NT8 B6 - Playback-MR - each contract is now running previous tick replay?

[sledge]

I'm not sure what is going on entirely ---probably doesn't matter..but something is now different that I would not have expected...

I'm running PB-MR from NT8 ES 03-14(post Zenfire meltdown) to current...


It appears for each contract start - there is some replay happening with "Days to Load=5"... so I see in my output window that every contract is loading data from 01-15-2014 to 01-19-2015...

I'm not saying this is "BAD"... I don't have data so I'm catching the data file not found exception.... but this is definitely different than B5... where each new contract would not tick replay from years ago. I do have concern is there was replay for xxx days - that jan 2014 would be in the results FOR EVERY CONTRACT...

This will take more testing to prove out ... but I raise alarm now.

[NinjaTrader_MichaelM]

Hello sledge,

Could you please let me know what code you are using to output this information to the Output window?

Thank you in advance.

[sledge]

Hello sledge,

Could you please let me know what code you are using to output this information to the Output window?

Thank you in advance.

I maybe incorrect in calling it tick replay - maybe more so some sort of historical replay.
Days to load is set to 5.

I looked in the output log and between every contract - my strategy has an indicator attached with loads in an dated file that I have stored.

It keeps trying to load in data from the very start of my Playback-MarketReplay. These files don't exist, hence the fail... but not sure why were are loading historical data from 5 days before the start of my replay on each contract switchover.

I hope this makes sense.

Here is ES06-15 to ES09-15 switchover in my B5 (B6 is the same).

I don't think NT7 does this. I'll have to double check.

(I shorted the missing file error message, and I had 2 similar strategies with the indicator - hence it showing up 2x).

Opening: C:\Users\someuser\Documents\somefile\2015-06-12-somefile.txt
Opening: C:\Users\someuser\Documents\somefile\2015-06-12-somefile.txt
Opening: C:\Users\someuser\Documents\somefile\[B]2015-06-12[/B]-somefile.txt
IOException File Read Error System.IO.FileNotFoundException: Could not find file 'C:\Users\someuser\Documents\somefile\[B]2014-01-15[/B]-somefile.txt'.
File name: 'C:\Users\someuser\Documents\somefile\[B]2014-01-15[/B]-somefile.txt'
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)

IOException File Read Error System.IO.FileNotFoundException: Could not find file 'C:\Users\someuser\Documents\somefile\[B]2014-01-16[/B]-somefile.txt'.
File name: 'C:\Users\someuser\Documents\somefile\[B]2014-01-16-[/B]somefile.txt'
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)

IOException File Read Error System.IO.FileNotFoundException: Could not find file 'C:\Users\someuser\Documents\somefile\[B]2014-01-17[/B]-somefile.txt'.
File name: 'C:\Users\someuser\Documents\somefile\[B]2014-01-17[/B]-somefile.txt'
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)

IOException File Read Error System.IO.FileNotFoundException: Could not find file 'C:\Users\someuser\Documents\somefile\2014-01-15-somefile.txt'.
File name: 'C:\Users\someuser\Documents\somefile\[B]2014-01-15[/B]-somefile.txt'
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)

IOException File Read Error System.IO.FileNotFoundException: Could not find file 'C:\Users\someuser\Documents\somefile\[B]2014-01-16[/B]-somefile.txt'.
File name: 'C:\Users\someuser\Documents\somefile\[B]2014-01-16[/B]-somefile.txt'
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)

IOException File Read Error System.IO.FileNotFoundException: Could not find file 'C:\Users\someuser\Documents\somefile\[B]2014-01-17[/B]-somefile.txt'.
File name: 'C:\Users\someuser\Documents\somefile\[B]2014-01-17[/B]-somefile.txt'
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)

Opening: C:\Users\someuser\Documents\somefile\[B]2015-06-15-[/B]somefile.txt
Opening: C:\Users\someuser\Documents\somefile\2015-06-15-somefile.txt
Opening: C:\Users\someuser\Documents\somefile\2015-06-15-somefile.txt

[NinjaTrader_ZacharyG]

Hello sledge,

Can you please provide a sample script file that can reproduce this behavior so we may investigate further?

[sledge]

Hello sledge,

Can you please provide a sample script file that can reproduce this behavior so we may investigate further?

One thing I did notice last night - is that my NT8B6 system without any historical data doesn't have this issue.

I should be able to convert something to show the issue. I also want to test NT7.

[NinjaTrader_ZacharyG]

Hello sledge,

Thank you for the additional information.

I look forward to assisting further.

[sledge]

Hello sledge,

Can you please provide a sample script file that can reproduce this behavior so we may investigate further?

Attached is an indicator and strategy.

I changed my replay date to another start period. I verified that 1) I had historical data - because it doesn't work without.

I understand that I have 5 days to load in my strategy startup... but 5 days to load should not be 5 days from start of replay - it would be 5 days from start of contract. (Remember, I'm generally starting from 1/20/2014, and for every contract to present the strategy loads from 5 days before 1/20/2014.... )

Add the strategy to ES 03-15 and ES 06-15. I put Playback-MR start on 03/09/2015.

IN BOLD is when the ES 06-15 contract starts - you can see the indicator is trying to load from start of replay 5 days before. This is what is INCORRECT.

