Over Midnight tick data - strategy liquidation

[benoirat]

Hi,

I have a strategy that I backtest on multiple days, which holds positions overnight. I backtest the strategy using tick data, and exit on close = false. Products used: GC and SI futures bid-ask-last.

If I backtest with a sessionthat stops before midnight, the strategy works fine, I can backtest 5 days in a row.

If I backtest using session 24/5 or instrument template (which is also over midnight), NT stops the simulation at 23:59:59 of the first day and liquidates the strategy. The liquidation does not come from my strategy, here is the stacktrace to Ontermination:

   at NinjaTrader.Strategy.BaseStratCode.OnTermination() in c:\Users\.........
   at NinjaTrader.Strategy.StrategyBase.EnsureLifeTimeStatus(LifeTimeStatus status)
   at NinjaTrader.Strategy.StrategyBase.RunBackTest()
   at NinjaTrader.Strategy.StrategyAnalyzer.RunBackTestInWorkerThread(Object state)
   at System.Threading._ThreadPoolWaitCallback.WaitCallback_Context(Object state)
   at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state)
   at System.Threading._ThreadPoolWaitCallback.PerformWaitCallbackInternal(_ThreadPoolWaitCallback tpWaitCallBack)
   at System.Threading._ThreadPoolWaitCallback.PerformWaitCallback(Object state)

???????????????????

[NinjaTrader_Bertrand]

benoirat, thanks for the report benoirat - would this happen only for backtesting this custom strategy or would you see it on this template as well for those instruments on our SampleMACrossOver script?

Would you mind contacting us via Help >> Mail to Support so we could review log / traces from this setup?

[benoirat]

Mailed,

I hope this will help. In the meantime creating a session that stops just before and starts just after midnight enables me to backtest.

I did try a built in strategy on GC and it did run overnight on the 24/5 session though

[NinjaTrader_Bertrand]

Thanks, will check into it. If the default scripts worked fine, would then suggest isolating out what parts break this part in your custom script.

[benoirat]

Will try that out yes. Thanks