Data different for strategy analyser and charts?

[duncanferguson]

Hi

I am trialling ninjatrader continuum data
A developer has written a strategy for me
I am testing this strategy via NT Strategy Analyser and checking it got the fills expected on the charts
However, this is where a problem seems to occur. In some instances strategy analyser is executing trades when the price hasn't traded on the chart.
Eg. the chart will show a low of price 50, our strategy will execute if price trades below 50. In the strategy analyser the trade has executed at 49 despite the chart showing 49 has not traded.
I have checked the chart data from 3 seperate sources. All 3 confirm the low at 50 and not trading 49.
Is there an issue with the strategy analyser data? I would have thought it isusing exactly the same data as the chart sotfware uses? ie from the same source?
Any ideas?

Thanks

[duncanferguson]

Just to add I have downloaded data for market replayer. I have confirmed by watching market replayer than 49 does not trade. I have then put that data into strategy analyser and the strategy is still executing at 49 when 49 does not trade. Thanks

[NinjaTrader_ChrisL]

Hello duncanferguson, Thanks for your post and welcome to the NinjaTrader forum.

This help guide page will describe some discrepancies you might see between real-time strategy performance vs. historical performance while backtesting.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?discrepancies_real-time_vs_bac.htm

It is possible that the Historical Order Backfill Logic is detecting a fill when there should not be. In the strategy analyzer, if you turn "Order fill resolution" to "High" and selct a 1 tick series, does the strategy produce the same trades? Please also let me know what bar type you are using in the Strategy Analyzer.

I look forward to your reply.

[duncanferguson]

I get this error when i try to do that thanks

[NinjaTrader_ChrisL]

Hello duncanferguson,

Thanks for your reply.

This message means your strategy implements additional bar series. The developer of the script can add in a 1 Tick series with AddDataSeries and submit the orders upon that series with the order method overload that takes a barsinprogress index. This will make the fill estimation more accurate. It would also be helpful to address the issue your seeing with the developer.