Confused about Tick vs Bid vs Ask vs Last

[aytacasan]

Hello,

Below my knowledge about these terms. Someone with knowledge about these terms, could you please tell me below definitions are correct or not?

1. Ask is the best price for buyers
2. Bid is best price for sellers
3. Last is the last traded price which can be any price, it does not have to be equal current bid or ask.

We can add additional data series in NT's strategies via AddDataSeries method. With this method we can add tick, bid, ask, last data series. If all my definitions is right, what is the mean tick and tick data data series (bid, ask and last are also tick data series, aren't they?) and when i need one of them how i will decide to choose the right one in my strategy?

All helpful info/link will be appreciated.

Thanks,
Aytac

[NinjaTrader_JessicaP]

Hello aytacasan, and thank you for your question. To your first two questions, limit or MIT orders can only be placed at the market price or better (better following the adage "buy low, sell high"), and stop orders can only be placed at the market price or worse. Since the ask price is above the market price and the bid price is below ("ask - above, bid below"), this means that ask prices are going to be useful for profit targets for orders entered on the long or buy side of the market, and stop loss orders entered on the short or sell side of the market.

So you are correct on points one and two, but hopefully that gives you some insight as far as why this is the case.

To your third question, the last traded price is either the bid or the ask price, depend on which was submitted most recently. I typically refer to this as though it was a separate price and call this price the market price, as when you submit market orders your goal will be to place the order as close to this price as possible, and entering a price different from this constitutes slippage.

To your fourth question, please see this publicly available link for general information, as "tick series" is a term that is used in a lot of different ways, http://www.investopedia.com/terms/t/tickindex.asp . In NinjaTrader, this can also refer to a bar interval type, such as a 150 Tick bar.

Please let us know if there are any other ways we can help.

[aytacasan]

Hello Jessica,

I really appreciate your detailed explanations. But because of i did not ask clearly my fourth question there is misunderstanding. Sorry about that, i want to clarify my question and ask some other questions again related with forth question;

I asked fourth question about strategy testing via strategy analyzer. You know that when we do back-test we can only use OHLCV data. If we want to use ticks for test strategy we have some solutions on NT. Some of them, chang order fill resolution from standard to high or add tick data series and simulate tick by tick test via code (actually orders opening/closing from selected tick price vs bar's open/close price). And when i talk about tick data series actually talk about the second approach.

1. When i set order fill resolution to high NT probably using tick data at background but which is using?
AddDataSeries(BarPeriodType.Bid, 1)
AddDataSeries(BarPeriodType.Ask, 1)
AddDataSeries(BarPeriodType.Tick, 1)
AddDataSeries(BarPeriodType.Last, 1)

2. AddDataSeries(BarPeriodType.Tick, 1) and AddDataSeries(BarPeriodType.Last, 1) are the same thing?

3. Is this assumption correct? When we test strategy that open/close orders with limit orders and/or using stoploss/takeprofit limit orders we can use both Bid/Ask data series for better back-test. And when our orders type only market orders add last data series is best solution.

4. NT have any other option for do realistic/tick by tick strategy back-tests?

Thanks,
Aytac

[NinjaTrader_JessicaP]

Thank you for this clarification. I will answer your questions slightly out of order.

2. Yes
1. Because of 2, you can omit either the Tick or Last series
3. The High Fill Resolution feature will allow you to add a Tick (Last) series without any custom coding for the purpose of backtesting. You will not have to enter a BarsInProgress index in your trades to use this series.

[aytacasan]

You are so fast Jessica, because of that you posted your answers before i added plus one question please answer this question too.

[NinjaTrader_JessicaP]

To your 3rd question, I'm not really sure what's meant by better backtesting here, but you will want to review this chart for information regarding how virtual bars are built.

http://ninjatrader.com/support/helpGuides/nt8/en-us/understanding_historical_fill_.htm?zoom_highlightsub=virtual%2Bbars