Simulator delay

[BobSk]

Why execution in strategy analyzer is delayed?

Time frame in sample: 12 minutes.


Sample strategy:
protected override void Initialize()
{
SMA(Fast).Plots[0].Pen.Color = Color.Orange;
SMA(Slow).Plots[0].Pen.Color = Color.Green;

Add(SMA(Fast));
Add(SMA(Slow));

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick).
/// </summary>
protected override void OnBarUpdate()
{
if (CrossAbove(SMA(Fast), SMA(Slow), 1))
{
this.Print( string.Format( "EnterLong ON {0}", Time[0] ) );
EnterLong();
}
else if (CrossBelow(SMA(Fast), SMA(Slow), 1))
{
this.Print( string.Format( "EnterShort ON {0}", Time[0] ) );
EnterShort();
}
}
----

Debug results:
EnterShort ON 23.09.2010 10:00:00
EnterLong ON 23.09.2010 15:24:00
EnterShort ON 23.09.2010 17:24:00
EnterLong ON 23.09.2010 18:12:00

Trades list in simulator is attached.

Time in strategy is Time[0] = 10:00 and execute EnterShort.
But Simulator wait one bar - 12 minutes for execution, start position at 10:12:00.
MarketReplay work correctly, execute trade on 10:00:08

Does someone know, why simulator delay order execution after one bar?
Thank you.

[NinjaTrader_Bertrand]

Bob, this is expected as in backtesting the earliest trade location is the next bar open after your condition for entry is triggered, i.e. entering at the close of a bar really means being at the open the following one.

[BobSk]

But MarketReplay doesn't have this shift, I think that live trading doesn't have this shift too.
If Strategy analyzer have Time[0] = 10:00:00 and Enter position on this time, I think that this position shouldn't start at close time of next bar.
This give different results in strategy analyzer backtest compared to MarketReplay - indicators give slightly different signals because of this shift.

[NinjaTrader_Bertrand]

Bob, for an explanation of what discrepancies between backtesting, Market Replay and live trading are routinely observed please review this link - http://www.ninjatrader-support.com/H...sBacktest.html

If you with CalculateOnBarClose = true, the trade would be entered on the next bar open in Market Replay testing as well.