Orders being executed outside the chart when backtesting

[smoky1930]

I was trying to figure out why my back testing results were so different from my live results, then I noticed a lot of my backtest positions are being opened outside of the chart (usually 3-4 pips below the low of the candle). I provided a screen shot for example. I am just opening up long positions using Ask data, so I wouldn't think it would be a spread issue. Any ideas or suggestions?


Thanks

[NinjaTrader_PatrickH]

Hello smoky1930,

Thank you for your post and welcome to the NinjaTrader Support Forum!

What order type is used for these entries?
In the Strategy Analyzer parameters for the test what is your Historical Fill Type and Slippage set to?

I look forward to your response.

[sledge]

I was trying to figure out why my back testing results were so different from my live results, then I noticed a lot of my backtest positions are being opened outside of the chart (usually 3-4 pips below the low of the candle). I provided a screen shot for example. I am just opening up long positions using Ask data, so I wouldn't think it would be a spread issue. Any ideas or suggestions?


Thanks

Look in the execution tab. Did the trade really happen at 3:01? or 2:40 ?

[smoky1930]

Hello smoky1930,

Thank you for your post and welcome to the NinjaTrader Support Forum!

What order type is used for these entries?
In the Strategy Analyzer parameters for the test what is your Historical Fill Type and Slippage set to?

I look forward to your response.

Thank you for the response,
They are market orders. Fill type is set to default, and slippage is set to 0.

Look in the execution tab. Did the trade really happen at 3:01? or 2:40 ?

According to the executions, it did really happen at 3:00.

[sledge]

Thank you for the response,
They are market orders. Fill type is set to default, and slippage is set to 0.



According to the executions, it did really happen at 3:00.

I'm looking at ThinkOrSwim onDemand for AUD/NZD at this hour 03:00 and examining the ASK price.

It looks to me like your ninja CHART is off 1 hour for whatever reason.

The 02:00am should be 03:00am, and your trades would make sense.

I'm in EST timezone. Do you have daylight savings time turned on/off on your local PC?

[smoky1930]

On a hunch, I added a DrawLine from the high to low on each bar, and here is what I got. This is very strange, it is almost like our orders are being executed on the bid price, but the chart is showing the ask price.

[NinjaTrader_PatrickH]

Hello smoky1930,

Thank you for your response.

The executions for the currency pairs would occur at the Bid Price.

[smoky1930]

Hello smoky1930,

Thank you for your response.

The executions for the currency pairs would occur at the Bid Price.

I thought long orders were executed on the Ask price. While Shorts were on the Bid price?

[sledge]

On a hunch, I added a DrawLine from the high to low on each bar, and here is what I got. This is very strange, it is almost like our orders are being executed on the bid price, but the chart is showing the ask price.

The bid price at 03:00 am is 1.0786, which is off your chart at 02:00am.

[sledge]

I thought long orders were executed on the Ask price. While Shorts were on the Bid price?

You are off by 1 hour. Check your other trades.

[smoky1930]

You are off by 1 hour. Check your other trades.

I am in Central time zone, so I am an hour off from you.

[sledge]

I am in Central time zone, so I am an hour off from you.

The trade belongs on the chart over here.

Or your chart needs shifted +1

[smoky1930]

The trade belongs on the chart over here.

Or your chart needs shifted +1

I can't seem to find how to do that, could you point me in the direction?
I did try changing my timezone to eastern and rebuilding my historical data, and while I am seeing the executions in different locations now, I am still seeing the same phenomena.

Thanks

[NinjaTrader_PatrickH]

Hello smoky1930,

Thank you for your response.

You are correct, executions to sell are at Bid and executions to buy are at Ask. I am not sure what is occurring here on your charts, but your system time should match your data from your data feed provider. Can you send your database file to support[at]ninjatrader[dot]com with 'ATTN: Patrick - 1080870' in the subject line?

You can do this by going to the Control Center-> Help-> Mail to Support-> ensure the Database option is enabled.

[smoky1930]

Hello smoky1930,

Thank you for your response.

You are correct, executions to sell are at Bid and executions to buy are at Ask. I am not sure what is occurring here on your charts, but your system time should match your data from your data feed provider. Can you send your database file to support[at]ninjatrader[dot]com with 'ATTN: Patrick - 1080870' in the subject line?

You can do this by going to the Control Center-> Help-> Mail to Support-> ensure the Database option is enabled.

I sent the database, Thank you.