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

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

    Leave a comment:


  • NinjaTrader_ChelseaB
    replied
    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.

    Leave a comment:


  • rgoudie
    replied
    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.


    Originally posted by NinjaTrader_ChelseaB View Post
    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

    Leave a comment:


  • NinjaTrader_ChelseaB
    replied
    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

    Leave a comment:


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


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

    Leave a comment:


  • NinjaTrader_ChelseaB
    replied
    Hello rgoudie,

    Strategies can fill at intra-bar prices if a 1 tick series has been added to the script.
    https://ninjatrader.com/support/foru...377#post773377

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

    Leave a comment:


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

    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.

    Code:
    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.

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