Partial profit limits not filling historically with Tick Replay (intrabar fills)

General Discussions
1

Hello,

I’m testing a simple partial-profit strategy and seeing that “historical” limit exits don’t fill even when price clearly reaches the targets on the chart.

Setup (NT8):

  • Instrument: ES 12-25, 1-Minute, Trading Hours: CME US Index Futures RTH
  • Data providers: Kinetick (historical), NinjaTrader Continuum (real-time)
  • Chart: Tick Replay = ON, Days to load = 5
  • Strategy settings:
    • Calculate = Calculate.OnEachTick
    • IsExitOnSessionCloseStrategy = false
    • OrderFillResolution = High, OrderFillResolutionType = Tick, OrderFillResolutionValue = 1
    • Entries: 2 contracts
    • Exits:
      • Partial: ExitLongLimit(1, entry + 2 ticks)
      • Runner: ExitLongLimit(remaining, entry + 10 ticks)
      • Stop: SetStopLoss(entry – StopTicks); moved to breakeven after partial fills

Observed issue (historical only):

  • The strategy enters correctly, but the partial and runner ExitLongLimit() orders never fill in historical processing, even though the bars’ highs reach (and exceed) the target prices.

Minimal code (entry & exits):

if (Position.MarketPosition == MarketPosition.Flat && High[0] > High[1])
    EnterLong(Math.Max(2, Qty), "ENTRY-L");

protected override void OnExecutionUpdate(Execution e, string id, double price, int qty,
    MarketPosition mp, string orderId, DateTime time)
{
    if (e?.Order == null || e.Order.OrderState != OrderState.Filled) return;

    if (e.Order.FromEntrySignal == "ENTRY-L" && Position.MarketPosition == MarketPosition.Long)
    {
        double entry = e.Order.AverageFillPrice;
        SetStopLoss("ENTRY-L", CalculationMode.Ticks, StopTicks, false);
        ExitLongLimit(1, entry + (2 * TickSize), "PT-P", "ENTRY-L");
        ExitLongLimit(Math.Max(0, Position.Quantity - 1), entry + (10 * TickSize), "PT-R", "ENTRY-L");
    }
    if (e.Order.Name == "PT-P") SetStopLoss("ENTRY-L", CalculationMode.Price, Position.AveragePrice, false);
}

Questions:

  1. What is the correct approach to get intrabar limit fills (partial + runner) to register in historical backtesting with Tick Replay?
  2. Is ExitLongLimit() expected to fill historically with OrderFillResolution=High + Tick Replay, or should I manually detect High[0] >= target and send ExitLong() market orders for historical?
  3. Are there any additional settings (strategy or chart) required so partial fills are simulated correctly on historical data?
  4. Any known limitations with partial limit orders + breakeven stop adjustments on historical that I should account for?

I can provide the full .cs file and a short video if helpful.
Thanks so much!