OHLC data in backtesting is different than in real time

[-kman-]

Hello,

I'm using the following code:

  protected override void OnBarUpdate()
        {
            if (CurrentBar < 0) return;

                if (BarsInProgress == 0)
                {
                    if (IsFirstTickOfBar)
                    {​
                          Print( Open[0] + High[0] + Low[0]  + Close[0])
                    }

When looking at the output in history, I see that the OHLC data is from the previous bar. ie. on m1, if this is executing on the first tick of the 11:10 bar, then OHLC data is from the 11:09 bar.

However, when looking at output live the platform gives me the same value for everything - presumably the first tick of the 11:10 bar.

How can I harmonize this? Historical acts precisely as I want it. But if I use Open[1] for historical I would get the data from the 11:08 bar and my strategy is one bar late all the time.

Thanks in advance!

[NinjaTrader_ChelseaB]

Hello -kman-,

Welcome to the NinjaTrader forums!

When Calculate is OnEachTick, TickReplay has to be enabled for this to work in historical data.

May I confirm TickReplay is enabled?

Below are links to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/tick_replay.htm

https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm

[-kman-]

Hello,

Thanks for the quick answer - let me try that. While it's loading, I did have another question: My strategy doesn't actually need to calculate on every tick - just once per bar, so I could use calculate on close.

If I do this, does my OnBarUpdate get called on the first tick of the next bar, thus harmonizing the behavior, and will this also carry over to realtime? ie. Suppose that I calculate on bar close and want to GoLong if the closed bar was green...is it this:

if (Close[0] > Open[0])
GoLong(...)

Or this....?

if (Close[1] > Open[1])
GoLong(...)

And in general, is there documentation that outlines how all this works?

Thanks again!

[NinjaTrader_ChelseaB]

Hello -kman-,

When Calculate is OnBarClose the updating bar, [0] barsAgo, is the previous bar that has fully closed and not the currently building bar.
When Calculate is OnEachTick the updating bar, [0] barsAgo, is the currently building bar. The most recently fully closed bar would be [1] bar ago.

Below is a link to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/index.html?multi-time_frame__instruments.htm#HowBarsDataIsReferenced

[-kman-]

Ah - ok. I think I understand.

Can I work around this inconsistency by subscribing to a lower timeframe, like 1 second?

If I was on m1, it should call my code with BarsInProgress == 0 once, then sixty times with BarsInProgress ==1?

Could I use calculate on bar close then? Or would I still need to use tick replay?

Thanks!

[NinjaTrader_ChelseaB]

Hello -kman-,

You can add a 1 second series and use Calculate.OnBarClose if you would like.

Below is a link to AddDataSeries().
https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm
https://ninjatrader.com/support/helpGuides/nt8/barsinprogress.htm

[-kman-]

Hi again Chelsea,

Ninjascript exposes a state == State.Historical. Can I use this to calculate offset to normalize the numbers?

ie:

else if (State == State.Historical)
            {
                this.Offset = -1;
            }else if (State == State.Realtime)
            {
                this.Offset = 0;
            }​

Then whenever I access a bar I do:

Close[1 + this.Offset]

That seems to work the way I think it should? Or do I need to be careful of any threading issues?

[NinjaTrader_ChelseaB]

Hello -kman-,

You could choose to do this.. The results will not match real-time unless TickReplay is enabled, but you can still choose that.

There will not be threading issues, as no other thread (such as the UI thread) is being accessed.