Exit On Close

[TraderGuy]

Is Exit on Close expected to work the same in replay as real time, meaning should the position close 30 seconds (or whatever specified) prior to close of session when running replay, or is this real time only?

Thanks,
Guy

[NinjaTrader_JoshP]

Guy,

You should find it to work in replay as well.

[TraderGuy]

Thanks,

It works fine in my back test but I'm not having any luck on replay. I have it coded in the strategy and set up on the strategy parameters. I'm using calculate bar on close = True, not update by tick. Am I missing something here?

Guy

[NinjaTrader_JoshP]

Check your chart's session begin/end times.

[TraderGuy]

The session times are set 9:30 - 4:00 so that should be fine. Related question, with "calculate bar on close" = true, will the OnMarketData method operate intra-bar? Looks like it does from the doc, if so I can utilize that to exit at a predetermined time.

Thanks,
Guy

[NinjaTrader_Bertrand]

Hi Guy, do you get any errors in the Log section? How did you set the ExitOnCloseSeconds? You are correct OnMarketData is called for every change in Level1 data, not sure how you want to use it to set a time exit though.

You can also try coding your time filter rules out, like in this reference sample - http://www.ninjatrader-support2.com/...ead.php?t=3226

[TraderGuy]

Hi,

No error that I have seen.

The code in the strategy is

		ExitOnClose        = true; 
    		ExitOnCloseSeconds = 30;

Strategy properties are set the same way, with session time 9:30 AM to 4:00PM.

I'll create a simple strategy or use one of the provided strategies and test the EOD close again when I get a chance.

Thanks,
Guy

[NinjaTrader_JoshP]

Guy,

Please try with the SampleMACrossOver on a replay of a more volatile instrument. If you are trying to replay a low volatility one you may not have data for minutes before the close and that may or may not be a source of the issue.

[TraderGuy]

Had a chance to try replay after the close today with the SampleMACrossOver as requested. This was done with SPY so liquidity was not an issue. The open position was not closed prior to end of session, it did work as expected with the historical trades.

However, I was running a strategy real-time today and it did work as expected. So for me anyway, it works when back testing at the close of the bar (as expected), and works in real-time as expected, just not in replay.

It's not a big deal to me now that I have seen it work in real time. Just thought I would follow up.

Regards,
Guy

[NinjaTrader_Ben]

Hello,

Thank you for your follow up. Someone will reply on Monday if we have any further information to provide. Sorry for the delay.

[NinjaTrader_JoshP]

Guy,

If you could send us your replay file that would be great. Thank you.

[TraderGuy]

Sent via email.

Regards,
Guy

[NinjaTrader_Bertrand]

Thanks Guy, we got the file and will respond after trying to reproduce this, thanks for your patience!

[NinjaTrader_Bertrand]

Hi Guy, I tested your SPY replay data with the SampleMACrossover strategy (settings 2 and 5 to get some trades done) on 1min and 5min Market Replay chart and the exit on close worked as expected on my end. For chart session times I used 7:30 AM to 2:00 PM.

[TraderGuy]

Very strange, tried it here on two machines, no joy with replay, live and back test are fine. It's a mystery. Thanks for checking it out.

Guy