Also note - yes, it is correct that both contracts are running at the same time - because I have data recorded for both at the same time (hence my code to eliminate duplicates). This is not an issue and expected.

I also attached to ES 09-15 and have shown again the start data load from 03/04/2015.

I do not remember ever seeing this in NT7.



Enabling NinjaScript strategy 'strategy_sample/54772282' : On starting a real-time strategy - StartBehavior=WaitUntilFlat EntryHandling=All entries EntriesPerDirection=1 StopTargetHandling=Per entry execution ErrorHandling=Stop strategy, cancel orders, close positions ExitOnSessionClose=True / triggering 30 seconds before close SetOrderQuantityBy=Strategy ConnectionLossHandling=Keep running DisconnectDelaySeconds=10 CancelEntriesOnStrategyDisable=False CancelExitsOnStrategyDisable=True Calculate=On each tick IsUnmanaged=False MaxRestarts=245 in 41 minutes
indy_sample has observed: ES 03-15 2015-03-04
indy_sample has observed: ES 03-15 2015-03-05
indy_sample has observed: ES 03-15 2015-03-06
indy_sample has observed: ES 03-15 2015-03-09
indy_sample has observed: ES 03-15 2015-03-10
indy_sample has observed: ES 03-15 2015-03-11
indy_sample has observed: ES 03-15 2015-03-12
strategy_sample has observed: ES 03-15 2015-03-12
indy_sample has observed: ES 03-15 2015-03-13
strategy_sample has observed: ES 03-15 2015-03-13
indy_sample has observed: ES 06-15 2015-03-04
indy_sample has observed: ES 06-15 2015-03-05
indy_sample has observed: ES 06-15 2015-03-06
indy_sample has observed: ES 06-15 2015-03-16
indy_sample has observed: ES 03-15 2015-03-16
strategy_sample has observed: ES 06-15 2015-03-16
indy_sample has observed: ES 06-15 2015-03-17
indy_sample has observed: ES 03-15 2015-03-17
....
indy_sample has observed: ES 06-15 2015-06-12
strategy_sample has observed: ES 06-15 2015-06-12
indy_sample has observed: ES 09-15 2015-03-04
indy_sample has observed: ES 09-15 2015-03-05
indy_sample has observed: ES 09-15 2015-03-06
indy_sample has observed: ES 06-15 2015-06-15
indy_sample has observed: ES 09-15 2015-06-15
strategy_sample has observed: ES 09-15 2015-06-15
indy_sample has observed: ES 09-15 2015-06-16
indy_sample has observed: ES 06-15 2015-06-16
strategy_sample has observed: ES 09-15 2015-06-16

[NinjaTrader_ZacharyG]

Hello sledge,

Thank you for your files.

I will be investigating further and will return with my findings.

[NinjaTrader_ZacharyG]

Hello sledge,

I am unable to reproduce this on my end with the sample script you have provided me.

For example, enabling the strategy on 12/4 on ES 12-15 and starting the playback, what is outputted is below:

indy_sample has observed: ES 12-15 2015-11-30
indy_sample has observed: ES 12-15 2015-12-01
indy_sample has observed: ES 12-15 2015-12-02
indy_sample has observed: ES 12-15 2015-12-03

Can you please provide specific steps I can use to reproduce? Does this occur on Beta 7 as well?

[sledge]

Hello sledge,

I am unable to reproduce this on my end with the sample script you have provided me.

For example, enabling the strategy on 12/4 on ES 12-15 and starting the playback, what is outputted is below:

indy_sample has observed: ES 12-15 2015-11-30
indy_sample has observed: ES 12-15 2015-12-01
indy_sample has observed: ES 12-15 2015-12-02
indy_sample has observed: ES 12-15 2015-12-03

Can you please provide specific steps I can use to reproduce? Does this occur on Beta 7 as well?

This still happens in Beta9.

Even all of my tabbed charts, show Jan 20 2014 data to start.

I do see error messages in Beta9 with regards to each contract startup and perhaps an attempt to squash it?

2016-03-04 01:43:04:271 Data.BarsSeries.Compress1: data for 'ES 12-15/Second/Last' at 09/13/2015 18:00:15 exceeds time gap maximum. FirstTime=01/20/2014 23:54:30
2016-03-04 01:43:04:275 Data.BarsSeries.Compress1: data for 'ES 12-15/Second/Last' at 09/13/2015 18:00:30 exceeds time gap maximum. FirstTime=01/20/2014 23:53:00
2016-03-04 01:43:04:282 Data.BarsSeries.Compress1: data for 'ES 12-15/Second/Last' at 09/13/2015 18:01:00 exceeds time gap maximum. FirstTime=01/20/2014 23:53:00
2016-03-04 01:43:04:287 Data.BarsSeries.Compress1: data for 'ES 12-15/Second/Last' at 09/13/2015 18:01:30 exceeds time gap maximum. FirstTime=01/20/2014 23:53:00
2016-03-04 01:43:04:295 Data.BarsSeries.Compress1: data for 'ES 12-15/Second/Last' at 09/13/2015 18:02:00 exceeds time gap maximum. FirstTime=01/20/2014 23:53:00

[NinjaTrader_ZacharyG]

Hello sledge,

Can you please provide specific steps I can follow so I may attempt to reproduce this on my end?