Strategy executes wrong trades

[marcoheimann]

Hi,

I just came home from work and wanted to look at my strategy. The strategy is running 24/5 on 30 min bars close. When I came home there were quite a few pop-ups from ninja, I'm used to them because it's maket data subscription failures and an indicator signal. Normally I just close them and everything's fine. Today ninja submitted market orders to my IB account and positions were opened and closed wihtin seconds. I had a total of 4 trades within 30 seconds at 16h44, that cost me 3 ticks (ZB). When all popups were closed the strategy seems to be back to normal. Does anyone have an idea of what happened? I've been running the strategy for almost a month without any problems?

[NinjaTrader_Matthew]

Can you clarify what these pop ups said?

From the connection Wizard for your IB account, do you have 'Run-time pop up handling' checked or unchecked?

[marcoheimann]

Hi Mathew, thanks for quick reply.

There are two kinds of popups. First the ones of my indicator just say: "XX indicator long/short on ZB-03-12" (the strategy uses the indicator but I don't trade exclusively based on the signals). The ones from IB concern stock bought in TWS (my long term investments) and usually say something like: "Unable to subscribe to market data for the following instrument: NESR" (for example)

Run time popup handling is checked.

Should I send you the log? There's my account n° on it. For all 8 orders it says "Order event warning: Attribute 'outside regular trading hours' is ignored based on the order type and destination. Place order is now being processed. 2109."

[NinjaTrader_Matthew]

Yes please send me your log in an email to support[at]ninjatrader[dot]com and Attn: Matthew in the Subject line and a reference to this thread.

You will find the log file in the Documents > NinjaTrader 7 > Log folder.

• The log file will be named ‘log.20120120.txt’

You will find the trace file in the Documents > NinjaTrader 7 > Trace folder.

• The trace file will be named ‘trace.20120120.txt’

Please attach both of these files to your next response. If these files are over 4MB, please let me know and I can respond with alternative instructions.

[marcoheimann]

I sent you the files per email cause the upload failed. The trace file is bigger then 4MB.

[koganam]

I sent you the files per email cause the upload failed. The trace file is bigger then 4MB.

I would suggest that you remove this file attachment. The log contains your account number. You never want that to be public knowledge.

[marcoheimann]

Thank you koganam,

I didn't understand if Mathew wanted me to mail it or attach both files to my reply.

Best

Marco

[NinjaTrader_Bertrand]

Marco, koganam's tip is valid you would not want your account # posted here - just send us those files directly to support at ninjatrader dot com or via the Help > Mail to Support feature in NT. In any case we would appreciate the thread link included in the subject / body of the message so we can route to the team member working with you as needed.

[marcoheimann]

Hi Bertrand,

I already sent the files to Mathew, unfortunately he could not really tell me why the trades happened:

The market orders were send by a signal called ExitShort which was exiting a position on the ZB placed at 13:00. It then subsequently placed a few more short orders and exited these orders

.

I sent my strategy (without revaling one crucial indicator) and was told that this was to vague to help me debug.

I have serious doubts that the strategy code has errors, because it was backtested, tested in market replay and live sim01, it executes live trades since almost three weeks. Never before have there been trades outside the half hour intervalls, and never before have there been entries and exits within 2-5 seconds. I just tested fridays action in market replay and the trades do not occur??? I really need to understand what happened.

Marco

[NinjaTrader_Bertrand]

Thanks Marco, I will talk to Matthew about your case and then we'll reply back here.

[marcoheimann]

Hi Mathew and Bertrand,

Thank you for your efforts! I still haven't figured out what happened, could it be that the issue is linked to a connection loss with TWS the day before. I had the same problem today, that for some reason TWS disconnected and I only reconnected about 30 minutes later.

I use the workaround described in the therad below by promisette to force TWS to stay connected:

http://www.ninjatrader.com/support/forum/showthread.php?t=2327

Last time this happened, my strategy dissapeared from the strategies tab and I had to launch it again.

[marcoheimann]

It happened again!

Today 4 round turns were executed at 10.18 and again my log file says those came from the 'close position' signal.

I do not know why but market replay did not record the data?

I will now turn towards the vendor of my indicator.

[NinjaTrader_Matthew]

Are you being disconnected from TWS around this time?

Without knowing the conditions of the indicators it is hard to say why this signal is being processed. Please check with the vendor to see if they can offer any insight.

[marcoheimann]

I was disconnected from TWS yesterday but restarted the my os, tws and ninja after.

I'll see with them, because it seems to me that it's linked to the indicator signals.

Thanks!