indicator and strategy onbarclose

[sergeysamsonov]

Hello

Thank you for previous replies.

If I have indicator with onbarclose = false that I use in strategy with onbarclose=true, does strategy setting overrides indicator setting, if not then what behaviour should I expect?
For some reason I have different executions in backtesting and life with IB.


Best regards,
Sergey.

[sergeysamsonov]

session template

Can I trust "use instrument settings" in session template when I see it. I trade forex and I checked that instrument template is forex (which is correct) but when I start a strategy I leave default "use instrument settings".

My problem is ...

I compared real time generated range 4 tick chart with reloaded (a few minutes later) in the second window chart and found that 30-40% of bars are different (either or all values High, Low, Open, Close), I also get more bars in real time then in reloaded chart. I read manual about issues involved in creating charts but I can not believe that it can differ so much, ... and of course in the worst way (against my strategy). Please suggest if this issue can be resolved, I use IB/Americas.

[sergeysamsonov]

possible solution?

Regarding my previous message, is it possible within strategy or indicator to force NT to reload real time chart as historical every time a new bar is plotted (so indicator can be recalculated properly), it can be beneficial to reload chart as close to the last bar as possible but even with 2-3 bars delay would be very beneficial.

I heard that forex market is unregulated, is this the manifestation of it, or it is really just a charting problem? Should I expect different behavior in globex?

[NinjaTrader_Bertrand]

Hi Sergey, unfortunately you would not be able to reload data programmatically in NT - what data provider for the backfill are you using for the Range charts on the IB connection that would not provide a tick data based backfill here?

[sergeysamsonov]

Thank you. I have IB for trading and Kinetick (paid) for historical data. I just checked again and real time chart differs almost 50% in comparison to reloaded chart opened in the second window. Is this really just a charting problem, do you want me to attach some screenshots?

During my trading I am connected only to IB, and when I open chart in a new window as historical I am still connected only to IB so it has nothing to do with second connection which stays disabled while trading is going on.

Is it possible to force NT to trade on Kinetick real time charts that suppose to be better because they have time stamp but execute order on IB?

Please comment on both issues.

Best regards,
Sergey.

[NinjaTrader_Bertrand]

Sergey, that would not really work - you compare two different datafeeds here, with one provided snapshot data and the other is unfiltered, so that compared with the decentralized FX marketplace will give you different tickcharts oftentimes when comparing IB live to Kinetick reloaded data.

If you connect to Kinetick first you would take all data from this connection only, while you could still execute orders to IB then as second connection.

[sergeysamsonov]

But I compare IB realtime data to IB reloaded data, Kinetick connection is turned off during this time.

How range bar is created with tick 0.0001 when real data has tick 0.00001 (10 times smaller), may be this is the problem? Lets say we receive a tick that is 0.00001 higher than previous high so a new range bar is plotted, but in reloaded mode I assume you need at least 0.0001 move to plot a new bar, is this correct?

[NinjaTrader_Bertrand]

Sorry, I don't follow what you say here - how would you reload data from IB if they do not provide any tick data backfill?

[NinjaTrader_Bertrand]

Also Sergey, IB and Kinetick would both use different pip settings - what are you working with on your NT7?

[sergeysamsonov]

Ok, here how I do it

Lets say I have strategy running on the chart overnight (from evening to morning) and I have only one active IB connection. I also have option "save real time data as historical" switched on.

Then in the morning I open a new chart for the same instrument (remember that overnight data was stored) and compare this chart with the chart that was created in real time (in which strategy is still running).

So when I compare these two charts I find that they are very different, some bars have different OHLC, different number of bars for some period, and time when bars where created is different - overall charts look different and as a result indicator values are different.

[sergeysamsonov]

Please remember that Kinetick is turned off during this exercise, I used 0.0001 tick.

[NinjaTrader_Bertrand]

Thanks Sergey, for working on IB's data and connection please ensure to be using 'halfpip' as setting under Tools > Options > Data -- is this the case here in your setup?

[sergeysamsonov]

Thank you.

With IB, do I really have to use 0.00005 tick or smaller the better (for example 0.00001) because I noticed that price of my fills is quoted up to 0.00001.

Also If I use Kinetick for realtime charting, in this case do you think realtime chart and reloaded charts will look similar?

Best regards,
Sergey.

[NinjaTrader_Bertrand]

Sergey, do you trade Ideal or Ideal Pro spot currencies with IB?

Kinetick would be likely aligning better as all the data is natively timestamped in this case.

[sergeysamsonov]

I trade IdealPro

In regard to this another question, if I am long 25k and now I want to go short 25k, NT needs to sell 50K, which is one transaction and one commission, instead I get - sell 25k and then sell another 25k or two transactions and two commissions (it is same minimal commission for transaction less than 100k). Can we force NT to do one transaction?

But please let’s address tick issue first