Announcement
Collapse
Looking for a User App or Add-On built by the NinjaTrader community?
Visit NinjaTrader EcoSystem and our free User App Share!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
See more
See less
Partner 728x90
Collapse
NinjaTrader
Backtest executing orders at Open instead of Close
Collapse
X
-
Backtest executing orders at Open instead of Close
I have a strategy that uses daily data which is designed to execute trades as Market On Close, but the actual prices of the trade executions as shown in the Strategy Analyzer use Open of the next bar. This results in the wrong PnL performance. Is there any way I can execute a MOC order in the Strategy Analyzer? Any help will be greatly appreciated!Last edited by jdemp0913; 04-29-2017, 10:47 AM. -
Hello,
Thank you for the post.
This would be an item related to how the backtest processes the strategy. To gain fills in the same bar, you would likely need to use logic and intrabar granularity. You can simulate this using a 1 tick series or you could also try using the other fill modes to see how the strategy reacts.
We have a sample that uses intrabar granularity here: http://ninjatrader.com/support/forum...ead.php?t=6652
You can find more about the differences between real-time and historical modes here: http://ninjatrader.com/support/helpG...tsub=discrepan
I look forward to being of further assistance.JesseNinjaTrader Customer Service
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by pechtri, 06-22-2023, 02:31 AM
|
9 responses
122 views
0 likes
|
Last Post Today, 02:31 PM | ||
Started by frankthearm, 04-18-2024, 09:08 AM
|
16 responses
66 views
0 likes
|
Last Post Today, 02:17 PM | ||
Started by habeebft, Today, 01:18 PM
|
1 response
5 views
0 likes
|
Last Post Today, 02:03 PM | ||
Started by benmarkal, Today, 12:52 PM
|
2 responses
15 views
0 likes
|
Last Post
by benmarkal
Today, 02:00 PM
|
||
Started by f.saeidi, Today, 01:38 PM
|
1 response
9 views
0 likes
|
Last Post Today, 01:45 PM |
Comment