"Exit on close seconds" not working

[motownlucas]

Any idea what might cause a strategy to exit on the close instead of at the specified seconds before close?

It was working fine and then after working on the strategy code some more, it stopped working. I have no idea what I changed that might affect it.

[NinjaTrader_Austin]

motownlucas, is the timeframe you're trading greater than 30 minutes (1800 seconds)?

[motownlucas]

Hi Austin,

Yes, I'm trading US Equities RTH. 9:30-3:30

[NinjaTrader_Austin]

Thanks for that info, what about the bar length? What kind of bars are you trading on - time, volume, tick, etc?

[motownlucas]

1, 3, or 5 minute bars

[NinjaTrader_Austin]

motownlucas, please test the strategy again with TraceOrders = true in the Initalize() section of your strategy and see if there are any messages in the output for why the ExitOnClose isn't being called at the correct time.

[motownlucas]

I'm back

Sorry Austin, I got impatient and hard-coded an exit-before-close in my strat so this is more academic now. Back to troublshooting...

I don't see anything in the output below, do you? In fact I don't see the exit-on-close either, but it showed up on the chart.

Time: 6/28/2011 2:10:00 PM

Time: 6/28/2011 2:20:00 PM
Changing unmanaged order at 6/28/2011 2:20:00 PM: Order='NT-00015/Sim101' Name='StopLoss_LX' State=Working Instrument='IWM' Action=Sell Limit price=0 Stop price=81.26 Quantity=122 Strategy='_FrogStrat_1_archive' Type=Stop Tif=Gtc Oco='longExitBrkt' Filled=0 Fill price=0 Token='97d288f624aa430783c2c3ea7f0351c1' Gtd='12/1/2099 12:00:00 AM'

Time: 6/28/2011 2:30:00 PM

Time: 6/28/2011 2:40:00 PM
Changing unmanaged order at 6/28/2011 2:40:00 PM: Order='NT-00015/Sim101' Name='StopLoss_LX' State=Working Instrument='IWM' Action=Sell Limit price=0 Stop price=81.31 Quantity=122 Strategy='_FrogStrat_1_archive' Type=Stop Tif=Gtc Oco='longExitBrkt' Filled=0 Fill price=0 Token='97d288f624aa430783c2c3ea7f0351c1' Gtd='12/1/2099 12:00:00 AM'

Time: 6/28/2011 2:50:00 PM
Changing unmanaged order at 6/28/2011 2:50:00 PM: Order='NT-00015/Sim101' Name='StopLoss_LX' State=Working Instrument='IWM' Action=Sell Limit price=0 Stop price=81.35 Quantity=122 Strategy='_FrogStrat_1_archive' Type=Stop Tif=Gtc Oco='longExitBrkt' Filled=0 Fill price=0 Token='97d288f624aa430783c2c3ea7f0351c1' Gtd='12/1/2099 12:00:00 AM'

Time: 6/28/2011 3:00:00 PM

Time: 6/28/2011 3:10:00 PM

Time: 6/28/2011 3:20:00 PM

Time: 6/28/2011 3:30:00 PM

Time: 6/28/2011 3:40:00 PM

Time: 6/28/2011 3:50:00 PM

Time: 6/28/2011 4:00:00 PM
Changing unmanaged order at 6/28/2011 4:00:00 PM: Order='NT-00015/Sim101' Name='StopLoss_LX' State=Working Instrument='IWM' Action=Sell Limit price=0 Stop price=81.36 Quantity=122 Strategy='_FrogStrat_1_archive' Type=Stop Tif=Gtc Oco='longExitBrkt' Filled=0 Fill price=0 Token='97d288f624aa430783c2c3ea7f0351c1' Gtd='12/1/2099 12:00:00 AM'

[NinjaTrader_Bertrand]

motownlucas, ExitOnClose would not be shown in the trace orders - so this trace you show would be expected in this case. ExitOnCloseSeconds is only applicable to realtime trading and market replay, not backtesting, here the session times set would be used.