backtesting - historical fill processing

[adamus]

I read in the Help how limit orders are filled in backtests, and the options to choose from - especially that limit orders with the default option are only considered filled if they are penetrated and not just touched.

I can't see any reference for the same info regarding market orders (presumably the open of the next bar?) and stop orders (presumably filled if price touched?)

Please could you confirm the processing that's done for mkt & stop orders, along with any points of interest, or provide a link to where I can it?

Thanks

[NinjaTrader_Ben]

Hello,

Please review this link:
http://www.ninjatrader-support.com/H...AStrategy.html
Look at the Default and Liberal settings.

In a live situation, it will depend on your broker since the order should be working in the market.

Market orders are filled at the next available price, where ever that is.

[adamus]

That documentation is specifically the documentation that I was referring to which doesn't mention market or stop orders - even if it is quite useful to have the option to choose the algorithm, there's no info on these 2 order types and their handling by the Analyzer in backtests.

It covers only limit orders (and stop-limit orders).

So, market orders and stop orders in historical backtest execution. How does the strategy analyzer do it?

Which price does it take from the OHLC bar?

How about trading through the price in the case of stops? Is that decided by the Default / Liberal / custom algorithms?

[NinjaTrader_Bertrand]

adamus, market orders are filled on the next bar open which is the next possible location after the signal was generated to act upon it, stop orders are just market orders if triggered, for stop limit orders the same limit order consideration as explained in the doc's would apply.

[adamus]

OK, but are stop orders triggered when touched, or triggered when the price is traded through, or is it dependent on choosing the Default or Liberal backtest fill algorithm?

Thanks

[NinjaTrader_Bertrand]

They would be triggered when touched - the fill algorithm choice is relevant for stoplimit / limit orders.