Historical but Not Real-Time Fill

[geoMEAN]

I have searched the forums and read the blurb in the manual about the bool "Historical" but haven't figured out to achieve what I desire:

When running historically, i would like the strategy to exit, but when this exit is encountered in real-time, I want it to be ignored.

I tried this:

protected override void OnBarUpdate()
{
//load a 1 minute chart ES 09-08 with only 1 day history
      if (Historical)
      {
            if (ToTime(Time[0]) == 120000)
                  EnterLong();
            if (ToTime(Time[0]) == 120500)
                  ExitLong();
      }
}

For some reason this doesn't plot the markets on my chart, (and yes I have PlotExecutions = Text and Markers). It seems Historical is not becoming true perhaps? I think I probably misunderstand how to use it.

I'm basically trying to have an entry that I use each day but just use the exit virtually-- just to force the strategy to think it is flat after some arbitrary time ONLY IF the exit bar is a historical bar.

[NinjaTrader_JoshP]

Print some values out to see what is happening. Try using TraceOrders = true also. Check Control Center logs for any error messages.

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

http://www.ninjatrader-support.com/vb/showthread.php?t=3627

[geoMEAN]

Historical Keyword Not Working With Greater Than One Dataseries

Actually, after a bit more debugging I think I may have found a semi-bug with the Historical boolean keyword.

I can get it work using only 1 dataseries (i.e. the dataseries applied to the chart). As soon as I use the Add() keyword in initialize section to add a secondary dataseries (another symbol on the same bar interval), the Historical keyword NEVER returns true for either dataseries' OnBarUpdate() event. That is, no historical bars are processed when there is more than 1 dataseries.

here's an example... just uncomment or comment in the Add() line in the Initalize section and you'll see that when there is more than 1 data series, the Historical keyword never returns true.

        protected override void Initialize()
        {
            ExitOnClose = false;
            BarsRequired = 0;
            CalculateOnBarClose = true;
            TraceOrders = true;
            
            //primary series is "ER2 09-08" on 3 second interval with simulator datafeed on
            //and 10 bars back set on chart
            
            //!!! comment this in and out to test
            Add("EMD 09-08", PeriodType.Second, 3);
            //!!! comment this in and out to test
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            Print(CurrentBar.ToString() + " " + Historical.ToString());
            if (Historical)
            {
                if (BarsInProgress == 0 && CurrentBar == 1)
                {
                    Print("Historical returned True on DataSeries 0.");
                }
                if (BarsInProgress == 1 && CurrentBar == 1)
                {
                    Print("Historical returned True on DataSeries 1.");
                }
            }
        }

Why is this happening and is this a bug?

One guess is that when you use the Add() method to add another symbol, the simulator does not backfill it...?

[NinjaTrader_JoshP]

I don't know why you are getting your behavior. This is what I get:

9/8/2008 1:30:03 AM CurrentBar: 10 BarsInProgress: 1 Historical: True
9/8/2008 1:54:15 AM CurrentBar: 11 BarsInProgress: 1 Historical: True
9/8/2008 3:15:39 AM CurrentBar: 12 BarsInProgress: 1 Historical: True
9/8/2008 3:16:00 AM CurrentBar: 13 BarsInProgress: 1 Historical: True
9/8/2008 3:20:09 AM CurrentBar: 14 BarsInProgress: 1 Historical: True
9/8/2008 3:30:06 AM CurrentBar: 15 BarsInProgress: 1 Historical: True
9/8/2008 3:53:00 AM CurrentBar: 1 BarsInProgress: 0 Historical: True
9/8/2008 3:54:00 AM CurrentBar: 2 BarsInProgress: 0 Historical: True
9/8/2008 3:54:36 AM CurrentBar: 16 BarsInProgress: 1 Historical: True
9/8/2008 3:55:15 AM CurrentBar: 17 BarsInProgress: 1 Historical: True
9/8/2008 3:55:39 AM CurrentBar: 18 BarsInProgress: 1 Historical: True
9/8/2008 3:56:00 AM CurrentBar: 3 BarsInProgress: 0 Historical: True
9/8/2008 3:58:21 AM CurrentBar: 19 BarsInProgress: 1 Historical: True
9/8/2008 3:58:30 AM CurrentBar: 20 BarsInProgress: 1 Historical: True
9/8/2008 3:58:39 AM CurrentBar: 21 BarsInProgress: 1 Historical: True
9/8/2008 3:59:06 AM CurrentBar: 22 BarsInProgress: 1 Historical: True
9/8/2008 4:00:24 AM CurrentBar: 23 BarsInProgress: 1 Historical: True
9/8/2008 4:00:54 AM CurrentBar: 24 BarsInProgress: 1 Historical: True
9/8/2008 4:02:00 AM CurrentBar: 4 BarsInProgress: 0 Historical: True
9/8/2008 4:02:36 AM CurrentBar: 25 BarsInProgress: 1 Historical: True
9/8/2008 4:02:57 AM CurrentBar: 26 BarsInProgress: 1 Historical: True

Notice historical prints true for everything. Please ensure you have data for all your instruments. I suggest you just use Add(PeriodType.Minute, 5); instead of 3 seconds on a separate instrument.

[geoMEAN]

Josh,

Thank you. Problem solved.

The problem was that I did not have history for the 2nd symbol. If you use the Simulator to generate fake data and don't have fake history for that symbol, it just starts at the current live bar.

However, when I open a second fake simulator chart of the EMD 09-08 and let it create some fake history, and then I apply the strategy I posted above to the ER2 09-08 chart, I get Historical to return true.

Thanks again for help with this seemingly unimportant problem.