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Is it possible to do Intra bar order generation in a strategy

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    Is it possible to do Intra bar order generation in a strategy

    Hi all,

    I have a strategy that I wrote in EasyLanguage and I want to convert it to run using Ninja Script.

    I run it on a daily chart and look for a certain pattern to set up and when it does I set a limit order to place a trade. It checks for the pattern to setup at every tick throughout the day.

    In EasyLanguage I set the following at the very top of the file to make this work.

    [Intrabarordergeneration=True]

    I noticed that there is an enum -
    Calculate.OnEachTick

    Will this do the trick?
    Last edited by NeverDownMoney; 09-11-2020, 11:13 PM.

    #2
    Hello NeverDownMoney,

    Thanks for your post.

    Yes. intrabar logical processing can be achieved with Calculate.OnPriceChange or OnEachTick. This would be used for realtime data processing only.

    Tick Replay can used for Calculate.OnEachTick and Calculate.OnPriceChange modes in historical processing/backtesting, but we should note that orders will still be filled based on the Open High Low and Close values of the data series we submit the orders to. To overcome this, the strategy may be unlocked and orders can be submitted to a single tick data series. This is essentially doing the same thing as using High Order Fill Resolution, but submitting orders to the single tick data series on our own will work with Tick Replay.

    Please note that we can use the Playback Connection to simulate realtime data processing.

    Tick Replay - https://ninjatrader.com/support/help...ick_replay.htm

    Developing for Tick Replay - https://ninjatrader.com/support/help...ick_replay.htm

    Understanding Historical Fill Processing - https://ninjatrader.com/support/help...ical_fill_.htm

    Backtesting with intrabar granularity (can be used in place of High Order Fill Resolution) — https://ninjatrader.com/support/help...ipt_strate.htm

    We look forward to assisting.
    JimNinjaTrader Customer Service

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