Strategy Doesn't Fire real-time Events

[NJA_MC]

After a lot of debugging, I found that my strategy was not working after State==Real-time. The Historical Data loaded and processed, but there were no "OnBarUpdate(), OnMarketDataUpdate(), OnMarketDepthUpdate()" events fired. This was very reproducible.

The issue was in the Strategy Settings "Historical Fill Processing". If I set Order Fill Resolution to High, Type = Tick, Value=1, Fill On touch = True, and Slippage=1, the real-time events didn't fire. once I set Order Fill resolution back to Standard, everything was fine.

I have not tried this on any other strategies as I wanted to get this bug to you ASAP.

[nientenickgraze]

Thank you NJAMC.

To the NT8 guys: could you handle this and put it into the BUG list to be fixed for BETA4 ?
I am sorry but I do not understand why a stretgy stops working if you ask it to fill perfectly the order even historically.

Thank you very much.
Cavallo Pazzo

[NinjaTrader_DaveI]

Thank you guys for bringing this to our attention. I am seeing similar behavior on my end. I am not seeing OnMarketData() and OnMarketDepth() triggered in State.Realtime when any High Order Fill Resolution settings are used, with or without "Fill Limit Orders on Touch," although OnBarUpdate() does still trigger.

I am going to research this further and make sure it is addressed on our end.

[NJA_MC]

Thank you guys for bringing this to our attention. I am seeing similar behavior on my end. I am not seeing OnMarketData() and OnMarketDepth() triggered in State.Realtime when any High Order Fill Resolution settings are used, with or without "Fill Limit Orders on Touch," although OnBarUpdate() does still trigger.

I am going to research this further and make sure it is addressed on our end.

Okay,

Strange because OnBarUpdate() didn't fire in real-time, just historical for me.

[NinjaTrader_DaveI]

You probably already checked this, but just to be certain, did you ensure to wait until the appropriate interval had passed? For example, if you were looking at a 60 minute chart, you would not see the OnBarUpdate() Print until the next 60 minute bar closed. This is with Calculate.OnBarClose, of course.

[NJA_MC]

Yes,

I think they were 1 Range bars... The strategy didn't send anything to OnBarUpdate() after the historical data was passed. I put some print statements in that function to watch for data, there was none.

[NinjaTrader_DaveI]

Okay, thanks. I wonder if the OnBarUpdate() issue relates specifically to Range bars then... I'm going to test a bit further as soon as I can, and I'll update you with my findings. In the meantime, our team has the report about this, and is currently looking into it.

[NinjaTrader_DaveI]

Hello,

I was not able to identify anything specifically with Range bars, but our team has fixed the issue that I was able to identify with OnMarketData() and OnMarketDepth(). Please keep this scenario in mind to test on the next release, Beta 4, and you should see expected results with the High order fill resolution, including the OnBarUpdate() calls. If you're still seeing otherwise at that time, please let me know, and we will dig back in to this one.