NT autoplot misaligned

[ATI user]

One thing to note is that you do SetTrailStop() and explicit ExitLongStop() orders. Please bear in mind that you cannot use both at the same time due to Internal Order Handling Rules.

Using both in the same code does not make sense i agree. I did not change the code for the test cs. In my actual cs I use them separately...i.e. I have a switch that gives the user the option to use settrailstop or the exitlongstop code...never both.

Also, the simulator algorithm can fill you anywhere it doesnt matter what is shown. It really depends on the data you are receiving in terms of bid and ask.

this would appear to me to be a failing of the simulator algorithm (which up until this event I thought was great). It makes no sense at all to me that you can get a fill outside the range of the bar. This is not possible in real trading and therefore should not be possible in sim I would think.

[NinjaTrader_JoshP]

ATI user,

Let us scale it back a few steps. Strip everything out of the strategy and just use very basic EnterLong() and EnterShort()s. Nothing fancy. Or even just try with SampleMACrossOver.

[ATI user]

ok...here is samplemacrossover

[NinjaTrader_JoshP]

The simulator engine takes into consideration a number of factors. For the fills generated it considers bid/ask volume, trade volume, time and also a random time delay as well. All of which are used to determine a probability for filling at various prices. If it fills outside of the bar it has run through its algorithm and calculated out that the filled price may be a feasible price if this were a real order placed to the market. Obviously in sim mode your order would not move the bar, but in real life your order would have enlarged the bar to encapsulate the price it just traded at.

Consider this example:
bid = 1000
ask = 1001
You submit a market order in simulation. You will get filled at 1001 in simulation because that is what you would expect to be filled at in real life. Now if the real exchange just never trades there then your charts will not show any ticks up there. There is no correlation between the simulated exchange and the real exchange.

[ATI user]

ok Josh...good explanation....makes sense....thanks for your efforts

it would appear then that I am moving the market often in sim

will disregard further plots outside of bar range

[ATI user]

sorry Josh....I think that explanation is not the answer...ie. that the fill could have been at that price in live trading

it would appear that the problem relates to the bar time...i.e. NT is plotting on the wrong bar

from the Executions tab, the exit was at the exact same second (9:40:09) as the bar time...and the plot was on the last tick (in the last second) of the wrong bar which had a low of 8300 ...4 ticks above the exit price

NT needs to plot on the next bar...which actually did trade at the exit price

even though this is a 30 tick chart, NT should still plot on the correct bar

I would still argue that this is a plotting bug and not simulator algorithm related

[NinjaTrader_JoshP]

ATI user,

Try resyncing your PC clock. I just worked with someone else and had the same behavior you are stating here. Syncing PC clocks resolved it.

[ATI user]

checking the bad plots, they all occur when the entry/exit occurs at the time of the bar

will try clock resync

[ATI user]

no change after clock resync

this is of course in Market Replay....does the resync affect that ?

I think the problem is that a 30 tick chart has so many bars that often an execution takes place at the exact time of the bar...and NT does not check to see if the bar traded at the execution price before plotting...NT needs to wait 1 second and plot on the correct bar

maybe related to bar construction?

guessing of course

[NinjaTrader_JoshP]

ATI user,

NT does not check. Try it on Simulated Data Feed or on a live data feed. SampleMACrossOver.

[ATI user]

5 tick euro on sim feed

plots exit below bar range

[ATI user]

5 tick euro live feed....after internet time sync

[NinjaTrader_Bertrand]

Hi ATI user,

Please tell me which live feed you were using and all your settings on the SampleMACrossover strategy.

Does you see this on any strategy trade?

Thanks!

[ATI user]

zenfire

settings are in charts: 10 25 (defaults) and 3 6

happens on all strategies I run

[NinjaTrader_JoshP]

ATI user,

I am going to have to suggest you get a clean reinstall of NT and .NET.
1. Uninstall NT
2. Uninstall .NET
3. Delete My Documents\NinjaTrader 6.5 (BACKUP EVERYTHING YOU WANT FIRST. NINJASCRIPT, WORKSPACE, REPLAY, ETC.)
4. Clear internet browser cache
5. Reinstall .NET 2.0
6. Reinstall NT
7. Resync PC clock
8. Retest with live data