Order timings in backtest

[dave1992]

Hello,

Please look at the attached file which is order/exec/pos update logging from my backtest. I have one trade - in the trades window, entry time is 07:02 06/06. Exit is listed as Exit on Close, exit time is 10:00 31/05. In summary window, time in market is -8462 secs.

Ninja really needs to tighten up this stuff. There is no error checking in backtest when it comes to producing wierd trades. You can see in the logging, on bar

31/05 09:49 there is an exec for NT-00014 which has a date of 06/06 07:02. How on earth does that happen?

Turning on trace orders does not tell you anything more, it's less clear actually, but I've posted that in the second attachment.

Please put some insight into this and let me know teh sort of thing that could be causing this. Unfortunately I cannot post the strategy to you.

thanks
Dave

[dave1992]

By the way, this happens randomly, and is always the same - a trade is entered on one day, then closed with an exit on close at the previous session close.

I also noticed that it only happens when there is a gap to the previous close. The two fills appear to happen simultaneously (i.e. on the same bar) so presumably it's something to do with the fill algorithm.

[NinjaTrader_Bertrand]

Dave, unfortunately I could not explain this to you with the info you have provided - I would ultimately need to reproduce the scenario here on our end. To simplify this if you can't provide the code to test - what structure does the strategy have? Single series / MultiSeries? Have you tried with generic trade signals at those days, too, so it would still consistently show up for you? Is it limited to FGBS continuous (##-##) only for you?

Thanks,

[dave1992]

Sorry, I don't have time to investigate further right now. Was hoping your dev team would know how this sort of thing can occur. Regardless of where the problem lies, it doesn't make NT look good to happily allow trades that go backwards.