High fill resolution

[fluke]

Hi

I have tried to read up on order fill resolution but can't understand exactly what is happening.

I am trying a backtest on a very simple strategy which enters on a break of highest high over last N bars.

Using an optimised stop loss of X ticks and bars of Y mins I find that the net profit is significantly different if I use the high fill resolution of one minute as compared to standard,

Even if I use a relatively short time frame for Y the difference is significant - eg stop loss 10 ticks on 15 minute chart the high fill resolution gives me 55% of the net profit using the standard fill.

Does that mean that standard is not worth considering or that standard is entering on close of bar while high fill is entering 1 min after the condition has been met?

Thanks

[NinjaTrader_ChelseaB]

Hello fluke,

When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known.

Because of this, the order will fill if the orders price is between the high and low of the bar, with no information about what happened while that bar was open.

High order fill granularity provides all of the ticks while the bar was open to fill the order at as close to the actual price it would have been filled at in real-time.

Below is a link to a forum post that details.

https://ninjatrader.com/support/forum/showthread.php?p=491297#post491297

[fluke]

Hi Chelsea

The huge difference is happening on historic data. So if I am using a 15 min timeframe o n the strategy analyser and I am using a high fill of 1 min isn't it substantially filling at 1 min even on historic info, while standrd is filling on 15 mins

Otherwise why is there such a huge difference (40% profit) between standard and high res fill.

Thanks again

[NinjaTrader_ChelseaB]

Hello fluke,

Order fill resolution only affects historical orders and does not affect real-time orders.

Below is a public link to the help guide on order fill resolution.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?understanding_historical_fill_.htm#UnderstandingOrderFillResolution

The difference is performance is due to order filling at the open / close of a bar and not using any of the prices reached at specific times. This makes the fill time and price different for each fill. These differences will add up. The more trades, the larger the difference in the performance can become. The post I have linked in my previous post goes into further detail.