Strategy submits orders in replay and realtime not in analyzer

[Sleeping Troll]

That about says it all.

[NinjaTrader_Jason]

Hello Sleeping Troll,

Can you please check if the requested historical data is available. Please click the Chart-tab and check if all requested historical data is reflected.

Is this a 3rd party or custom created strategy?

The Strategy Analyzer will only calculate your strategy conditions at the close of price bars (Calculate on bar close = True). Could this be related?

[Sleeping Troll]

I created the strategy, I can run it on replay and it works just fine, however in backtesting I get no trades. Chart shows data but no trades.
Yeah, calculate on bar close would do it! Wow, that is rather important to my strategy, can I use 1 tick bars?

[NinjaTrader_Jason]

You can use 1 tick bars if you have access to historical tick data. You can find a matrix that lists all supported connectivity providers and the data they support at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

[Sleeping Troll]

Thx, that should do me!

[Sleeping Troll]

Still, no joy! tried with 1 minute bars, same result.

 
protected override void Initialize()
{
CalculateOnBarClose = true;
TimeInForce = Cbi.TimeInForce.Gtc;
SeekType = null;
Indication = null;
OrderPending = null;
EntriesPerDirection = 2;
EntryHandling = EntryHandling.AllEntries;
TraceOrders = true;
EntryPriceLong = 0;
EntryPriceShort = 0;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (Historical)return;
if (Bars.FirstBarOfSession)
{
BlackFlag = false;
Market = "New Session";
return;
}
if (FirstTickOfBar)Process = true;
if (Process == false)return;
if (Time[0] > new DateTime(2010,10,13,00,00,00,00,00))return;
Upper = Fibs().CurrentChannelUpper;
Lower = Fibs().CurrentChannelLower;
if (Upper - Lower < (Span * TickSize) && Market != "Thin")
{
period = 14;
Fast = 12;
Slow = 26;
Smooth = 9;
numStdDev = 1;
Market = "Thin";
}
if (Upper - Lower >= (Span * TickSize) && Market != "Normal")
{
period = 14;
Fast = 6;
Slow = 13;
Smooth = 9;
numStdDev = 1;
Market = "Normal";
}
if (Upper - Lower > (4 * Span * TickSize) && Market != "Fat")
{
period = 14;
Fast = 26;
Slow = 60;
Smooth = 9;
numStdDev = 1;
Market = "Fat";
}
if (Performance.AllTrades.Count > 0 && Performance.AllTrades.TradesPerformance.GrossProfit + Performance.AllTrades.TradesPerformance.GrossLoss <= -flag)
{
period = 14;
Fast = 36;
Slow = 89;
Smooth = 9;
numStdDev = 1;
BlackFlag = true;
}
Status = MACDBBLines(period,Fast,Slow,Smooth,numStdDev).Status;
Confirm = MACDBBLines(period,Fast,Slow,Smooth,numStdDev).Confirm;
Avg = MACDBBLines(period,Fast,Slow,Smooth,numStdDev).Avg;
if (Math.Abs(Trend().TrendSlopeShort)< .005)
{
return;
}
#region Seek Type
if (Position.MarketPosition == MarketPosition.Flat && OrderPending == null)
{
if (Market == "Thin")
{
if (Status == true && Avg > 0 && Input[0] > Fibs().O[1] && Lower > TickSize)
{
SeekType = true;
EntryPriceLong = Lower;
}
else SeekType = null;
if (Status == false && Avg < 0 && Input[0] < Fibs().O[1] && Upper > TickSize)
{
SeekType = false;
EntryPriceShort = Upper;
}
}
if (Market != "Thin" && Math.Abs(Trend().TrendSlopeShort) < Math.Abs(Trend().TrendSlopeLong))
{
if (Trend().TrendSlopeLong > 0 && SeekType != true && Status == true)
{
SeekType = true;
}
else SeekType = null;
if (Trend().TrendSlopeLong < 0 && SeekType != false && Status == false)
{
SeekType = false;
EntryPriceShort = Upper - (Entry * TickSize);
}
}
}
#endregion
#region Entry Triggers
 
if (Market == "Thin" && Position.MarketPosition == MarketPosition.Flat && OrderPending == null && SeekType == true)
{
return;
EntryPriceLong = Lower;
StopLong = Lower - (Hide * TickSize);
SetStopLoss(CalculationMode.Price,StopLong);
SetProfitTarget("LongBank",CalculationMode.Price,EntryPriceLong + (Bank * TickSize));
LongBank = EnterLongLimit(0,true,1 + orderQuantity,EntryPriceLong,"LongBank");
LongRunner = EnterLongLimit(0,true,orderQuantity,EntryPriceLong,"LongRunner");
OrderPending = true;
}
 
