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Limit Order executed at "wrong" price in backtest

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    Limit Order executed at "wrong" price in backtest

    Hello,

    in my strategy (during a backtest) I place a Limit Buy Order for the next bar at the price of 50$, and it gets actually filled at 50$, although the next 5 Minute bar opens at 49$ (gap down).
    So in reality the order would be filled with a much better price.
    I would expect that during a backtest NT simulates the fill price with the first price available that is lower than the limit.
    Why does NT never simulates a better fill-price than the limit price ?

    Thanks,
    Derjan


    #2
    Hello Derjan,

    This would also depend on the 'Fill limit orders on touch' setting, but in general if the order is between the high and low, the order is filled.
    https://ninjatrader.com/support/help...testProperties
    https://ninjatrader.com/support/help...mitontouch.htm

    Below are links to the help guide on the historical fill algorithm.
    https://ninjatrader.com/support/help...lFillAlgorithm
    https://ninjatrader.com/support/help...fill_logic.htm
    Chelsea B.NinjaTrader Customer Service

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