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Discrepancy between backtest and live chart
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Discrepancy between backtest and live chart
I am using Kinetick for VIX EOD data and use the previous day's closing value in calculations for an indicator which is used in a strategy. When I backtest, I can verify that the values used are the correct ones. However, when I run the strategy in a demo account, the value of the VIX closing price used to plot the indicator on a chart is from TWO days ago. What could be causing this and how can I fix it?Last edited by fizikz; 02-21-2013, 11:54 AM.Tags: None
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I use Closes[x][0] in the strategy and indicator. Checking in the historical data manager, I can see that the last day's closing data are available, even during the current trading day. Is it not possible to access it?
Another point that is perhaps relevant is that this issue is for the VIX data from Kinetick. It seems the same code works fine for other instruments from the demo account's real-time data feed.
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I start the strategy and keep it running 24/7. Initially, the values used by the strategy are correct if I have downloaded historical data.
However, after the close of the session, say after 4:30pm EST, the new values for the previous session's close are not updated by the indicator on the chart. The strategy does update to the new close values for the other instrument (ES) from a real-time feed, but not for VIX from Kinetick EOD data feed.
To fix this, I download historical data, restart NT, and reload historical data. Then, the strategy uses the correct data, but the chart again uses the VIX from 2 days ago instead of the last close.
So, I see two problems, one is about updating values from the Kinetick EOD data feed automatically, and the other with the chart not using the right data for the last close for VIX from Kinetick.
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fizikz,
'However, after the close of the session, say after 4:30pm EST, the new values for the previous session's close are not updated by the indicator on the chart. The strategy does update to the new close values for the other instrument (ES) from a real-time feed, but not for VIX from Kinetick EOD data feed.'
But you would see correct values on the next day then, at / after cash market open - when the VIX Kinetick EOD bars had seen their bar update event called > so new bar opend?BertrandNinjaTrader Customer Service
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