NT8B8- Trade Performance Results include phantom trade

[sledge]

Warning for anyone testing with multiple contracts.


NT8B8-Playback-M.R. (This also happens in NT8B6).

I went short 5 contracts and short 5 more contracts.

The fill appears to be proper on the chart for a total of 10 contracts. 2+2+2+2+1+1 = 10.
But there is a "lost contract", aka phantom trade, that doesn't fill for another week.

I've noticed these type of differences before - it was like $300, so I just wrote it off .. but these results after 1 week and over 100 points, come out to $6,212.50.

From what I can tell the strategy control center is correct at $21,800 and doesn't take into account the phantom trade.

In the Trade Performance - Executions($) - it shows me flat after the 10 total trades filled.

Now also of note - if the fill pattern is 5+5 = 10, the phantom trade does NOT show up.

I have 3 strategies that do this, and 3 that do not.

[sledge]

And the image of a good fill with no phantom trade:

[sledge]

reproduced with SampleMACrossover with modification

ES03-16 Playback-MR did not do it with this code.
ES12-15 Playback-MR did do it, and more than once.


Run it back on some ES contracts, I used a 10 range chart to keep NT8B8 from crashing.

If the Strategy Control Center != the Trade Performance results, the issue probably happened. Scroll back on the chart and look for green/red lines that appear to jump over other trades that would have closed something out.

[NinjaTrader_PaulH]

Hello Sledge,

Thanks for your posts.

Just to let you know I will be working on this and will update this thread when I have questions or need further information.

Thanks for your continued support and participation in the NinjaTrader 8 beta testing.

[NinjaTrader_PaulH]

Hello Sledge,

Thanks for your patience.

While running on market replay did you have any error messages either as a pop-up or in the log tab of the control center?

On the days of the missing trades, is your market replay data complete for that day?

Are you able to find a particular day or days where this consistently evidenced itself?

[sledge]

Hello Sledge,

Thanks for your patience.

While running on market replay did you have any error messages either as a pop-up or in the log tab of the control center?

On the days of the missing trades, is your market replay data complete for that day?

Are you able to find a particular day or days where this consistently evidenced itself?

As complete as can be. I know of no intra day interruptions within the last 1.5 years.

The trades aren't missing. NT is failing to close them out (even though it appears NT has), and then they get linked to another trade in the future, and end up in the trade performance there.

There were way more than a few in the post "reproduced with SampleMACrossover with modification".

It's in my main strategy in playback-market replay. Control Center shows $34k profits for ES03-16, while trade performance says $6k profit.

[NinjaTrader_PaulH]

Hello sledge,

Thanks for your reply.

I was asking if this could be found repeatedly on a particular day as I would prefer not to download 1.5 years of replay data! I'll try the week of December 14th as that is one of your screenshots.

[NinjaTrader_PaulH]

Hello sledge,

Can you clarify if you have tick replay enabled in the data series and if you are running the replay on "max"?

[sledge]

Hello sledge,

Can you clarify if you have tick replay enabled in the data series and if you are running the replay on "max"?

Tick replay is enabled, but I don't depend on it since I start at midnight.
And yes to max.

[sledge]

I ran my strategy at 1000x, same thing.

[sledge]

I ran each day independent. It shows the Trade performance for the connecting trade day (2nd) off by almost $4000.
The control Center is therefore off by 15k, as explained earlier, since it is counting the trade from 1/6 and adding it to the short total of all those points (4 contracts got by)

[NinjaTrader_PaulH]

Hello sledge,

Just to update, I am continuing to test and have not see the issue arise. I am using your strategy only and running at Max. I have downloaded and tested with most of December. I'll start with January and switch to ES 03-16. I will update this thread when I have further observations, questions or results to report.

[sledge]

I'll retest that 1 week in December and get replay files ready.

[sledge]

Hello sledge,

Just to update, I am continuing to test and have not see the issue arise. I am using your strategy only and running at Max. I have downloaded and tested with most of December. I'll start with January and switch to ES 03-16. I will update this thread when I have further observations, questions or results to report.

Paul, please try ES12-15, 9-17-2015 to 9-18-2015. Use of a 10 Range chart is also a must.




If your replay files do not do it, please tell me where to send my 2 days to.

They are roughly 42KB each.

[NinjaTrader_PaulH]

Hi Sledge,

Thanks for your reply.

I didn't get back to this until today. I tried to download the Ninjatrader 8 Market replay data for those dates but I was unable too. So for now please do send in your Market replay data to PatformSupport[at]NinjaTrader[dot]com. In the subvject line Atten Paul, Ticket# 1450717

Thanks for your patience.