Strange bug in NT

[zer0balance]

I use NT 6.5.1000.8. I made simple strategy:
1) CalculateOnBarClose = false;
2) In OnBarUpdate() I write Time[0]...Close[0] into file stream.
I run my strategy with ES (march) 1 tick.
I found the strange bug in NT. Description:
1) I start my strategy first time. It writes data into file.txt
2) I rename the file.txt to file1.txt
3) I start my strategy second time. It writes data into file.txt
4) I rename the file.txt to file2.txt
When I compare those two .txt files with diff utility I can see that in file1.txt there is no data for approx. 1 min before I started it. This data is present in file2.txt, but not in file1.txt. So, I can figure out that NT pushes history except last minute.

I tried this several times, but got the same result

Here is the screenshot (can't upload it to this forum): http://depositfiles.com/files/p7xk2uahn

[zer0balance]

PS. I use AMP zenfire realtime simulator.

[NinjaTrader_Ben]

Hello,

I will look into this and get back to you as soon as I have more information.

[NinjaTrader_Ben]

Hello,

Provided you are running on the same chart with the same set of data available you will have the same prints. If you are starting your strategy on a new chart it may differ like what you are experiencing.

[zer0balance]

I use strategy tab in Control Center. No other windows are open. The problem is that data is skipped, not differs.
For example, imagine that complete data is: "1,2,3,4,5,6,7,8,9,10". I run the strategy when "1,2,3,4" is historical data (let's assume). I recieve in OnBarClose(): "1,2,3,4,7,8,9,10" where "7,8,9,10" is realtime. "5,6" is missed. If I run the strategy when "1,2,3,4,5,6" is historical, I recieve "1,2,3,4,5,6,9,10". Where "9,10" is realtime data. "7,8" skipped.
Please help and let me know if you need more information from me. Were you able to repeat the bug?

[NinjaTrader_JoshP]

zer0balance,

You may be running into a current limitation, but I am not sure if it is the same case. If you could upload an as-simple-as-possible sample of your strategy that demonstrates what you are seeing then we could test on our end. Please provide exact reproduction steps as well. Thank you.

[zer0balance]

Archive (screen shot of diff programm + strategy src): http://depositfiles.com/files/wx5pktflb
Instructions:
1) NT 6.5.1000.8 from ninjatrader.com
2) Real-time demo account from http://www.ampfutures.com (you can try to catch this on your datafeed)
3) Open NT with no windows except control center and go to strategies tab
4) New strategy, select attached strategy, ES 03-09, 1 tick.
5) Start strategy, wait for 15-20 seconds, stop strategy, remove strategy
6) Now, locate in current directory (NT install dir) file histbug.txt and rename it to histbug1.txt
7) New strategy, select attached strategy, ES 03-09, 1 tick.
8) Start strategy, wait for 15-20 seconds, stop strategy, remove strategy
9) Now, locate in current directory (NT install dir) file histbug.txt and rename it to histbug2.txt
10) Get diff tool. I use TortoiseMerge from http://tortoisesvn.net
11) Compare histbug2.txt and histbug1.txt. You should see that in histbug1.txt skipped some data that is presend in histbug2.txt.

Please let me know.

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[FONT=Courier New][SIZE=2][COLOR=#808080]///[/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#008000] This method is used to configure the strategy and is called once before any strategy method is called.[/COLOR][/SIZE][/FONT]
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[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
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[SIZE=2][FONT=Courier New]CalculateOnBarClose = [/FONT][/SIZE][FONT=Courier New][SIZE=2][COLOR=#0000ff]false[/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2];[/SIZE][/FONT]
[SIZE=2][FONT=Courier New]}[/FONT][/SIZE]
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[FONT=Courier New][SIZE=2][COLOR=#808080]///[/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#008000] Called on each bar update event (incoming tick)[/COLOR][/SIZE][/FONT]
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[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
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[NinjaTrader_JoshP]

Thank you zer0balance. This is indeed the limitation in NT6.5 that we are aware of.

[zer0balance]

Thank you zer0balance. This is indeed the limitation in NT6.5 that we are aware of.

Could you please explain this limitation. I don't have any information about this. Will it be fixed? And how can I wouk it out.

[NinjaTrader_JoshP]

zer0balance,

The limitation is going from historical to live. You may "miss" some ticks as the strategy transitions. If you do not care for this transition I suggest you just run with "if (Historical) return;" then it will not influence you at all.

[zer0balance]

Josh thanks for explanation! I do care for this, that's why I would like to resolve this problem so much.
1) Could you please advise any (is there any?) method, so those ticks were not missed ? Some workaround...
2) Is this behavior only in 6.5?
2) Are you going to fix this in near future?

[NinjaTrader_JoshP]

zer0balance,

What is your requirement for such a transition? Any automated trading strategy should have very little trouble by this. Just run the strategy before the market opens. You may miss a little at the transition, but that is it, a one time loss. If you never shut off your strategy you will never have problems again. It is only really noticeable on the 1 tick time frame. We are aware of this and are working to improve it. There are no workaround.

[zer0balance]

Thank you very much! 0 tick loss in transition is perefect! =)
BTW, found this bug with posted strategy above:
1) Open NT
2) Connect
3) Run strategy
4) Disconnect
5) Connect
6) Run strategy
Error on calling 'OnBarUpdate' method for strategy 'histbug': The process cannot access the file 'C:\Program Files\NinjaTrader 6.5\bin\histbug.txt' because it is being used by another process.
It is because Dispose method is not called when Disconnect.

[NinjaTrader_JoshP]

Thank you for bringing this to our attention. We will look into it.

[NinjaTrader_Dierk]

This is a bug which will be fixed with next update. Thanks for reporting.