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NJT7 trace output not matching trace output from NJT6.5

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    #1

    NJT7 trace output not matching trace output from NJT6.5

    I was experiencing weird strategy behavior in NJT 7.0.6 so to troubleshoot I added trace to my strategy to solve the issue. I also exported the strategy to njt6.5 and ran it there.


    The output files don't match.

    I used the Strategy Analyzer on 10 minute bars.

    You can see from the output for njt6.5 that it executes correctly on 10 minute increments/ 10 minutes after the hour. the file times are all even ending which aligns with 10 minute close.


    You can see from the output file for njt7.0 that it doesn't execute correctly on 10 minute increments.it has odd number endings.


    Does this behavior seem correct?
    Attached Files
    Tags: None
    #2
    Here is what I see as I backtest your strategy on 10 min $EURJPY, all settings are default:

    ...
    05.01.2010 14:10:00 Entered internal PlaceOrder() method at 05.01.2010 14:10:00: Action=Buy OrderType=Market Quantity=0,1M LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
    05.01.2010 15:10:00 Cancelled pending exit order, since associated position is closed: Order='NT-00207/Backtest' Name='Profit target' State=Working Instrument='$EURJPY' Action=Sell Limit price=132,92 Stop price=0 Quantity=0,1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00114' Filled=0 Fill price=0 Token='29be0348aa874839811046b8bd798d96' Gtd='01.12.2099 00:00:00'
    05.01.2010 15:10:00 Cancelled OCO paired order: BarsInProgress=0: Order='NT-00207/Backtest' Name='Profit target' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=132,92 Stop price=0 Quantity=0,1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00114' Filled=0 Fill price=0 Token='29be0348aa874839811046b8bd798d96' Gtd='01.12.2099 00:00:00'
    05.01.2010 15:20:00 Entered internal PlaceOrder() method at 05.01.2010 15:20:00: Action=SellShort OrderType=Market Quantity=0,1M LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
    05.01.2010 15:50:00 Cancelled pending exit order, since associated position is closed: Order='NT-00209/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=132,65 Quantity=0,1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00116' Filled=0 Fill price=0 Token='8197a7cf60d04545975485a3bfa4bfde' Gtd='01.12.2099 00:00:00'
    05.01.2010 15:50:00 Cancelled OCO paired order: BarsInProgress=0: Order='NT-00209/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=132,65 Quantity=0,1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00116' Filled=0 Fill price=0 Token='8197a7cf60d04545975485a3bfa4bfde' Gtd='01.12.2099 00:00:00'
    05.01.2010 16:00:00 Cancelled expired order: BarsInProgress=0: Order='NT-00209/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=132,65 Quantity=0,1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00116' Filled=0 Fill price=0 Token='8197a7cf60d04545975485a3bfa4bfde' Gtd='01.12.2099 00:00:00'
    06.01.2010 04:10:00 Entered internal PlaceOrder() method at 06.01.2010 04:10:00: Action=Buy OrderType=Market Quantity=0,1M LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
    06.01.2010 06:00:00 Cancelled pending exit order, since associated position is closed: Order='NT-00212/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=131,31 Quantity=0,1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00118' Filled=0 Fill price=0 Token='d91d7e26845e45969e974ecdef05d3b4' Gtd='01.12.2099 00:00:00'
    06.01.2010 06:00:00 Cancelled OCO paired order: BarsInProgress=0: Order='NT-00212/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=131,31 Quantity=0,1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00118' Filled=0 Fill price=0 Token='d91d7e26845e45969e974ecdef05d3b4' Gtd='01.12.2099 00:00:00'
    06.01.2010 06:10:00 Cancelled expired order: BarsInProgress=0: Order='NT-00212/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=131,31 Quantity=0,1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00118' Filled=0 Fill price=0 Token='d91d7e26845e45969e974ecdef05d3b4' Gtd='01.12.2099 00:00:00'
    07.01.2010 00:40:00 Entered internal PlaceOrder() method at 07.01.2010 00:40:00: Action=SellShort OrderType=Market Quantity=0,1M LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
    ...

    -> no issue here, all timestamps are multiples of 10 mins

    What you are doing differently?

    Comment

      #3
      what time zone are you on?
      what session template did you use?

      I changed my session template from "Forex" to "Default 24/7" and it seems to be timestamping correctly now.


