CalculateOnBarClose NT7 vs NT6.5

[popsovy]

I noticed a difference in behavior in the multi-frame strategy processing between NT6.5 and NT7.

My strategy is using CalculateOnBarClose = true. Two timeframes are used: 1 Minute and 30 Minute. I refer to 1 minute timeframe as Closes[Min1][0] and to 30 minute timeframe as Closes[Min30][0].

In NT6, when the time is on the half hour (9:30, 10:00, 10:30, etc) and BarInProgress = 1Min, Closes[Min30][0] refers to the close 30 minutes ago. For example, if it's 10:00 AM and I am in the 1Min timeframe, then Closes[Min30][0] refers to the close price at 9:30 AM.

In NT7, when the time is on the half hour and BarInProgress = 1Min, Closes[Min30][0] refers to the most recent close price. For example, if it's 10:00 AM and I am in the 1min timeframe, then Closes[Min30][0] refers to the close price at 10:00 AM.

When the time is NOT on the half hour, then Closes[Min30][0] matches between NT7 and NT6.5.

Is this by design or is it a bug? Which way is correct?

Thanks.

Evgueni

[NinjaTrader_Bertrand]

Evgueni, thanks for reportin in - I'm not aware of expected differences in this regard, are you working with the same session settings / feeds / data to be able to compare the bars?

Would you mind sharing the script you used to compare so we can test it here on our end?

Thanks

[popsovy]

I am using TDAmeritrade for both NT7 and NT6.5.

The way to reproduce is to open the Output window and run the following strategy for any instrument for any 1 day using the 1-minute timeframe.

using System;
using NinjaTrader.Data;
using NinjaTrader.Strategy;

namespace NinjaTrader.Strategy
{
public class MultiFrameDemo : Strategy
{
protected override void Initialize()
{
this.CalculateOnBarClose = true;
this.BarsRequired = 0;
this.Add(PeriodType.Minute, 5);
}
protected override void OnBarUpdate()
{
if (this.BarsInProgress == 0 && ToTime(Time[0]) >=93000 && ToTime(Time[0]) <=93500)
{
Print(String.Format("5 minute price as of {0} is {1}", Time[0], Closes[1][0]));
}
}
}
}

[NinjaTrader_Bertrand]

Thanks for the details Evgueni, we'll reproduce shortly here and get back to you then. Thanks

[NinjaTrader_RyanM1]

Thank you for your patience, popsovy.

I notice the same discrepency here.

Multiseries in 6.5 should be evaluated with the secondary series smaller than the primary series. This is a limitation that has been addressed in version 7.

Please test with the series reversed: 5 minute primary and 1 minute secondary and let us know if you see similar.