Bizarre Floating Point Comparison Results

[Jambo]

Greetings,

I've written a strategy that is working well for most trades. However, for one trade in the back-test series, it is not behaving correctly. To test why this is happeneing, I embedded the following code into my Strategy:

if( Position.MarketPosition == MarketPosition.Long && High[0] >= DonchianChannel(24).Upper[0] ) {
bool isEqual = (High[0] >= firstLongTarget);
bool does1equal1 = (92.59>=92.59);
Print( Time[0].ToString() +", Donchian Upper Met: "+High[0]+", firstLongTarget: "+firstLongTarget+ ", isEqual?: " + isEqual+". 1=1: "+ does1equal1 );
}

Here's the result this code produces in the Output Window:

10/1/2012 12:48:00 PM, Donchian Upper Met: 92.59, firstLongTarget: 92.59, isEqual?: False. 1=1: True

The problem with this result is that apparently High[0] = 92.59 and firstLongTarget = 92.59, but the comparison of the variables for equality is returning false. As you can see, comparing the two hard-coded numbers returns true. High[0] should be returning a double, and firstLongTarget is defined as a double in my code.

This is very confusing. Does printing double precision numbers in NT round them by default? This is the only explanation I can think of for this result. Any assistance anyone can provide would be greatly appreciated!

[NinjaTrader_Bertrand]

Hello Jambo, welcome to our forums - those floating point challenges you've run into are being discussed in this tip here on the forums - http://www.ninjatrader.com/support/f...ead.php?t=3929

It then presents two potential routes to handle via C#.

[Jambo]

Re: Bizarre Floating Point Comparison Results

Hi, NinjaTrader_Bertrand!

Many thanks for your help! The suggested solutions worked and my strategy is now behaving correctly. I'm not a big fan of the readability of the Compare() function when embedded in my code, so I created the following utility functions that help a bit (though it's still not as readable as <, >, ==, <=, and >=). Other readers may want to adapt these to their own purposes.

Regards,

Jambo

private bool isPriceGreaterThanEqualTo( double firstNum, double secondNum ) {

if(Instrument.MasterInstrument.Compare(firstNum, secondNum) ==1 ||
Instrument.MasterInstrument.Compare( firstNum, secondNum) == 0){
return( true );
} else {
return(false);
}

}

private bool isPriceLessThanEqualTo( double firstNum, double secondNum ) {

if(Instrument.MasterInstrument.Compare(firstNum, secondNum) ==-1 ||
Instrument.MasterInstrument.Compare( firstNum, secondNum) == 0){
return( true );
} else {
return(false);
}

}

private bool isPriceGreaterThan( double firstNum, double secondNum ) {

if(Instrument.MasterInstrument.Compare(firstNum, secondNum) == 1 ){
return( true );
} else {
return(false);
}

}

private bool isPriceLessThan( double firstNum, double secondNum ) {

if(Instrument.MasterInstrument.Compare(firstNum, secondNum) == -1 ){
return( true );
} else {
return(false);
}

}

private bool isPriceEqualTo( double firstNum, double secondNum ) {

if( Instrument.MasterInstrument.Compare( firstNum, secondNum) == 0){
return( true );
} else {
return(false);
}

}

[NinjaTrader_Bertrand]

We're glad to hear, thanks for sharing those utility functions with our forums, i'm sure other readers will find them helpful as well.