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Possible Bug - trace execution price does not equal trade log price?

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    Possible Bug - trace execution price does not equal trade log price?

    I am working a Renko strategy in the strategy analyser and testing it with the back test function. I do not understand the following:

    In the code trace it says a trade was executed at 0,8833 (see trace print out below), but in the ouput chart and actual trade log it says it was executed at 0,8827 (see attached gif - the execution trade log agrees with the chart output.).

    Regardless of the strategy or how a Renko chart works, should these not be the same? Not sure how this would work in real trading .....

    The following is the trace output:

    12/02/2010 19:22:00 High[0] 0,8833
    12/02/2010 19:22:00 High[1] 0,8827
    12/02/2010 19:22:00 High[2] 0,8833
    12/02/2010 19:22:00 GetCurrentAsk() 0,8833
    12/02/2010 19:22:00 GetCurrentBid() 0,8833
    12/02/2010 19:22:00 Execution='NT-01398' Instrument='6A 03-10' Account='Backtest' Name='Long' Exchange=Default Price=0,8827 Quantity=1 Market position=Long Commission=0 Order='NT-01398' Time='12/02/2010 19:39:19' 0,8833
    Attached Files

    #2
    If you referring to the fact that the current ask/bid returned 8833 but the order was executed at a different price, then no, they do not have to be the same. The order is filled dependant on our fill algorithm where the current bid/ask is actually the close of the bar in a backtest.
    RayNinjaTrader Customer Service

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      #3
      Sorry not the point

      I understand what you say, but this is not the issue. The order execution coming from Ninja is saying one price but on the chart and trade log is saying another. Ok, the bid ask maybe different than the actual price, but once executed as the trace log shows, no matter how it was done - this price should match the trade log and the chart. No?

      Perhaps I am reading the trace out put wrong in your print out what is the
      true execution price? It actually gives 2 prices .... see below:

      12/02/2010 19:22:00 Execution='NT-01398' Instrument='6A 03-10' Account='Backtest' Name='Long' Exchange=Default Price=0,8827 Quantity=1 Market position=Long Commission=0 Order='NT-01398' Time='12/02/2010 19:39:19' 0,8833


      Originally posted by NinjaTrader_Ray View Post
      If you referring to the fact that the current ask/bid returned 8833 but the order was executed at a different price, then no, they do not have to be the same. The order is filled dependant on our fill algorithm where the current bid/ask is actually the close of the bar in a backtest.
      Last edited by Bluepoint; 02-13-2010, 11:22 AM.

      Comment


        #4
        Hello,

        Then this should be the price:
        Default Price=0,8827

        I don't see a conflict.
        DenNinjaTrader Customer Service

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