      1/5/2010 8:10:00 AM Entered internal PlaceOrder() method at 1/5/2010 8:10:00 AM: Action=Buy OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
      1/5/2010 8:40:00 AM Cancelled pending exit order, since associated position is closed: Order='NT-00008/Backtest' Name='Profit target' State=Working Instrument='$EURJPY' Action=Sell Limit price=132.78 Stop price=0 Quantity=0.1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00004' Filled=0 Fill price=0 Token='2a666e1efab643f88ff7b7969413dc8e' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 8:40:00 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00008/Backtest' Name='Profit target' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=132.78 Stop price=0 Quantity=0.1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00004' Filled=0 Fill price=0 Token='2a666e1efab643f88ff7b7969413dc8e' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 9:20:00 AM Entered internal PlaceOrder() method at 1/5/2010 9:20:00 AM: Action=SellShort OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
      1/5/2010 9:30:00 AM Cancelled pending exit order, since associated position is closed: Order='NT-00010/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=132.35 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00006' Filled=0 Fill price=0 Token='eeede3a69072446fb66e8a57866586ee' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 9:30:00 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00010/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=132.35 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00006' Filled=0 Fill price=0 Token='eeede3a69072446fb66e8a57866586ee' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 9:40:00 AM Cancelled expired order: BarsInProgress=0: Order='NT-00010/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=132.35 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00006' Filled=0 Fill price=0 Token='eeede3a69072446fb66e8a57866586ee' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 10:10:00 PM Entered internal PlaceOrder() method at 1/5/2010 10:10:00 PM: Action=Buy OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
      1/5/2010 11:20:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00013/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=131.63 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00008' Filled=0 Fill price=0 Token='acd29371aba445f9b3f9ec079c246d39' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 11:20:00 PM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00013/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=131.63 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00008' Filled=0 Fill price=0 Token='acd29371aba445f9b3f9ec079c246d39' Gtd='12/1/2099 12:00:00 AM'
      1/5/2010 11:30:00 PM Cancelled expired order: BarsInProgress=0: Order='NT-00013/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=131.63 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00008' Filled=0 Fill price=0 Token='acd29371aba445f9b3f9ec079c246d39' Gtd='12/1/2099 12:00:00 AM'
      1/6/2010 6:50:00 PM Entered internal PlaceOrder() method at 1/6/2010 6:50:00 PM: Action=SellShort OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
      1/6/2010 7:30:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00017/Backtest' Name='Profit target' State=Working Instrument='$EURJPY' Action=BuyToCover Limit price=132.825 Stop price=0 Quantity=0.1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00010' Filled=0 Fill price=0 Token='de83f28b4ead4e53811001e937b7605f' Gtd='12/1/2099 12:00:00 AM'
      1/6/2010 7:30:00 PM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00017/Backtest' Name='Profit target' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=132.825 Stop price=0 Quantity=0.1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00010' Filled=0 Fill price=0 Token='de83f28b4ead4e53811001e937b7605f' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 3:30:00 AM Entered internal PlaceOrder() method at 1/7/2010 3:30:00 AM: Action=Buy OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
      1/7/2010 4:30:00 AM Cancelled pending exit order, since associated position is closed: Order='NT-00019/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=133.02 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00012' Filled=0 Fill price=0 Token='c6134d03a66d4b9db7ce369776987685' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 4:30:00 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00019/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=133.02 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00012' Filled=0 Fill price=0 Token='c6134d03a66d4b9db7ce369776987685' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 4:40:00 AM Cancelled expired order: BarsInProgress=0: Order='NT-00019/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=133.02 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00012' Filled=0 Fill price=0 Token='c6134d03a66d4b9db7ce369776987685' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 3:40:00 PM Entered internal PlaceOrder() method at 1/7/2010 3:40:00 PM: Action=SellShort OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
      1/7/2010 4:30:00 PM Entered internal PlaceOrder() method at 1/7/2010 4:30:00 PM: Action=Buy OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
      1/7/2010 4:30:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00023/Backtest' Name='Profit target' State=Working Instrument='$EURJPY' Action=BuyToCover Limit price=133.43 Stop price=0 Quantity=0.1M Strategy='tracenjt65' Type=Limit Tif=Gtc Oco='NT-00014' Filled=0 Fill price=0 Token='6dbbc1712ffb41c19a1cecc6bc8e3211' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 4:30:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00022/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=133.88 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00014' Filled=0 Fill price=0 Token='28ac2ae4d2114c6f9ba4d71dac7bb78d' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 5:00:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00026/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=133.235 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00016' Filled=0 Fill price=0 Token='23b42624e2c8487d97643e271ffe2ab2' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 5:00:00 PM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00026/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=133.235 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00016' Filled=0 Fill price=0 Token='23b42624e2c8487d97643e271ffe2ab2' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 5:20:00 PM Cancelled expired order: BarsInProgress=0: Order='NT-00026/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=133.235 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00016' Filled=0 Fill price=0 Token='23b42624e2c8487d97643e271ffe2ab2' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 10:40:00 PM Entered internal PlaceOrder() method at 1/7/2010 10:40:00 PM: Action=SellShort OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
      1/7/2010 11:30:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00029/Backtest' Name='Stop loss' State=Working Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=133.785 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00018' Filled=0 Fill price=0 Token='4787e281e39a45e4b67ff5ab6c35f0ba' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 11:30:00 PM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00029/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=133.785 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00018' Filled=0 Fill price=0 Token='4787e281e39a45e4b67ff5ab6c35f0ba' Gtd='12/1/2099 12:00:00 AM'
      1/7/2010 11:40:00 PM Cancelled expired order: BarsInProgress=0: Order='NT-00029/Backtest' Name='Stop loss' State=Cancelled Instrument='$EURJPY' Action=BuyToCover Limit price=0 Stop price=133.785 Quantity=0.1M Strategy='tracenjt65' Type=Stop Tif=Gtc Oco='NT-00018' Filled=0 Fill price=0 Token='4787e281e39a45e4b67ff5ab6c35f0ba' Gtd='12/1/2099 12:00:00 AM'

      Comment

        #4
        - I'm EST + 1 hour (Berlin)
        - session is default = <use instrument session>, which is Forex for $EURJPY

        Did you change the Forex session definitions?

        Comment

          #5
          ok that helps.

          i did change session time because in the case of eur/jpy i don't want to exit on the predefined session time of 12:00AM, so i changed my session time to 6:15pm- 5:00pm so that explains the mismatch on timestamp. i will correct the timestart.


          everything else seems accurate correct?

          Danke schön!

          Comment

            #6
            To avoid further confusion I suggest you leave the NT standard session defs, setup your own custom session defs and use these ones.

            Comment

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