Trying to force trades on 1Tick series with multiple dataseries

[markdshark]

So I'm having some weirdness happen. Main strategy runs on 5000 Tick chart. I've also added 1 tick dataseries to the strategy. The logic is dumbed down so I can see an entry and an exit where I would expect to see it on the charts in a test strategy.

Yet, entries and exits happen only on bar open/close (which I understand are the same) events on the main data series. Even though Ninjascript output appears to confirm entries are on second dataseries.

Caluclations are set to Calculate = Calculate.OnPriceChange and I've tried with different indicators as well and get the same behavior.

What I would expect to see is the entry/exit happening is the entry exit happening at random points along a bar instead of always at close/open. What am I missing?

edit: tried to format code and it made it even less readable - how do I format code correctly?
2nd edit: Removed "Code" tags and now the INDENT function is working properly and it's readable

protected override void OnStateChange()

{

if (State == State.SetDefaults)
{

Description = @"";
Name = "AZL";
Calculate = Calculate.OnPriceChange;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 1800;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.High;
OrderFillResolutionType = BarsPeriodType.Tick;
OrderFillResolutionValue = 1;
Slippage = 0;
StartBehavior = StartBehavior.ImmediatelySubmitSynchronizeAccount;
TimeInForce = TimeInForce.Gtc;
TraceOrders = true;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
IsInstantiatedOnEachOptimizationIteration = false;

}
else if (State == State.Configure)
{

AddDataSeries(Data.BarsPeriodType.Tick, 1); // Add a 1 Tick Bars object: BarsInProgress index = 1

}
else if (State == State.DataLoaded)
{

linRegLength = 3;
linReg = LinReg(linRegLength);

}

}

protected override void OnBarUpdate()
{

if (BarsInProgress != 0) return; //only apply logic to the main data series - commenting this out doesn't change behavior
if(BarsInProgress == 1) // 1 tick series
{

// This is never printed
Print(Time[0] + " on BIP = " + BarsInProgress + " | Close[0]: " + Close[0]);

}
// Enter Long
if (CrossAbove(linReg, ema, 1))
{

if (Position.MarketPosition == MarketPosition.Short)

ExitShort(1,1, @"SX", @"SE");

if (Position.MarketPosition == MarketPosition.Flat)

EnterLong(1,1, @"LE");

}

// Enter Short
if (CrossBelow(linReg, ema, 1))
{

if (Position.MarketPosition == MarketPosition.Long)

ExitLong(1,1, @"LX", @"LE");

if (Position.MarketPosition == MarketPosition.Flat)

EnterShort(1,1, @"SE");

}

[QuantKey_Bruce]

When you place the orders, either place them explicitly on series #0 by using the overload to the order placement functions that lets you specify which series it is for, or make them keep alive and cancel them yourself when you want them canceled - if you place the orders like you're doing on series which is a 1-tick series it's canceled on the next tick, when the next 1-tick bar comes (the bar after your order was placed, so your order is now expired), which is before you get a fill. The randomness you are experiencing is probably related to repeatedly placing and canceling these orders every tick which is probably not what you were trying to do.

[NinjaTrader_ChelseaB]

Hello markdshark,

"Yet, entries and exits happen only on bar open/close (which I understand are the same) events on the main data series."

The logic is running on the primary series.

if (BarsInProgress != 0) return; //only apply logic to the main data series - commenting this out doesn't change behavior

This means it only updates when the primary bar closes.

If you want to update intra-bar, enable TickReplay and use Calculate.OnEachTick or Calculate.OnBarClose.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

If you want to know why a strategy is behaving as it is, print the time of the bar and all values used in the condition with labels for each value and comparison operator.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/97575-sample-scripts#post786040

Provide the output saved to a text file for assistance with analyzing the output.