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Simple backtest question: When calling EnterLong, what is the fill price?
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No offense, Chelsea. Is there anybody else from NinjaTrader that understands my simple question and can answer it?
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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:
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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 PostHello 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
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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)
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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];
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Hello rgoudie,
Strategies can fill at intra-bar prices if a 1 tick series has been added to the script.
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:
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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);
If this documented somewhere in the online help, then I would appreciate a link. I certainly could not find one in my search.
Thanks.Tags: None
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