Strategy historical closes at random price. NT bug or mine?

[NinjaTrader_Gaby]

Hello DarkWehler,

If you are using Calculate.OnBarClose, only intrabar granularity is necessary. Make sure the orders are actually being submitted to the 1-tick series, this sample script demonstrates:

https://ninjatrader.com/support/helpguides/nt8/backtesting_ninjascript_strate.htm

If you are still seeing unexpected behavior in historical after properly implementing intrabar granularity you'll need to debug the script using prints and TraceOrders.

[DerkWehler]

If you are still seeing unexpected behavior in historical after properly implementing intrabar granularity you'll need to debug the script using prints and TraceOrders.

I was having a number of issues (on historical) with my move-to-breakeven code. I finally decided that it must be something to do with order handling being in it's own thread. So I moved the breakeven code from BIP=1 (ticks) to OnExecutionUpdate(), when I see that the first target has been hit. That seems to have fixed many of them, but I still see anomalies like this, where it's moved to BE - 3 (I have it set to move to breakeven + 1):



I have a lot of logging in the program, and from the log, I have

#000 - NQ 12-24 - [OnExecutionUpdate] - 03-Oct-24 20:10:00 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
Name = TP1, IsEntryStrategy = False, OrderAction = Sell, marketPosition = Short, quantity = 1, Position.Quantity = 1, price = 20032.5
m = 1, Ave Price = 20025.5, set new SL to be 20025.75

So here, OnExecutionUpdate is called when TP1 closes half the position. It's a long market position, but it's reporting Short/Sell because it's TP1, which is a Sell Limit. It checks the TP1 name, and correctly calculates the price where to move the stoploss.


#000 - NQ 12-24 - [ModifyStopLoss] - 03-Oct-24 20:10:00 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
Moving SL for 1 contract(s) to new price @ 20025.75 (BreakEven)

My ModifyStopLoss method is setting it to this correct price.


#000 - NQ 12-24 - [OnOrderUpdate] - 03-Oct-24 20:10:00 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
order.Name = SL2; Setting slOrder2, price = 20025.75

OnOrderUpdate gets the notification that is has been set to the correct price.


#000 - NQ 12-24 - [OnExecutionUpdate] - 03-Oct-24 20:16:00 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
Name = SL2, IsEntryStrategy = False, OrderAction = Sell, marketPosition = Short, quantity = 1, Position.Quantity = 0, price = 20024.75
Position.Quantity == 0; cancelling stops

But then, when OnExecutionUpdate is called, it has the price off by $1.

Is this a NT bug? I cannot see any reason why it would change between OnOrderUpdate and OnExecutionUpdate.