Trades not adding up

[frostengine]

So, how can we explain what happened? I was able to duplicate the issue. I backfill from IB some SSO minute data that I use in a strategy in backtesting. I record the value trades that were made.. I then connect to market replay, run the strategy against that day.. disconnect market replay.. Run the strategy again with backtest and then results are different than first time. Some data gets changed.... I can reproduce it over and over....

My HOPE is because i copied the data from the main machine to this one that something to messed up... Hopefully tonight when I try this test against my live machine it does not do this. If so, there is deffinetly something going on....

Its amazing how many "data" Issues I am having.

[frostengine]

Wait it may not be what I thought was happening... haven't verified yet but it almost seems when I disconnect from market replay that NinjaTrader still thinks the latest day is whatever day that was.... because I am disconnected from market replay right now. I opened up a chart of SSO 1 minute and the latest it goes to is the 20th which is the day i just did a market replay for...

[frostengine]

I do an export historical data and it only shows up to the 20th.... I connected to ib, opened a chart of past 15 days it loaded some data.. I then went to do an export of that data and still shows only to the 20th.... How come?

[NinjaTrader_JoshP]

If you are missing data you are missing data. If you do not know what you happened during the time the missing data happened we have no way to tell you what happened. As stated, you likely reloaded the data or overwritten it somewhere somehow.

[frostengine]

Josh,

I understand that. What I am saying in my last several messages is not about my missing data. Its about a way I can make data seemingly "dissapear". The steps are:

1. I backfill some minute data "since its minute data i can backfill"
2. I run a backtest
3. I connect to market replay and run a strategy
4. I disconnect market replay
5. I run the same backtest I did (not connected to ib so it doestn backfill again)
6. The results of the new backtest are different becuase the data "changed"
7. I connect to ib and backfill again
8. Backtest again and results are back to same as 1

So therefore what I am demonstrating is market replay is infact messing up my historical data. Unless simply connecting to IB opening a chart for the time which causes a backfilll does not save that as historical data as would be assumed?

[NinjaTrader_JoshP]

frostengine,

Market Replay does not change anything in the database. We cannot reproduce on our end.

Please provide me with your Market Replay file and your database export so I can get an exact 100% identical scenario as yours.

[frostengine]

Josh,

The problem I experienced with disspearing data is due to the fact that the data I was loading from IB was not being saved in the database. So when I would run the market replay after it would lose that data.

[NinjaTrader_JoshP]

frostengine,

Recording or running Market Replay does not change the fact of data being stored or not. Please provide me with your replay files and database so we can take a look at your exact scenario. Otherwise, I was unable to reproduce on my machine on my end.

[frostengine]

Josh,

I have corrected the problem on my end. When I added the symbol SSO to my instrument manager I initially put the exchange as just ARCA. Then added that symbol to my default list. Later I had noticed that i could not place orders on SSO, IB would next excecute them. So I changed its exchange to both ARCA and DEFAULT. However I did not remove the SSO from my default list and readd it.. Apparently this makes a difference.

I was able to see data for SSO all this time.. backfill for it etc.. But it would not save the data for SSO when I would backfill. It would only display it.

I removed the symbol SSO from my default list and added it back. Then I backfilled again and this time it grabbed the data and saved it as historical.

I dont really understand why the above scenario caused a problem, but after removing SSO from my default list and putting it back, I am now able to save historical data for that symbol. So, that part of the problem is now over.

Problem #2: Problem 2 was my backtest and market replays did not match up well. I still dont have that complelty fixed, but made a big first step. For some reason I have to put min bars requried to 0 when running from the backtest even though min bars required is set to 20 for the the market replay. After looking at a lot of debug output, i noticed the start times were not lining up correctly unless I put backtest as 0. Its almost as if the market replay ignores the min bars required sorta... or maybe it uses historical bars to count that are outside of the session. All i know is setting to 0 in backtest made the start times line up.. But I am unsure if this problem is completly resolved as far as trades linning up. Have not done enough tests yet..

Problem #3: The main problem of this thead, which was trades from market replay not lining up with trades from real time. The test yesterday lined up when i ran it with if(HISTORICAL) return; All the trades generatedin real time and then in market replay for that day lined up. I dont know if things are fixed or not. One day of lining up isnt enough.. So will continue to see what happens there.

[NinjaTrader_JoshP]

2. Replay and backtest will fill the min bars requirement with the first 20 available bars. This means historical data from prior sessions.

3. Provided you process exactly the same data from start bar to end bar you should have the same signals.