BarsSinceNewTradingDays in differs: kinetick End of Day free vs Simulated Data Feed

[kittyan]

Hello Ninjas,

i am backtesting EURUSD for 20+ years based on 1 hour multi charts (BID, ASK, different time periods, etc).

I see that BarsArray[0].BarsSinceNewTradingDay differs if I use kinetick free end of day connection and differs if i use Simulated Data Feed.

I use Tickstory tick data for creating bars/charts.

I see that on 60 minute chart the difference between the two connection's BarsSinceNewTradingDays is 13.

The BarsSinceNewTradingDays equals 0 at the first bar of session with connection Kinetick - I think it is OK.
The BarsSinceNewTradingDays equals 13 at the first bar of session with connection Simulated Data Feed - I thing it is not really OK.

Is this intended or some sort of bug?

Break at end of Day is checked at all data seiries.

regards
Kittyan

[NinjaTrader_ChelseaB]

Hello Kittyan,

The Kinetick End Of Day Free connection provides historical day data only and does not provide real-time or intra-day data.
On daily bars each bar is a new trading day. BarsSinceNewTradingDay will always be 0 as each bar is the new trading day.

The Simulated Data Feed provides fake, self-generated, real-time data and allows you to control the trend direction of the market. This does not provide historical data.
BarsSinceNewTradingDay on an intra-day bar will be the number of bars since the new trading day started.

[kittyan]

Hello NinjaTrader_ChelseaB,



Thanks for your answer.



Your answer in blue and my reAnswers in red:

The Kinetick End Of Day Free connection provides historical day data only and does not provide real-time or intra-day data. - It is ok, i did not ask this.

On daily bars each bar is a new trading day. BarsSinceNewTradingDay will always be 0 as each bar is the new trading day. - It is ok, i did not ask this even.

The Simulated Data Feed provides fake, self-generated, real-time data and allows you to control the trend direction of the market. This does not provide historical data. It is ok, i did not ask this even even.

BarsSinceEntryExecution on an intra-day bar will be the number of bars since the new trading day started. It is ok, i did not ask anything about BarsSinceEntryExecution even even even.




Maybe I was too complicated, let me try once again, in a more simple way:

When i run strategy on historical data while connected to simulated data feed the BarsArray[0].BarsSinceNewTradingDay gives bad/wrong information.

When i run the same strategy on same historical data while connected to Kinetick End Of Day Free the BarsArray[0].BarsSinceNewTradingDay gives good information.

Everything else is the same: the same historical data, same strategy, same chart settings, etc...

I was just trying to help make your software better and was a bit curious about the way your software works.


Thanks for your effort
Kittyan

[NinjaTrader_ChelseaB]

Hello Kittyan,

Your thread title is "BarsSinceNewTradingDays in differs: kinetick End of Day free vs Simulated Data Feed".

Then you state:

"The BarsSinceNewTradingDays equals 0 at the first bar of session with connection Kinetick - I think it is OK."

This is expected. The Kinetick End of Day only provides Daily historical data. So Day bars. With Day bars (on any connection) BarsSinceNewTradingDays will always be 0.

"The BarsSinceNewTradingDays equals 13 at the first bar of session with connection Simulated Data Feed - I thing it is not really OK."

I mispoke here.
"BarsSinceEntryExecution on an intra-day bar will be the number of bars since the new trading day started."
Should say:
"BarsSinceNewTradingDay on an intra-day bar will be the number of bars since the new trading day started."

The simulated data feed does not provide historical data. The chart starts building at the current time which may not be the first bar of the session.

If historical data is loading this is cached, and still might not be the first bar of the session.

Can you provide output to clarify the issue?

Add a SessionIterator, call GetNextSession(Time[0]).

Print the time of the bar, print the SessionIterator.ActualSessionBegin, print Bars.IsFirstBarOfSession, and print BarsSinceNewTradingDay().

Save the output to a text file and include this with your next post.