Bad trade in live testing.

[skellington]

Hi,

I was running a live test today and it generated a trade that clearly violates my strategy rules. Backtesting the same strategy correctly produced no trade.

Are there any commonly known reasons why the live strategy might generate bad entries? Things like bad data?

What's also odd is that the trade showed up on the chart, in the orders window, in the executions window but NOT in the account performance window. But maybe this is a separate problem.

Thanks.

[NinjaTrader_Ray]

You can not compare backtest to real-time. We have documented a number of reasons for discrepancies in the following Help Guide link.

http://www.ninjatrader-support.com/HelpGuideV6/DiscrepanciesReal-TimeVsBacktest.html

[skellington]

I understand that backtesting results will differ from live testing but...

On the live chart an order was placed that clearly violated the trading rules. Have you seen issues in live trading where an order might get placed even though the live chart clearly shows that it should not have been placed?

I do calculate on close of bar so even a few ticks of bad data shouldn't cause a huge problem (on a liquid stock).

Thanks.

[NinjaTrader_Ray]

No, never seen that. You would need to debug by adding some key print statements in your code at times where orders are submitted, maybe print out some condition values to get an idea when orders are triggered and compare to what you are seeing on the chart.

[skellington]

Ok. I'll do that, though, as you can imagine it can be hard to catch unusual/rare bugs that only happen during real time trading.