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strange behaviour of market replay

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    strange behaviour of market replay

    Hi,
    I used to use NT7 beta 13 for market replay data testing as it was the last beta stable enough to handle more than few windows (I usually tested on 5-20 charts) for 2-5 months.
    Today I had to update to newest NT version 7 as beta 13 had problems with LineBreak Chart stability. But I see NT7 version 7, the newest version has even more bugs as I cannot get with marke replay as far as I could with beta 13 (2-3 days into testing before crash). Now attached my strategy to the chart but the chart started to behave strangely...
    please see attachment. I it a bug inside NT7, not data as this has happened on june 6th, when I deleted that to see if july 10th will be different, it was not. THere is a problem how charts are being drawn....also, when this was slowly going (not 500x) it has happened that only one bar was being drawn all day instead of line break 15 minute data with 1 break. See attachment of the idiotic behaviour of charting I encountered...

    2- one more thing: When I have a script that can do only long positions (shorts are commented) and only if SMA is going up on higher timeframe, why when I attach that strategy to chart in market replay data I see "backtested" trades that have no relation to real rules of the strategy? Even short trades (see the attachment) with long only strategy. I am trading this strategy for 4 months on futures on real money with velocity with IQFeed data and it is doing what it should but now I want to test it on market replay data and it behaves really strangely....(it is a little bit different version from the backtest version as the backtest version must also handle the end of data, this part is commented in the MRD (market replay data) version which I trade with velocity - the results are the same for backtest and reality on real money just for you to know that is is well tested strategy).

    N.
    Attached Files

    #2
    nicknamed, does this odd chart behavior only occur on TF 09-11? Did you record the data yourself or did you download it? Can you please clarify exactly which version of NT7 you are running (from Help -> About)?

    As for the strategy issue, are you running it live and on MR with the exact same settings? If so, please attach it here so we can look into it.
    AustinNinjaTrader Customer Service

    Comment


      #3
      any ideas?

      it happens on this TF 09-11, I have not tested it recently with this newest (today downloaded version) before, previously with older version I have experienced this bar problem on ZN an ZB (single bar being redrawn over and over, not going to start drawing other and other 15 min bar. This issue has been removed by reinstalling NT7, but now this does not help and I have not tried only the newest version which was the last one I used, as for testing purposes I like to use old beta versions which are more stable for market replay testing. But today they were not, so I downloaded newest version to run test on single chart only (even if you see many windows opened on that screnshot, only one was attached with strategy) and this newest version did not help. This all happens only on downloaded ntm files).

      the backtest issue is not a problem at all, just tells me that NT7 is not working as it should many times in different situations that cannot be debugged or understood (I think you know that deep down there it is a pile of crap into which it is impossible to see without source codes of NT7 itself). it is showing bad trades backwards but trades fine into the future on real market data. i just wanted to know why it can show short sales even if such parts are commented in the script....I am attaching the strategy here without my own crucial/critical indicator which makes it profitable, you know why...you will see from the code
      n.
      Attached Files
      Last edited by nicknamed; 11-19-2011, 05:21 PM.

      Comment


        #4
        nicknamed, since this is a reproducible event, can you please list the exact steps necessary to generate these unexpected bars so we can start looking into a fix?
        AustinNinjaTrader Customer Service

        Comment


          #5
          although I think you are overly optimistic about NT being a good software for reproducible event debugging (I had so many problems that happened on various computers and never to you out there that such a demand from you tells me you cannot help me), but anyway, I will keep trying:

          1/ start NT7_64, open attached workspace (and rename that zip to xml), connect to market replay data, attach strategy to the window that opens up front of you (the right one - with LineBreak 15M 1 Break). click run at 500x and watch. it happened to me again few seconds ago. structure of data: MRD starts 20110610, minute TF 09-11 dir in minute subdir is empty, TF ##-## directory is full and updated all history from IQFeed.

          2/ attach a strategy and you will see it, all of my strategies do that, if this is something you can help me, comment please previously attached strategy, otherwise I consider it as something you know about and do not want to carry about (it is really a minor bug)

          any tips?
          N.
          Attached Files

          Comment


            #6
            Hello,

            I cannot get the zip file to open on my side. I think it got uploaded corrupted. Can you please re post it

            Thank You.

            Comment


              #7
              zip again

              yes, it got corrupted, now it should work, sorry...
              Attached Files

              Comment


                #8
                Hello,

                To clarify does this happen only on the line break chart the strategy is running on?

                Also, have you tried running this strategy on a minute based chart? To determain if it could be something specific to the line break chart style?

                I look forward to assisting you further.

                Comment

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