Under Strategies: On each tick vs data series

[Boonfly8]

If I have input series selected as, 1 minute but under Set up, I have calculate on each tick and under Historical fill processing order fill resolution high and type tick value 1.

I'm trying to put it together what all this mean... Does it mean that the strategy is looking at 1 min bars for signals on entry and exits, but executing on every tick update which means it can execute intra-bar? Same goes for the historical fill resolution?

[NinjaTrader_JoshG]

Hello Boonfly8,
Thanks for your post.

You are correct, Calculate.OnEachTick would allow you to calculate your OnBarUpdate() logic intrabar. That's a separate thing in itself from order fill resolution though. The 'Order fill resolution' setting sets the way that simulated historical orders will be processed by the strategy. I am including the links below that should explain these items in further detail.

Help Guide - Calculate

Help Guide - Understanding order fill resolution

[Boonfly8]

Hi Josh,

Thanks for the reply, as mentioned, if using 1minute as input series, and say I have a simple MA cross over, the buy would occur as soon as the fast crosses above the slow on a 1 minute chart display basis but the order would execute immediately at that tick when the event happens. ...correct?

The reason for the question is that I am using 1 min bars to initiate but it sometimes "looks" like the fills I get are a few ticks below market. I know this is a possibility if there was a sweep at the time or the execution lagged, but in this case, is there a historical time and sales data that shows tick by tick or event by event updates from the exchange? Something like ..

Time Bid Price Bid Qty Ask Price Ask Qty Trades
8:32:30:300 2796.25 250 2796.50 50
8:32:30:303 2796.25 256 2796.50 50
8:32:30:318 2796.25 59 2796.50 150 158 @ 2796.50
8:32:30:325 2796.50 8 2796.75 325
8:32:30:500 2796.50 58 2796.75 300

Where it records every update from the exchange. so at 8:32:30:318, someone sent a order to buy 158, which took out the ask with a resulting 8 bid resting at the 2796.50 which became bid.

that way we can match the execution, precisely, to what happened in the market at that time?

* sorry for the ugly formatting of the table, in the editor, it looks much better for some reason

[NinjaTrader_JoshG]

Thanks for the reply, as mentioned, if using 1minute as input series, and say I have a simple MA cross over, the buy would occur as soon as the fast crosses above the slow on a 1 minute chart display basis but the order would execute immediately at that tick when the event happens. ...correct?

Yes, you are correct.

In regards to getting something that looks like your table, you could use OnMarketData() or OnMarketDepth() to get something similar. The reference sample at the following link discusses how to create your own level 2 data book.

Reference Sample - Creating your own Level II data book
Help Guide - OnMarketData()
Help Guide - OnMarketDepth