Strange trades at the beginning of the session...

[John833]

I'm having problems with a script I wrote using Bollinger Bands. I have found that quite often, it looks like almost random trades are executed at the beginnig of the session that make no sense on the chart. However, after about 30-40 minutes, trades are executed with no problem for the rest of the session.

I suspect it may be something to do with "min bars required" (it is currently set at the default 20) but I can't quite work out the significance of this as there is already sufficient data from the previous session, and the chart which I have up seems to display the Bollinger Bands correctly...

So what would I need to do to have my script execute orders consitent with the chart I'm viweing at the beginning of the session?

Your guidance would be very much appreciated.

Regards

John

[NinjaTrader_Ben]

Hello,

Thank you for your note.

I suggest going to: Tools>Options>Strategies tab>NinjaScript tab and checking Wait until flat.

Here is a link that will assist in understanding why:

http://www.ninjatrader-support.com/vb/showthread.php?t=4033

[John833]

Hello,

Thank you for your note.

I suggest going to: Tools>Options>Strategies tab>NinjaScript tab and checking Wait until flat.

Here is a link that will assist in understanding why:
http://www.ninjatrader-support.com/v...ead.php?t=4033

Thanks Ben, your answer doesn't apply to my case.

The session starts, and I am flat, and anywhere between 5 to 15 minutes, a trade is executed which does not correspond to the strategy.... my point is that after 30 - 40 minutes, executions are traded as per the strategy.

I am flat when I start and the strategy reconises that I am flat. (I already have the, if historical, return, code in the script)

Do you have any other suggestions?

Regards

John

[NinjaTrader_Ben]

Hello,


If you are sure the strategy (not your account) is flat, then it sounds like you may need to debug something in the logic.

You may have this link on debugging already:

http://www.ninjatrader-support.com/vb/showthread.php?t=3418

[John833]

Hello,


If you are sure the strategy (not your account) is flat, then it sounds like you may need to debug something in the logic.

You may have this link on debugging already:
http://www.ninjatrader-support.com/v...ead.php?t=3418

the strategy and account are flat, and the logic is correct.

If I start the strategy 40 mins into each session, I don't have this problem.

Does "min bars required" have any consequence? Please read my first message.

[NinjaTrader_Ray]

Min bars only will delay the calling of OnBarUpdate. If there are trades taken that you feel are not correct then you will need to debug why this is the case.

Add some Print() statements within your conditional blocks where orders are submitted to see where these unexpected orders are being generated. Once you know this, you can trace out more information to see why the conditions for submitting these orders are true.

[John833]

Thanks Ray,

Unfortunately that's probably beyond my programming skills.

One observation I can make is that, the trades that are being made in the first 30mins or so, appear to be executed as if the indicator is calculated by the script at a different value than the chart displayed, however the longer the script runs the trades gradually become more in line with the chart, until 30-40mins when they are in line.

Could there be any user defined inputs that might affect the script?

(BTW currently min bars is set at default 20, if that was changed to 1, what effect would it have? Appologies, I really don't understand this parameter...)

John

[John833]

Just to reiterate, the script runs perfectly after around 30-40mins to the end of the session...

hoping there's a quick fix for this....

[NinjaTrader_Ben]

Hello,


Unfortunately you will need to debug this. There is not quick fix.

Yes, the indicators on the chart can be different that the indicator values used in the strategy if you have manually added the indicator to the chart.

[John833]

Thanks Ben

Can you explain what the parameter 'min bars' does then, and what impact it would have if I changed it from 20 to say 1?

Regards

John

[NinjaTrader_Ben]

Hello,


Are you referring to the backtesting "Min. bars required" field? If so this link provides details on these fields:

http://www.ninjatrader-support.com/HelpGuideV6/BacktestAStrategy.html

Min. bars required:
Sets the minimum number of bars required before the backtest will start processing

[John833]

no not backtesting...

the min bars required parameter when you put on a live strategy, what effect does that have if I change it from say 20 to 1?

[NinjaTrader_Ray]

It's the number of bars that are skipped before OnBarUpdate() is called.

[John833]

Thanks Ray,

So what effect would I see if I change the default parameter from 20 to 1?

Apologies, but I would very much appreciate if you could explain this, you might have noticed that I have asked the same question 4 times now...

[NinjaTrader_Ben]

Hello,


It is unknown whether this will have any meaningful effect in terms of the issue you have been inquiring about. You will need to debug to know for sure. That is why we did not address it.

However, generally the strategy will not attempt to do anything until it reaches the Min. bar or greater. If you change it to 1 the strategy logic will be called on bar 1, if you increase the value the strategy logic will be called on the bar you designate.

Effectively you are putting more historical bars behind the strategy before it starts by increasing the setting.