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Bug in MultiTimeFrame Strategies OrderStates Events?

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    Bug in MultiTimeFrame Strategies OrderStates Events?

    Hello,

    When using the OnOrderUpdate within a strategy and looking at the order states... there seems to be a critical bug when using e.g. OrderState.Submitted on backtesting...

    If I am placing an order on another DataSeries (I am using a tick data series for order entry) and following the states in OnOrderUpdate via Print. The Submitted event occurs several hours later (e.g. EnterLong at 12:00:00 and the submitted is tracked 22:15:00!?)?

    I don't have the time to put up a sample yet, but I think it should be reproducable when using a second AddDataSeries (on tick base) and doing the order entries on this series. Then just track or print the order states in the OnOrderUpdate event via the "time" object...

    Hope this can get fixed within the next release, as it prevents me from backtesting NT7 strategies.

    Kind regards,
    Oliver

    #2
    Hello Lord Devil,

    Thank you for your post.

    What is your primary period type? Does it vary on Day and Minute on your end?
    In NinjaTrader 8 you can use High Fill Resolution instead of adding a secondary series. Can you try this and advise if the behavior is the same in your use case?
    Order Fill Resolution: http://ninjatrader.com/support/helpG...ical_fill_.htm
    Patrick H.NinjaTrader Customer Service

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      #3
      Hello and thanks for your quick reply,

      well my primary bar type is a Custom Renko Chart (ninZaRenko) and I am also using this type on 2 different settings (so multi-series). In this case I guess I am not able to use a high resolution fill. So I used the same approach as with NT7 -> adding another tick chart series and placing the orders there.

      In NT7 this worked like a charm by simply using two different renko charts for analysis and entry calculation and the tick chart for order entry.
      Last edited by Lord Devil; 10-06-2016, 02:27 AM.

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        #4
        Based on your description of the issue, I believe the behavior ties into an issue that was recently identified and the scenarios we're aware of are fixed under the following scheduled in RC2:

        Fixed
        10381
        NinjaScript, Strategy
        Incorrect execution time on strategies due to multi time frame processing

        Please do let us know after this release if you still experience issues. We would likely an exact test case if the above fix did not address your scenario.
        MatthewNinjaTrader Product Management

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          #5
          Sounds great, thanks a lot and waiting for RC2.

          Comment

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