Exit On Session Close

[NJA_MC]

Here is a strange one. I had a strategy that was running live today on the ES 03-16 as shown. The data, other than the last Exit on Session Close was historical data (didn't open the chart until mid-day).

What happened was with the 30 Seconds Exit On Session Close, I didn't get a close until 5 Mins after the session break. The close was at 1936.50 @ 6:05PM rather than something closer to 1933 before 5:00PM (4:59:30PM would have been expected.

With some luck this is a bug only because the Entry was Historical...

[NinjaTrader_PaulH]

Hello NJA_MC,

Thanks for your post.

I tried replicating using the SampleMACrossover strategy on the 5 minute ES 03-16 and was not able to reproduce the issue. Every exit on close occurs as expected in the period you show on your example.

Are you able to replicate the issue with your strategy?

If so can you try using the sampleMACrossover?

Have you verified that your PC clock is sync'd?

[NJA_MC]

Hello NJA_MC,

Thanks for your post.

I tried replicating using the SampleMACrossover strategy on the 5 minute ES 03-16 and was not able to reproduce the issue. Every exit on close occurs as expected in the period you show on your example.

Are you able to replicate the issue with your strategy?

If so can you try using the sampleMACrossover?

Have you verified that your PC clock is sync'd?

I will try to run it again as I cannot test until the Session close on Monday. I am wondering how you tested this as it needs to be historical Entry and then a switch to real time. This didn't happen under playback or historical data.

[NinjaTrader_PaulH]

Hello NJA_MC,

Thanks for your reply.

Yes, I did misread and thought that your last exitonclose was also historical.

I've gone back and retested by modifying the end of session hours for today and have been testing with a strategy that enters one order a few bars after the beginning of the session and no exits so that I have a historic order that will be closed on the session exit.

What my testing is showing so far is that if I use Calculate.OnBarClose that it does not function as expected. If I use with of the other two (OnEachTick, OnPriceChange) that they do indeed exit at the time specified.

My expectation is that ExitOnClose would operate regardless of the calculate mode. I will submit a bug report on this and update this thread when I have further information