Strategy not trading on live data, Sim account

[GKonheiser]

My strategy trades fine on historical data but today I put it on live data on the Sim account and its not trading at all? any ideas what could be causing this. Its set to calculate on bar close.

[NinjaTrader_JC]

Hello GKonheiser,

Are you verifying your trade signal are being hit in Real-time data? You may do this by using TraceOrders = true and using Print() statements.

Also, do you see any errors inside of the Log tab of the Control Center?

Happy to be of further assistance.

[GKonheiser]

Just looked at the logs and I have a load of error relating to another strategy that I have no idea about. It is not in Custom folder and I cant see it active on any charts. The Strategy is LTStrategy, no idea where it came form, is it one that come with NT7?

When I enable a strategy on live data should I be able to see past executions, ie trades that would have been done?

With TraceOrders = true; im seeing nothing in the logs?

[NinjaTrader_JC]

Hello GKonheiser,

Could you let me know what the full error message that you see in the Log tab?

As for your strategy that is trying to processing in real-time, can you add the TraceOrders and the Print() statements in post #2 to make sure your strategy is processing in real-time?

[GKonheiser]

this is the entry in the log,

1/15/2014 5:06:01 PM Strategy The strategy 'LTStrategy/7f58c31e2d5848f4af46ebc788a2cad7' has called the Add() method with an invalid instrument. Either 'SPY' does not exist in the Instrument Manager or the specified exchange has not been configured.

Ive added TraceOrders == true;

do I need to give a specific command to allow the strategy to trade on live data?

[NinjaTrader_JC]

Hello GKonheiser,

For the "LTStrategy" message, do you have any custom assemblies loaded inside of NinjaTrader? You may verify this by going to File -> Utilities -> Remove NinjaScript Assemblies. Alternatively, have you used this strategy in the past?

As for your strategy in real-time, there is not special code that you need to use. Let me try a different approach, if you go to the "Strategies" tab of the Control Center, what color is the cell that your Strategy name is in?

[GKonheiser]

Hi JC,

I had a look at my code and this is stopping the script from trading which it doesn't on historical data:-

if(
((Instrument.Expiry.Month == 3) && (Time[0].Date.Month == 12) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 3) && (Time[0].Date.Month != 12 || Time[0].Date.Month != 1 || Time[0].Date.Month != 2 || Time[0].Date.Month != 3))
|| ((Instrument.Expiry.Month == 6) && (Time[0].Date.Month == 3) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 6) && (Time[0].Date.Month != 3 || Time[0].Date.Month != 4 || Time[0].Date.Month != 5 || Time[0].Date.Month != 6))
|| ((Instrument.Expiry.Month == 9) && (Time[0].Date.Month == 6) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 9) && (Time[0].Date.Month != 6 || Time[0].Date.Month != 7 || Time[0].Date.Month != 8 || Time[0].Date.Month != 9))
|| ((Instrument.Expiry.Month == 12) && (Time[0].Date.Month == 9) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 12) && (Time[0].Date.Month != 9 || Time[0].Date.Month != 10 || Time[0].Date.Month != 11 || Time[0].Date.Month != 12))
)
{
return;
}

I am currently trading on March contract, 3, so not sure why any statement above would equate to true, can you think why this would be?

[NinjaTrader_JC]

Hello GKonheiser,

The following statement will be true:

((Instrument.Expiry.Month == 3) && (Time[0].Date.Month != 12 || Time[0].Date.Month != 1 || Time[0].Date.Month != 2 || Time[0].Date.Month != 3))

So since you are using || (or command) the entire statement is true and causing your code to return.

You may want to try to comment out that line.

[GKonheiser]

Ya your right I see that now. Im going to replace it with:-

if(
((Instrument.Expiry.Month == 3) && (Time[0].Date.Month == 12) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 3) && ((Time[0].Date.Month >3) && (Time[0].Date.Month <12)))
|| ((Instrument.Expiry.Month == 6) && (Time[0].Date.Month == 3) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 6) && ((Time[0].Date.Month >6) && (Time[0].Date.Month <3)))
|| ((Instrument.Expiry.Month == 9) && (Time[0].Date.Month == 6) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 9) && ((Time[0].Date.Month >9) && (Time[0].Date.Month <6)))
|| ((Instrument.Expiry.Month == 12) && (Time[0].Date.Month == 9) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 12) && ((Time[0].Date.Month >12) && (Time[0].Date.Month <9)))
)
{
return;
}

Thanks

[Baruch]

Ya your right I see that now. Im going to replace it with:-

if(
((Instrument.Expiry.Month == 3) && (Time[0].Date.Month == 12) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 3) && ((Time[0].Date.Month >3) && (Time[0].Date.Month <12)))
|| ((Instrument.Expiry.Month == 6) && (Time[0].Date.Month == 3) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 6) && ((Time[0].Date.Month >6) && (Time[0].Date.Month <3)))
|| ((Instrument.Expiry.Month == 9) && (Time[0].Date.Month == 6) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 9) && ((Time[0].Date.Month >9) && (Time[0].Date.Month <6)))
|| ((Instrument.Expiry.Month == 12) && (Time[0].Date.Month == 9) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 12) && ((Time[0].Date.Month >12) && (Time[0].Date.Month <9)))
)
{
return;
}

Thanks

What is it for? Can you explain in English?

[GKonheiser]

It prevents a contract from trading before it is liquid, ie normally the day before front month

[Baruch]

((Instrument.Expiry.Month == 3) && ((Time[0].Date.Month >3) && (Time[0].Date.Month <12)))

So what this mean?

((Instrument.Expiry.Month == 6) && ((Time[0].Date.Month >6) && (Time[0].Date.Month <3)))

How this can be true?

[GKonheiser]

So what this mean?

How this can be true?

Your correct it cant. I will think it over again.

[Baruch]

The first part you can do in one line:
(Instrument.Expiry.Month + 12 - Time[0].Date.Month) mod 12 == 3

[GKonheiser]

OK I think this is it,

if(
((Instrument.Expiry.Month == 3) && (Time[0].Date.Month == 12) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 3) && ((Time[0].Date.Month >3) && (Time[0].Date.Month <12)))
|| ((Instrument.Expiry.Month == 6) && (Time[0].Date.Month == 3) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 6) && ((Time[0].Date.Month >6) || (Time[0].Date.Month <3)))
|| ((Instrument.Expiry.Month == 9) && (Time[0].Date.Month == 6) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 9) && ((Time[0].Date.Month >9) || (Time[0].Date.Month <6)))
|| ((Instrument.Expiry.Month == 12) && (Time[0].Date.Month == 9) && (Time[0].Date.Day < iStartTradeDate))
|| ((Instrument.Expiry.Month == 12) && (Time[0].Date.Month <9))
)
{
return;
}