ATM StopLoss executed after session close

[Camdo]

NT 7.0.0.10 MBTrading Navigator 11.3.0.4

An ATM strategy with stoploss and share position is left active at the market close. The stoploss is executed in after market hours (4:36pm EST). The ATM is acting on a simulated acount.

Session manager is set 5/7 default, 9:30 am to 4:00 pm EST and instrument manager properly sets the instrument to 5/7 default.

NT is not properly recognizing the session times in session manager.

[NinjaTrader_Kyle]

Hello Camdo,

Thank you for your note.

Session times effect chart data and automated strategies only. Session times will not have any effect on order execution from ATM strategies.

[Camdo]

I just had an ATM execution that was outside of the session time. The ATM was initiated by an NS strategy, but that should make no difference. See attached screen shots:

[NinjaTrader_ChristopherJ]

Hello Camdo,

I noticed that you have Default 24/5 selected as your Session Template which has been adjusted to a new time as apposed to 12:00 AM to 12:00 AM. Did you save the adjusted Session Template prior to applying your Strategy?

[Camdo]

Yes, the session times were saved months ago.

Kyle is saying that an ATM strategy does not recognise session times. That introduces a conflict in logic as a Ninja script can call an ATM and the result is erroneous account performance reporting. Everything that NinjaTrader does should be based on the session times. There is also a problem with WalkForward periods not using session times. The results are erroneous.

When connected live, the data is saved to the historical database without regard to session limits, but if connectin is lost and then reconnected, data manager overwrites the live data with historical data and that data "is" limited to the session limits. Again there is an inconsistancy to the user.

I suggest that NT7 be reorganized to use session times for all activities.
The consistent use will foster user confidence, and eliminate errors.

[NinjaTrader_ChristopherJ]

I will need to follow up with our development team in the morning and will reply as soon as I gather additional information.

Thank you for your patience.

[NinjaTrader_JoshP]

Camdo,

ATM strategies do not apply to session templates. This is expected behavior and for the most part desired behavior. Reason = ATM strategies are used for manual trading. Manual trading is never limited by session templates. You open a DOM, it doesn't matter what time the data comes in. If data is coming in, it is tradeable.

Loading of data is not limited to session templates as you have outlined. Both work off of full data sets. The limiting comes after the fact based on chart session templates applied, etc. In the Historical Data Manager you get full data. If there are any limitations you see here it is likely differences from your data provider's real-time feed vs. historical feed.