Understanding the Historical Fill Process Option

[simple_goodoboy]

Hello,

Please see attachment.

I would like to understand what the Order fill resolution, Type, and Value means when back testing.

Questions:
1. Do i select Seconds or Ticks for a more accurate backtest similar to market replay historical data?

2. Also what does Value means?

3. My strategy is using the 5 minute chart as you see in the data series selection. What is the benefit of using the Order fill resolution High? I am hoping to get a more accurate back test then just using OHCL like in NT7.

Thank you

[NinjaTrader_PaulH]

Hello simple_goodoboy,

Thanks for your post.

The helpguide covers your questions pretty well here: http://ninjatrader.com/support/helpG...ical_fill_.htm

From the helpguide:
Order Fill Resolution
NinjaTrader allows you to pull in additional historical data that will be more granular then what you are using for the strategy backtest to be used to give you more data points of which to fill orders. Allowing for more accuracy in the order fill simulation.

StrategyAnalyzer_OrderFillProcessing

Order fill resolution of "Standard (Fastest)" is the default setting and will use the existing bar type and interval that you are running the backtest on to fill your orders. This means that the historical fill algorithm will use the same Open, High, Low, Close, Time values that are available to the strategy for running the order fill simulation.

Selecting order fill resolution of "High" will allow you to set a secondary bar series to be used as the price data to fill your orders, this allows you to bring in more granular data then you are currently running the strategy on. For example you may have a strategy that you run on "Daily" bars but then want to bring in "Minute" bars for the historical fill algorithm to be based on.

The secondary bar series will mimic the 'price based on' setting in your Strategy Analyzer settings, should you wish to mix different prices types, for example generate signals of last based data and execute those to a bid / ask series, this could be achieved with further custom programming.

Note: You could choose to always use the most granular order fill resolution such as a 1 Tick Data Series. However this forces NinjaTrader to process this additional data for use in the historical fill algorithm. This results in longer backtest times due to the additional data that needs to be processed. NinjaTrader will only start the backtest after we have loaded historical data for both the strategy and the order fill resolution.

[simple_goodoboy]

NinjaTrader allows you to pull in additional historical data that will be more granular then what you are using for the strategy backtest to be used to give you more data points of which to fill orders. Allowing for more accuracy in the order fill simulation.

Thank you Paul,

Few questions:

1. Will using 1 tick data provide more accuracy?

2. I ran a back test using standard (fastest) vs historical fill order 1 tick data and surprisingly the 1 tick data back testing showed far more profit then the using the standard.

3. Is market replay more accurate then backtesting with NT historical fill order 1 tick data?

4. I would like to do a test by comparing back testing the following methods on /ES for one month historical (say January 2017). I will like to see how realistic NT back testing is by performing market replay January 2017 then compare the results to NT backtesting simulation for that month. This way i feel some sort of comfortable. What do you think on this?

5. What is the difference between NT historical fill order 1 tick data and me buying my own tick data from Kinetic or any other tick data service? I am trying to understand the difference.

Thank you

[NinjaTrader_PaulH]

Hello simple_goodoboy,

Thanks for your reply.

1. "Selecting order fill resolution of "High" will allow you to set a secondary bar series to be used as the price data to fill your orders, this allows you to bring in more granular data then you are currently running the strategy on." this then should be more acccurate to the real market movements.

2. That is possible as the added granularity per bar for executions could result in greater profits or losses.

3. Playback would allow for intra-bar calculations and intra-bar executions which could prove useful in understanding how the strategy will perform in real-time. It is not necessarily more accurate than backtesting with 1 Tick High Resolution.

4. Sounds like a good approach.

5. Tick data is tick data, I could not advise any differences other than if you are looking at forex data, in that case it likely will be different between providers due to the distributed nature of forex.

[simple_goodoboy]

3. Playback would allow for intra-bar calculations and intra-bar executions which could prove useful in understanding how the strategy will perform in real-time. It is not necessarily more accurate than backtesting with 1 Tick High Resolution.

Thanks for reply.

A few questions:

1. So the back test simulator performs calculate on bar close (and after bar close strategy executions) and playback has intra-bar calculations (intra-bar strategy) executions, correct?

2. When the strategy runs live (real market/cash), will the strategy still execute on bar close or intra-bar calculations and executions?

3. The main reason I moved to NT8 from NT7 was because I scalp trade (7-10 profit targets). Using the OHLC data points often in NT7 back testing results I would notice, if the entry and stop loss occurred in the same bar, by default a loss is generated. If the entry and profit target occurred in the same bar, by default a win is generated. Not knowing the actually price movement of a 5 minute bar with just OHLC data points was giving me non confidence of the back test results. Does back testing on 1-tick or 1-second secondary dataseries resolve or give more accurate price movement within the bar now? Will entry and stop in the same bar results to loss, or profit if entry and profit target in the same bar?

Thank you

[NinjaTrader_PaulH]

Hello simple_goodoboy,

Thanks for your reply.

1. Yes, strategy analyzer backtesting operates on bar close. In Playback with Market replay data, a strategy (or any ninjascript) can operate on bar close, on each tick, or on price change just like in live data, according to how you set the Calculate mode, either in your strategy or in the strategy parameters when you apply the strategy.

2) In live data the strategy can operate on bar close, on each tick or on price change, according to how you set the Calculate mode, either in your strategy or in the strategy parameters when you apply the strategy.

[simple_goodoboy]

Hello simple_goodoboy,

Thanks for your reply.

1. Yes, strategy analyzer backtesting operates on bar close. In Playback with Market replay data, a strategy (or any ninjascript) can operate on bar close, on each tick, or on price change just like in live data, according to how you set the Calculate mode, either in your strategy or in the strategy parameters when you apply the strategy.

2) In live data the strategy can operate on bar close, on each tick or on price change, according to how you set the Calculate mode, either in your strategy or in the strategy parameters when you apply the strategy.

Thanks Paul,

Another question please below:

1. The main reason I moved to NT8 from NT7 was because I scalp trade (7-10 profit targets). Using the OHLC data points often in NT7 back testing results I would notice, if the entry and stop loss occurred in the same bar, by default a loss is generated. If the entry and profit target occurred in the same bar, by default a win is generated. Not knowing the actually price movement of a 5 minute bar with just OHLC data points was giving me non confidence of the back test results. Does back testing on 1-tick or 1-second secondary dataseries resolve or give more accurate price movement within the bar now? Will entry and stop in the same bar results to loss, or profit if entry and profit target in the same bar?

[NinjaTrader_PaulH]

Hello simple_goodoboy,

Thanks for your post.

Yes, "Selecting order fill resolution of "High" will allow you to set a secondary bar series to be used as the price data to fill your orders, this allows you to bring in more granular data then you are currently running the strategy on"