Entering too late

[MasterSepp]

I programmed a strategy, which calculated on a bar close, if there should be entered a position or not. If so, it enters on the open of the next bar. When I'm backtesting the strategy, everything works without any problems. Now I tested the strategy in realtime. The problem here is, that the strategy doens't enter always on the open of the next bar, but later anywhere. This ruins my whole performance I had while backtesting it with historical data. Is it possible, that this is caused, because the computer needs too long to calculate, whether there is an order or not? I've set "Calculate on bar close" to true.
Can you help me?

Regards,

Sepp

[NinjaTrader_Bertrand]

Hi Sepp, correct in backtesting this is expected, the trade entry occurs on bar after the your conditions have evaluated to true.

In realtime testing there can of course be differences as you're now dealing with live fills and dynamic bid / ask rows at your price points - which order types are you using in the strategy?

Please also review this link here, it summarizes expected discrepancies when comparing backtests and realtime results - http://www.ninjatrader-support.com/H...sBacktest.html

[MasterSepp]

That's the problem - I'm only using "EnterLong()". No Limit, nothing. So it should enter right when the new bar is opened. But why doesn't it do that?

Sepp

[NinjaTrader_Bertrand]

You would also see the spread factored in, as with a market order you buy the 'ask' when entering long...please post a screenshot of the behavior you see.

[MasterSepp]

Ok, you're right, I forgot about the spread. I guess this is it, because the entry price is always around 1 tick offset, which has to be the spread.
I'm wondering, if there is a command to set an buy/sell order with the limit price at the level, on which the first contract of the new bar was traded. So, assuming, the close of the old bar was 9925 and first trade of the new bar sets the open to 9926, is there any possibility to enter a buy order at 9926? I hope, you could follow me.

Regards,

Sepp

[NinjaTrader_Bertrand]

Sure, just place a Limit order at this price level then - http://www.ninjatrader-support.com/H...LongLimit.html

You would need to be aware that per default when you're in the wizard those orders would expire and the end of the bar, so either resubmit them on the next bar, or unlock the code and set those to 'liveUntilCancelled'.

http://www.ninjatrader-support.com/HelpGuideV6/Overview36.html

[MasterSepp]

No, I don't think you understand properly. Imagine it's the close of the current bar. Now I want to enter a position on the open of the next bar. The order gets submitted now, I don't know yet what the open price of the next bar will be. Is there now a possibility to set an limit order with price set to the first price traded in the new bar?
I'm thinking of something like EnterLongLimit(FirstTickofnextbar). You know what I mean? I hope you could follow properly.

Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

NinjaTrader does not let you peak into the future. You will not be able to submit an order at a future price. You only have the price information available to you as of the instant in time of when you submitted your order.

[MasterSepp]

Yes, I know that.
While looking through your online help, there is an example with EnterLongLimit(GetCurrentBid()). I was wondering if this also would go with something like EnterLongLimit(GetCurrentPrice()). Doing this on the close of an old bar would generate a new order with the price on the same level, which would (hopefully) be what I want. Is there anything like this?

Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

No. That is not how it works. Right as you submit the order, there is NO future prices. There is no, going forward to a different price. Once your code goes EnterLongLimit(), only the current price information is available. There is nothing going forward since your order is already submitted.

[MasterSepp]

Ok, but what about the GetCurrentPrice? There is GetCurrentBid and GetCurrentAsk, but I didn't found any GetCurrentPrice? Or GetLastPrice? Is there anything like this?

Regards,

Sepp

[NinjaTrader_JoshP]

Close[0] is the current price. When you are running with CalculateOnBarClose = false, the close price of the a building bar is the last traded price of the instrument.

[MasterSepp]

Hmm, I know, that NT can't look into the future regarding limit order prices, but I was thinking on something like that: at the close of this bar, the strategy checks, if a new position should be opened. If so, it "waits" until the first trade of the new bar was made. Then it sets a limit order at this first traded price. As a command, I thought of something like EnterLongLimit(FirstTickofBar), but it shall work with a strategy which sets "Calculate on bar close" to true. Is there anything like this? I don't think that this is something like looking in the future, because it sets the order at the first traded price, no matter how high it is. Is this possible?

Regards,

Sepp

[NinjaTrader_Bertrand]

Just leave the strategy running with updating on each tick (CalculateOnBarClose set to false then) and place your trade entry conditions in

 
if (FirstTickOfBar)
{ 
do 'on bar close' calcs, taking into account to reference one bar back further
}

This will allow you to act on the opening tick of the new bar, of course only in realtime trading, as in backtesting the tick formation is not known.

Thus to simulate intrabar fills, this concept needs to be worked in -

http://www.ninjatrader-support2.com/vb/showthread.php?t=6652

[MasterSepp]

Thank you, I will try this tomorrow.
I now have two other questions:

1.) Today, there was a EnterLongLimit() order on, let's say, 9950, which should be filled during the next bar. Although the low (even the open) of the next bar was at 9951, the order got filled. Why did this happen? Why did the order get filled on a price other then the one, which I wanted?

2.) I've run the strategy both, realtime and backtesting. It worked very well, but there is one quite big problem. The profit target in the realtime version didn't get filled always, but only if the profit target was at the high/low of the next bar, where it got filled in the backtest. I've set both strategies (in realtime and historical) with the algorithm to true, which means, that the order gets filled, if the price touches the price of the order. Although this was in fact like this, the order didn't get filled at all. Do you have an explanation for this?

Regards,

Sepp