ATM Testing with market replay

[Edward Kunafi]

Hello Support Team,

I am testing my ATM strategies with market replay data, using range bars.
First two short trades. ATM was proven working very well.
Then two long trade comes, at one point, suddenly 20 bars or so appears within one second. The bars sequences up 20 ticks then down -10 ticks with reference to my entries. And two long trades were stopped out at same price point which is -3ticks and another at -1ticks. On the chart markers shows that the stops was effected on first few bars that appears in the sequence. And I verify none of ATM autotrail has been hit.
I repeat and the same thing happens.
What is going on here?

I can send the market replay data if you need to understand what I mean.

Thanks.

Regards.
Edward K

[NinjaTrader_Bertrand]

Edward, I think what happens is that your Market Replay data has a gap and thus the normal Range chart fills the missing bars with phantom data (expected). Has this happend on other days for other instruments as well?

[Edward Kunafi]

Hello Bertrand,

This is not the gap fill. This is in the middle of the market data sequence. The speed setting was 1x. I am not questioning the fast data, it can happen with this instrument. My question is why I was stop filled when I do not put stop at that price point and the chart shows no autotrail stops was triggerred.

I test another instrument for the same day and time. It does not have rapid bars at that particular time.

Thanks.

Regards.

[NinjaTrader_Bertrand]

Edward, thanks - then I would need to know your ATM setup. Did you check out the SuperDOM for the instrument to see where exactly the stop was resting as this happend?

[Edward Kunafi]

ATM testing with market replay

Hello Bertrand,

I will send you screen capture by email. If not in the next few days, will be over the weekend.

Thanks.

Regards.