Backtesting and orders execution timezone

[sguzen]

Hello,

I have issues finding why my strategy doesn't execute orders during certain times.

NT is set to UTC-6 currently, I am testing NQ. The times on the chars are correct, the execution times are correct as well (as written in the anayzer window) but trades that are after 17:00 my local time (this being 9am CME time) are not executed. I can see while debugging that a call is send to EnterShortLimit/EnterLongLimit but there is no execution.

I have changed my PC settings as well, redownloaded the historical data but nothing. I can see while debugging correct timestamps, the orders are sent for execution but are not executed.

I am missing something, any help is appreciated.

Below is a screenshot, the arrow shows where the trade should have happened and I saw it sent to EnterShortLimit. However the timestamp is 9am CME which is 1700 my local time and there is no execution

[QuantKey_Bruce]

If you right click on the chart and pull up the strategy performance report and go to the orders section, do you see your order and was it canceled or rejected?

[sguzen]

If you right click on the chart and pull up the strategy performance report and go to the orders section, do you see your order and was it canceled or rejected?

I see cancelled

Also playing around now I realised that if I use EnterShort/EnterLong I have orders executing at those times but limit orders don't work

[QuantKey_Bruce]

If a limit order doesn't work at the position of the arrow you are trying to enter at a price that is not reached. Limit orders only execute if price retraces back to your limit price, and it sounds like in your case it does not. It might look visually like it does but if you are placing the order intrabar, you may not realize that the bar where it was placed, while price was there, it was there earlier than when you placed it. If you want to be certain of an entry, use a market order, or if you choose to use a limit order to get a better fill price, understand that you will not always get in.

[sguzen]

If a limit order doesn't work at the position of the arrow you are trying to enter at a price that is not reached. Limit orders only execute if price retraces back to your limit price, and it sounds like in your case it does not. It might look visually like it does but if you are placing the order intrabar, you may not realize that the bar where it was placed, while price was there, it was there earlier than when you placed it. If you want to be certain of an entry, use a market order, or if you choose to use a limit order to get a better fill price, understand that you will not always get in.

But price did retrace to my limit price. And this happens every day of the backtested period. I just showed a clear example

[QuantKey_Bruce]

We don't have enough information to interpret from the screenshot if the limit order would have been filled from your drawing. Is Calculate set to Calculate.OnBarClose or something else? If it's OnEachTick or OnPriceChange are you repeating the entry order each time? If not and these are managed orders, it would be canceled on the next tick intrabar. If it's OnBarClose you should consider adding a Draw.ArrowDown there on the chart at the same bar where you place the order, and put the arrow at the right bar number and at the order price so you can see this more clearly. If you are not using the simple managed order entry methods are they DAY or GTC? DAY orders would be canceled at the end of the session, which depending on your trading hours, could be a concern.

[sguzen]

We don't have enough information to interpret from the screenshot if the limit order would have been filled from your drawing. Is Calculate set to Calculate.OnBarClose or something else? If it's OnEachTick or OnPriceChange are you repeating the entry order each time? If not and these are managed orders, it would be canceled on the next tick intrabar. If it's OnBarClose you should consider adding a Draw.ArrowDown there on the chart at the same bar where you place the order, and put the arrow at the right bar number and at the order price so you can see this more clearly. If you are not using the simple managed order entry methods are they DAY or GTC? DAY orders would be canceled at the end of the session, which depending on your trading hours, could be a concern.

Thank you for the answer.
I use OnBarClose.
The rectangle on my chart indicates the candle the validates my setup, so at that candle I have a limit order set.
I tried DAY and GTC orders (GTC being default). This exactly is my concern - the orders get cancelled after 17:00 my local time, despite that being 9am CME time.

[QuantKey_Bruce]

Okay, but if you don't repeat the limit order on the next bar, the following bar from your rectangle never comes back to that price, so it would not fill and would cancel at the end of the bar, and on the subsequent bars that do come back to that price, if you are not repeating the order, how would it fill there? If these are managed orders, you need to specify whether you are repeating the order each subsequent bar. If you are not, that is the answer - you're not asking for the order again so it is canceled at the end of the next bar.

[sguzen]

Okay, but if you don't repeat the limit order on the next bar, the following bar from your rectangle never comes back to that price, so it would not fill and would cancel at the end of the bar, and on the subsequent bars that do come back to that price, if you are not repeating the order, how would it fill there? If these are managed orders, you need to specify whether you are repeating the order each subsequent bar. If you are not, that is the answer - you're not asking for the order again so it is canceled at the end of the next bar.

Oh I see now, I didn't know the orders actually expire on the next bar. Thank you, will dig in the documentation to find out more about this.

Thanks

[sguzen]

Okay, but if you don't repeat the limit order on the next bar, the following bar from your rectangle never comes back to that price, so it would not fill and would cancel at the end of the bar, and on the subsequent bars that do come back to that price, if you are not repeating the order, how would it fill there? If these are managed orders, you need to specify whether you are repeating the order each subsequent bar. If you are not, that is the answer - you're not asking for the order again so it is canceled at the end of the next bar.

Perfect, thank you so much!
isLiveUntilCancelled did the trick!

[QuantKey_Bruce]

You're welcome.