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Better support for daily-bar strategies

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    Better support for daily-bar strategies

    Currently I am trying to use NT for two purposes on daily data:

    1. Strategy backtesting
    2. Daily report and signal generation

    I like the results, however, there is one area where NT can improve - on-close trading. Ideally, I'd like to have a mode in which at the end of the bar, I can both compute an indicator and execute a trade at the end of the same bar. That sounds unrealistic for real life trading (i.e. how can one generate the signal and execute the trade at the same time) however, there are several ways to implement it. Without going into much details - when using IB I implement such strategies with their LOC (limit on close), MOC (market on close) and conditional orders.

    That's the ideal situation, however, as a developer I understand that it may require non-trivial and prohibitive changes to the bar processing. Thus, my second suggestion: how about adding on-close orders? These orders will be placed after the previous bar closes (i.e. normal bar processing), but they are potentially executed only at the close of current bar. It will be nice to have LOC, MOC and stop-limit on-close so that one can enter in the direction of a trend (not possible via LOC).

    Hope the above is clear enough, if not, don't hesitate to contact me - you can use my private email.

    Thanks in advance,
    Ivan

    #2
    Hi Ivan, thanks much for putting that detailed request forward to us. Those additional order types you desire in the setup are on our feedback list in product management, I've made sure a vote for you is added as well to consider going forward.
    BertrandNinjaTrader Customer Service

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