Exit on close - late

[mikie2k2]

Hello,
I'm having problems with late execution of exit on close event. I use NT 6.5.1000.8 with WXP under Virtual PC 2007.

My chart's session end is set to 22:00 and my strategy is set to exit on close 30 seconds before session ends (which should be 21:59:30).

However NT closes positions almost always several minutes later - the difference is pretty random, see a few samples from log:

17.2.2009 22:08:05|1|128|Exit on close handling for strategy 'MyStrategy1' started.
13.2.2009 22:00:23|1|128|Exit on close handling for strategy 'MyStrategy1' started.
12.2.2009 22:27:18|1|128|Exit on close handling for strategy 'MyStrategy1' started.
11.2.2009 22:33:12|1|128|Exit on close handling for strategy 'MyStrategy1' started.

Any ideas what can cause the problem?
Thanks.

[NinjaTrader_Bertrand]

Hi mikie2k2, first please try to sync your PC clock up and see if this helps as NinjaTrader uses the local time set in your PC.

Next, I would suggest allowing more time for the MOC orders to reach and execute at the exchange, as late orders will be rejected in some cases.

Thanks!

[NinjaTrader_JoshP]

Also, if you are running on a low liquidity instrument it will be more difficult to assess the Exit on Close because it only goes by bar timestamps. If you just don't have a bar at 22:00 or anywhere around it it won't know to trigger the Exit on Close until you get a bar at 22:00 or after 22:00.

[mikie2k2]

I don't think this is a problem of a late order being rejected or liquidity problems. This problem happens not only on live account, but on sim as well. The order is generated after I see that "exit on close strategy handling" message in the log file, but that is sometimes 15-20 minutes later than it should be.

My time is synced ok, this has something to do with Virtual PC, maybe some kind of a timer is running slower than in normal (not virtual) machine.

[NinjaTrader_JoshP]

mikie2k2,

If you are seeing it happen 15-20 minutes later it is more likely than not liquidity issues. Please check the timestamps of your bars.

[mikie2k2]

Timestamps are fine, last bar printed is at 22:00 just as it is supposed to be. Anyways, I found there's a SP1 for Virtual PC, I'll try to install it and let's see tomorrow if it helps.

[NinjaTrader_JoshP]

Check the timestamp of the bar before the last.

[mikie2k2]

It's a 1 minute chart and the bar before the last is 21:59.

[NinjaTrader_JoshP]

Are you backtesting or live?

[mikie2k2]

Live. Backtesting is fine.

[NinjaTrader_JoshP]

mikie2k2,

If it is live then it is potentially an issue with PC clock. If you are sure you are synced then we are out of ideas. Please try on a machine with the operating system as the host system. It may be as you suspected and be the virtual machine causing issues.

[mikie2k2]

OK, I'll try that tomorrow and I'll also try the new service pack and let you know if it helps or not. Thanks for your support.

[mikie2k2]

A little update - NT outside virtual machine executed strategy handling at exactly 21:59:30, but NT inside virtual pc again later - today at 22:22:17. So SP1 for VPC 2007 didn't help.

Anyways, I think we can close this issue as it is not NT's problem, it's a matter of Virtual PC. Thanks for your help.