Problem with market data price

[yaniv]

I have a strategy, the strategy enter to short one tick below the low of the last bar and take profit of 8 ticks,
I am running with market replay on ES-09 future, 5 minute bars,
I saw in one of the position that the exit price was very far from the entry price and not even on the bar , what is the problem ? how can i rely on the strategy test with this kind of behaivors ?

Thanks

[NinjaTrader_Kate]

Hello yaniv,

Thank you for your post.

Most likely this is caused by a random bid or ask tick at that level - if you add a 1 tick bid and one tick ask series do you see one reported at that level at the time of the trade?

Thanks in advance; I look forward to assisting you further.

[yaniv]

Can you please tell me how to do that ?
Thanks

[NinjaTrader_Kate]

Hello yaniv,

Thank you for your reply.

The easiest would be to open a second chart window and add two data series to it of the same instrument you're running the strategy on.

For the first set the data series to use the following settings:

Price Based on: Ask
Type: Tick
Value: 1

For the second you'd want to use the following:

Price Based on: Bid
Type: Tick
Value: 1

Then run the strategy using Market Replay data on the original chart- the ask and bid charts should update as well. When you see the odd trade taken, check to see if you see that execution at a valid ask or bid price on the second chart.

Please let us know if we may be of further assistance to you.