Where can i find some information about the fill algorithm in ninjatrader backtests (slippage at order type?). Because i don't use the integrated backtester i want build a similar fill behavior in my own test suite. Has the integrated backtester bid/ask data too or is it simulated via some "Last" value calculations?

Thanks!

Koepisch 

Where can i find some information about the fill algorithm in ninjatrader backtests (slippage at order type?). Because i don't use the integrated backtester i want build a similar fill behavior in my own test suite. Has the integrated backtester bid/ask data too or is it simulated via some "Last" value calculations? Thanks!

The integrated backtest does not use historical bid and ask data. NinjaTrader cannot record synchronized bid and ask with the exception of the market replay files.

Historical data, which is used for backtests always comes as single tick data. That means that you will not get intra-bar fills for market orders. Market orders will be executed at the open price of the following bar. Limit and stop orders will be executed at the limit price or stop price. You can manually add slippage.

For some bar types, such as Renko bars, the backtest produces complete nonsense, because the open of those bar types does not reflect the first tick. The NinjaTrader Renko bars are therefore not backtestable.

Hi Fat Tails,
Thanks for your useful informed answer.
Just wondering whether there is any other platform out there that's better than NinjaTrader for backtesting?
Perhaps MultiCharts?
Mark

@Koepisch:

This answer is 1 year late, but I think there's a @DefaultFillType.cs in the NT folder that is responsible for the logic.