][] array. Please see the attached script for an example. Run the script on an 11 range chart and observe the output window via New>NinjaScript Output.

See these instructions to import the script:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?import.htm

If I may clear anything up please let me know.

[fx.practic]

Absolutelly clear example, thank You.
If to apply it to my question, is this implementation correct:

if( Times[0][0] >= Times[1][0] ) 
{
SubmitOrderUnmanaged( 0, ... );
}
else 
{
SubmitOrderUnmanaged( 1, ... );
} 

Does it have sense to choose bars series in this way each time before to submit order?

[NinjaTrader_ChrisL]

Hello fx.practic,

That is correct, the BarsInProgress index is a required parameter of every call to SubmitOrderUnmanaged().

Your first question might refer to accessing a bars array regardless of the current BarsInProgress context to access data about any bar on any series. Note that the price series section of the help guide contains plural price series arrays, just as there is a Time[] array and a Times[][] array. These can be used to access any bar array value you might have in your script.

https://ninjatrader.com/support/help...riceseries.htm - All Available Price Series. .

I do not have enough context of your strategy to provide assistance with entry conditions like the sample that was posted, but the BarsInProgress index, in general, is used to place orders on either an additional data series that is applied to your script or to submit an order to an additional instrument for multi-instrument scripts. You can submit an order with the SubmitOrderUnmanaged method to your secondary time frame even if your BarsInProgress OnBarUpdate context is == 0.

This page is a comprehensive overview on multi-time frame and multi-instrument scripts.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?multi-time_frame__instruments.htm