I'm test driving NinjaTrader FXCM demo at the moment. For the purpose of testing auto strategy, I use exactly the same strategy that I have been using on futures without any problem. However, when applied it on Forex, I noticed:
1. when in a position, both short and long, the strategy tab didn't display the current position and average entry price;
2. position tab showed the correct position, entry price and open P/L;
3. I set exit on close, but all forex position didn't get exited on close, even after Friday's close. And It's Saturday now the positions are still there.
I wonder if, in NinjaTrader, forex's position is handled differently than it does with futures position. And hence, what should I do to get position closed upon Friday session close? Don't want to hold position over the weekend.
Any thoughts would be appreciated.
TIA.
Edit: I just checked the log: each time a new position was established, log file showed the correct position, quantity and direction. Each day at 30 seconds before 5pm "Exit on Close" handling started, as it's supposed to be, but no position exits.
Also checked the execution against backtest, the entries were all correctly executed, but position just stays there, no exit ever executed. In my strategy I use:
if position != flat then {if exit rule then exit}, and
if position == flat then{if entry rule then enter},
As I said above, exactly the same strategy works on futures for the last three months without any error. It seems to me that the exit rules are ignored, both from the strategy and from "exit on close" handling.
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