if (Market == "Normal" && Position.MarketPosition == MarketPosition.Flat && OrderPending == null && SeekType == true)
{
EntryPriceLong = Lower + (Entry * TickSize);
StopLong = Lower - (Hide * TickSize);
Cancel = Upper;
SetStopLoss(CalculationMode.Price,StopLong);
SetProfitTarget("LongBank",CalculationMode.Price,EntryPriceLong + (Bank * TickSize));
LongBank = EnterLongLimit(0,true,1 + orderQuantity,EntryPriceLong,"LongBank");
LongRunner = EnterLongLimit(0,true,orderQuantity,EntryPriceLong,"LongRunner");
OrderPending = true;
}
 
if (Market == "Fat" && Position.MarketPosition == MarketPosition.Flat && OrderPending == null && SeekType == true && Input[0] > Lower + (Hide * TickSize) && Input[0] < Upper - (Hide * TickSize))
{
EntryPriceLong = Lower + (Entry * TickSize);
StopLong = Lower - (Hide * TickSize);
Cancel = Upper - (Hide * TickSize);
SetStopLoss(CalculationMode.Price,StopLong);
SetProfitTarget("LongBank",CalculationMode.Price,EntryPriceLong + (Bank * TickSize));
LongBank = EnterLongLimit(0,true,1 + orderQuantity,EntryPriceLong,"LongBank");
LongRunner = EnterLongLimit(0,true,orderQuantity,EntryPriceLong,"LongRunner");
OrderPending = true;
}
 
if (Market == "Thin" && Position.MarketPosition == MarketPosition.Flat && OrderPending == null && SeekType == false)
{
return;
EntryPriceShort = Upper;
StopShort = Upper + (Hide * TickSize);
SetStopLoss(CalculationMode.Price,StopShort);
SetProfitTarget("ShortBank",CalculationMode.Price,EntryPriceShort - (Bank * TickSize));
ShortBank = EnterShortLimit(0,true,1 + orderQuantity,EntryPriceShort,"ShortBank");
ShortRunner = EnterShortLimit(0,true,orderQuantity,EntryPriceShort,"ShortRunner");
OrderPending = false;
}
 
if (Market == "Normal" && Position.MarketPosition == MarketPosition.Flat && OrderPending == null && SeekType == true)
{
EntryPriceShort = Upper - (Entry * TickSize);
StopShort = Upper + (Hide * TickSize);
Cancel = Lower;
SetStopLoss(CalculationMode.Price,StopShort);
SetProfitTarget("ShortBank",CalculationMode.Price,EntryPriceShort - (Bank * TickSize));
ShortBank = EnterShortLimit(0,true,1 + orderQuantity,EntryPriceShort,"ShortBank");
ShortRunner = EnterShortLimit(0,true,orderQuantity,EntryPriceShort,"ShortRunner");
OrderPending = false;
}
 
if (Market == "Fat" && Position.MarketPosition == MarketPosition.Flat && OrderPending == null && SeekType == false && Input[0] > Lower + (Hide * TickSize) && Input[0] < Upper - (Hide * TickSize))
{
EntryPriceShort = Upper - (Entry * TickSize);
StopShort = Upper + (Hide * TickSize);
Cancel = Lower + (Hide * TickSize);
SetStopLoss(CalculationMode.Price,StopShort);
SetProfitTarget("ShortBank",CalculationMode.Price,EntryPriceShort - (Bank * TickSize));
ShortBank = EnterShortLimit(0,true,1 + orderQuantity,EntryPriceShort,"ShortBank");
ShortRunner = EnterShortLimit(0,true,orderQuantity,EntryPriceShort,"ShortRunner");
OrderPending = false;
}
 
