Simple backtest question: When calling EnterLong, what is the fill price?

[rgoudie]

Greetings.

I have spent a ridiculous amount of time searching for an answer to this simple question.

I am backtesting my strategy code. I am using the basic entry command to enter a position at market prices.

EnterLong(quantity, LONG_SIGNAL_NAME);

I have further logic that depends on the fill price. I understand that backtesting cannot provide intra-bar prices. Still, the backtest simulation is using some price during its operations. How may I obtain the fill price of an EnterLong market order call during backtesting?

If this documented somewhere in the online help, then I would appreciate a link. I certainly could not find one in my search.

Thanks.

[NinjaTrader_ChelseaB]

Hello rgoudie,

Strategies can fill at intra-bar prices if a 1 tick series has been added to the script.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

Without the 1 tick series, market orders that are submitted after a bar closes, fills at the open of the new bar.

[rgoudie]

I am not sure whether this answers my question. Are you trying to say that the following code would be correct?

EnterLong(quantity, LONG_SIGNAL_NAME);
double fillPrice = Close[0];

[NinjaTrader_ChelseaB]

Hello rgoudie,

The EnterLong() call you have suggested does not use the BarsInProgressIndex of 1 (or which ever series is the added one tick series).

EnterLong(int barsInProgressIndex, int quantity, string signalName)

https://ninjatrader.com/support/helpGuides/nt8/enterlong.htm

[rgoudie]

I don't even understand how barsInProgressIndex is relevant to my question. Just assume that I am using one series.
My question is simply this:

When I am testing a strategy using a backtest, when EnterLong executes, what fill price will it use?
The command creates and order and enters a position, correct?
What price does it use to fulfill the order during a backtest?
Thanks.

Hello rgoudie,
The EnterLong() call you have suggested does not use the BarsInProgressIndex of 1 (or which ever series is the added one tick series).
EnterLong(int barsInProgressIndex, int quantity, string signalName)
https://ninjatrader.com/support/help.../enterlong.htm

[NinjaTrader_ChelseaB]

Hello rgoudie,

You stated:
"I understand that backtesting cannot provide intra-bar prices."

This is incorrect. Adding a 1 tick series provides intra-bar prices.
Each series has a bars in progress.
To place orders and have intra-bar prices, you would need to submit the order to the bars in progress of the 1 tick series.

[rgoudie]

No offense, Chelsea. Is there anybody else from NinjaTrader that understands my simple question and can answer it?