Wrong execution time stamp

[arnaudbzh]

Hello Ninja addicts !!

I get a problem when running a simple backtest.
This stratégie buy after 11h30, and exits after 2 times the initial risk (30 points), on FCE-CAC40 future contract.
With CalculateOnBarClose = true
I need to test when the strategie is flat.
I use Print fonction to get this information, in OnBarUpdate() and in OnExecution() method.
Prints are different, as OnExecution() returns flat information 1 bar before price is reached and trade is closed.
Could anyone explain me this strange action ??
This stratégie has been tested on Ninja 6.5 and Ninja 7, same result.


Here is the code:


public class Turtle1_Long_DEBUG : Strategy
{
#region Variables

double NewStop=1;
double FixedStop;
double Risk;
int OneTrade;

#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;

TraceOrders = true;
EntriesPerDirection=1;
EntryHandling=EntryHandling.UniqueEntries;
ExitOnClose=true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (ToDay(Time[0]) != ToDay(Time[1]))
{
OneTrade = 0;
}

if (Position.MarketPosition==MarketPosition.Flat
&& BarsInProgress==1
&& ToTime(Time[0]) >= 113000
&& OneTrade == 0
)

{
EnterLong(3,"Turtle Long");
NewStop=1;
OneTrade = 1;
}


if (Position.MarketPosition==MarketPosition.Long)
{
Risk=Position.AvgPrice-NewStop;
FixedStop=Position.AvgPrice-30;

if (FixedStop>NewStop)
{NewStop=FixedStop;}

ExitLongLimit(3,Position.AvgPrice+2*Risk,"Exit at X times Risk","");
}


Print("OnBarUpdate");
Print("Date : " +ToDay(Time[0])+" Time : " +ToTime(Time[0]));
Print("Risk= "+Risk);
Print("Situation= "+Position.MarketPosition);
Print ("Position.Quantity :" +Position.Quantity);
Print("");

}



protected override void OnExecution(IExecution execution)
{
Print("OnExecution");
Print("Date : " +ToDay(Time[0])+" Time : " +ToTime(Time[0]));
Print("Risk= "+Risk);
Print("Situation= "+Position.MarketPosition);
Print ("Position.Quantity :" +Position.Quantity);
Print("");
}


#region Properties
#endregion
}




Here is the TraceOrders:

21/01/2009 15:50:00 Entered internal PlaceOrder() method at 21/01/2009 15:50:00: Action=Sell OrderType=Limit Quantity=3 LimitPrice=2935,0 StopPrice=0 SignalName='Exit at X times Risk' FromEntrySignal=''
21/01/2009 15:50:00 Ignore order amendment: Action=Sell OrderType=Limit Quantity=3 LimitPrice=2935,0 StopPrice=0 SignalName=Exit at X times Risk' FromEntrySignal='' Reason='Order already has this stop price/limit price/quantity'
OnBarUpdate
Date : 20090121 Time : 155000
Risk= 30
Situation= Long
Position.Quantity :3

OnExecution
Date : 20090121 Time : 155000
Risk= 30
Situation= Flat
Position.Quantity :0





Thanks a lot, have a nice day.
Arnaud

[NinjaTrader_JoshP]

OnExecution will trigger the moment your executions start coming in. This will be ahead of OnBarUpdate and offers you the earliest time for processing further trade logic.

[arnaudbzh]

Hello Josh,

I understand well OnExecution() method. In real-time, everything works perfect.
But in backtest, this is wrong. So how can I test flat position, to reset orders for example ?

I repeat the problem described before.
The OnExecution() method returns flat position and quantity=0 at 15h50, ONE bar before trade is closed and even before price has been touched.
The order cannot be executed as the price has not been touched.

I tried this backtest on ES 12-09, yesterday the 11th, with an exit on close.
ES closes at 23h30, everything perfect on graph, trades and Executions tabs.
But print instruction in OnExecution() method returns flat at 23h25.

Just try, you will see !!

Have a nive day
Arnaud

[NinjaTrader_JoshP]

Arnaud,

Once you received OnBarUpdate for a bar, that bar is complete. You are not on that bar anymore. You are onto the next bar and that is where you get your OnExecution() prints.