#endregion
#region Order Maintenance
 
if (Market != "Thin" && Position.MarketPosition == MarketPosition.Flat && LongRunner != null && Input[0] >= Cancel && OrderPending == true)
{
CancelOrder(LongRunner);
Print ("Long Cancel due to new fib approached");
if (LongBank != null)
{
CancelOrder(LongBank);
Process = false;
}
OrderPending = null;
}
if (Market != "Thin" && Position.MarketPosition == MarketPosition.Flat && ShortRunner != null && Input[0] <= Cancel && OrderPending == false)
{
CancelOrder(ShortRunner);
Print ("Short Cancel due to new fib approached");
if (ShortBank != null)
{
CancelOrder(ShortBank);
Process = false;
}
OrderPending = null;
}
if (Position.MarketPosition == MarketPosition.Flat && LongRunner != null && Status == false && OrderPending == true)
{
CancelOrder(LongRunner);
Print ("Long Cancel due to Status failed");
if (LongBank != null)
{
CancelOrder(LongBank);
Process = false;
}
OrderPending = null;
}
if (Position.MarketPosition == MarketPosition.Flat && ShortRunner != null && Status == true && OrderPending == false)
{
CancelOrder(ShortRunner);
Print ("Short Cancel due to Status failed");
if (ShortBank != null)
{
CancelOrder(ShortBank);
Process = false;
}
OrderPending = null;
}
if(Market != "Fat" && Position.MarketPosition == MarketPosition.Long && StopLong < Lower - (Hide * TickSize))
{
StopLong = Lower - (Hide * TickSize);
SetStopLoss(CalculationMode.Price,StopLong);
}
if(Market == "Fat" && Input[0] > EntryPriceLong + (Hide * TickSize) && Position.MarketPosition == MarketPosition.Long)
{
StopLong = EntryPriceLong;
SetStopLoss(CalculationMode.Price,StopLong);
EntryPriceLong = EntryPriceLong + (Hide * TickSize);
}
if(Market != "Fat" && Position.MarketPosition == MarketPosition.Short && StopShort >= Upper + (Hide * TickSize))
{
StopShort = Upper + (Hide * TickSize);
SetStopLoss(CalculationMode.Price,StopShort);
}
if(Market == "Fat" && Input[0] < EntryPriceShort - (Hide * TickSize) && Position.MarketPosition == MarketPosition.Short)
{
StopShort = EntryPriceShort;
SetStopLoss(CalculationMode.Price,StopShort);
EntryPriceShort = EntryPriceShort - (Hide * TickSize);
}
if (BlackFlag == false && Position.MarketPosition == MarketPosition.Flat && Performance.AllTrades.Count > 0 && Performance.AllTrades[Performance.AllTrades.Count - 1].ProfitPoints > 0 && orderSet != true)
{
orderQuantity++;
orderSet = true;
}
if (Position.MarketPosition == MarketPosition.Flat && Performance.AllTrades.Count > 1 && Performance.AllTrades[Performance.AllTrades.Count - 1].ProfitPoints <= 0)
{
orderQuantity = 1;
orderSet = false;
}
 
#endregion
}
protected override void OnOrderUpdate(IOrder order) 
{ 
if (LongRunner != null && LongRunner.Token == order.Token) 
{ 
if (LongRunner.OrderState == OrderState.Filled)
{
OrderPending = null;
//orderSet = false;
}
} 
if (ShortRunner != null && ShortRunner.Token == order.Token) 
{ 
if (ShortRunner.OrderState == OrderState.Filled)
{
OrderPending = null;
//orderSet = false;
}
}
}

[NinjaTrader_Jason]

What happens if you exclude?

if (Historical)return;

I am not a programmer and not very familiar with code. However I believe this statement will cause the strategy not to be calculated on historical data.

When backtesting in the Strategy Analyzer, the strategy will be calculated on historical data only.

[Sleeping Troll]

DOH! (slap), yeah, that could be it!

[Sleeping Troll]

I have stripped my strategy down to the point where I really don't expect success, and still no backtest... I have to ask, why calculate on bar close?

[NinjaTrader_Jason]

Unfortunately, I am not sure if I follow your inquiry.

The Strategy Analyzer will only calculate conditions at the end of the bar (Calculate on bar close = True) - this is by design.

I suggest to debug your strategy to check why it does not trigger orders in the Strategy Analyzer. You can find general debug information at the link below.

http://www.ninjatrader.com/support/forum/showthread.php?t=3418

[Sleeping Troll]

I was asking, why is it designed that way?

[NinjaTrader_RyanM1]

This is a conservative approach based on limited information. The only 4 data points known to you are Open, High, Low, Close. There's no way to tell if either the low or high came first. If you're accessing Close then this happens at the same time as the next bar open. NinjaTrader does not allow you to "peak" into the future with the backtesting engine.

[Sleeping Troll]

Unless of course your strategy works on tick data...

[NinjaTrader_RyanM1]

Yes, another approach is needed if you want to add another series. Everything is still considered CalculateOnBarClose = true.

For help implementing this, please see our reference sample on backtesting NinjaScript strategies with an intrabar granularity