Exit on session close Trade vs Code

[PageNotFound404]

I may not understand how exit on session close is working, i would appreciate explanation. I have strategy running back test on ES09-22 on 15970 (no mistake) tics.

Exit time

Entry name

Exit name

1/4/2018 16:06	Long Entry	Exit on session close
1/5/2018 13:30	Short Entry	Exit on session close
1/5/2018 16:00	Long Entry	Exit on session close
1/8/2018 14:30	Long Entry	Exit on session close
1/8/2018 16:45	Long Entry	Exit on session close

That is from trades.
Now i'm using:
if (Time[0] >= sessionIterator.ActualSessionEnd.AddSeconds(-ExitOnSessionCloseSeconds) && Time[0] <= sessionIterator.ActualSessionEnd)
So i want to get (emulate) the same as trade does, and i'm not getting even close.

Questions:
How i can tap to the same trigger/event as trades are?
How exit can be in "random" time?

--PNF

[NinjaTrader_Kate]

Hello PageNotFound404,

Thank you for your post.

ExitOnSessionCloseSeconds is a real-time only property, it will not have any effect on your ExitOnSessionClose time in backtesting processing historical data. However, the times look odd that you're getting for the Exit on Session Close orders. I unfortunately can't get tick data back that far, can you reproduce similar results over the last few days?

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

[PageNotFound404]

Kate W,

Well... and to avoid any questions: EntriesPerDirection = 1;

8/3/2022 14:30	Long Entry	Exit on session close
8/3/2022 16:05	Short Entry	Exit on session close

And still question is: outside the code i already posted, is there any way to tap to event?

--PNF

[NinjaTrader_Kate]

Hello PageNotFound404,

Thank you for your reply.

Can you reproduce similar results with the built in Sample MA Crossover over the same time period (the last few days)?

What time zone are you located in?

Is Break at EOD checked for the data series?

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

[PageNotFound404]

Hi,
I'm EST, my time on PC is EST, i do not have any other specific changes.
Is Break at EOD checked for the data series? - indeed.
you can do same - select w/e strategy, select ES09-22 select tick and say 15970. I have nothing specific on my PC or install.

8/3/2022 16:05	Buy	Exit on session close
8/4/2022 13:17	Sell short	Close position
8/4/2022 16:09	Buy	Exit on session close
8/5/2022 10:16	Sell short	Close position
8/5/2022 11:45	Buy	Close position
8/5/2022 13:46	Sell short	Close position
8/5/2022 15:22	Buy	Exit on session close

15:22? Interesting

Item	Value
Strategy parameters
Fast	10
Slow	25
Data Series
Start date	7/1/2019
End date	8/20/2022
Price based on	Last
Type	Tick
Value	15970
Tick Replay	False
Trading hours	CME US Index Futures ETH
Break at EOD	False
Setup
Include commission	False
Label	Sample MA crossover
Maximum bars look back	256
Bars required to trade	20
Historical fill processing
Order fill resolution	Standard (Fastest)
Fill limit orders on touch	False
Slippage	0
Order handling
Entries per direction	1
Entry handling	All entries
Exit on session close	True
Order properties
Set order quantity	Strategy
Time in force	GTC

--PNF

[NinjaTrader_Kate]

Hello PageNotFound404,

Thank you for your reply.

In your last post it appears Break At EOD is false. This will need to be set to true (Checked) in order for the bars to end and begin at the correct times - otherwise, the bars will overlap session ending times. Because the Strategy Analyzer uses historical data, and all that is known is the OHLC of the bar, this will cause your Exit at Session Close exits to appear at seemingly random times.

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