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BarsInProgress MTF - Replay vs Reload

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    BarsInProgress MTF - Replay vs Reload

    I am stuck trying to figure out why I am seeing a difference with a MTF system.

    The system works fine on replay when playing data back "Live", but when I "reload" the strategy with tick data already on the chart, I would expect the same series of "OnBarUpdate()" but that is not what I am getting.

    Here is a simple set of data when I start Replay on the CL dataset I have stored. (Added a print for CurrentBar & BIP to see bar sequence)
    Bars In Progress: 1 CurrentBar: 25 Time: 1/23/2012 1:18:00 AM OPEN: 98.01
    Bars In Progress: 1 CurrentBar: 26 Time: 1/23/2012 1:21:00 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 27 Time: 1/23/2012 1:24:00 AM OPEN: 97.96
    Bars In Progress: 1 CurrentBar: 28 Time: 1/23/2012 1:27:00 AM OPEN: 97.98
    Bars In Progress: 0 CurrentBar: 23 Time: 1/23/2012 1:28:08 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 29 Time: 1/23/2012 1:30:00 AM OPEN: 97.95
    Bars In Progress: 0 CurrentBar: 24 Time: 1/23/2012 1:31:47 AM OPEN: 97.97
    Bars In Progress: 0 CurrentBar: 25 Time: 1/23/2012 1:31:59 AM OPEN: 97.95
    Bars In Progress: 1 CurrentBar: 30 Time: 1/23/2012 1:33:00 AM OPEN: 97.93
    Bars In Progress: 0 CurrentBar: 26 Time: 1/23/2012 1:33:31 AM OPEN: 97.93
    Bars In Progress: 1 CurrentBar: 31 Time: 1/23/2012 1:36:00 AM OPEN: 97.9
    Bars In Progress: 0 CurrentBar: 27 Time: 1/23/2012 1:36:42 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 28 Time: 1/23/2012 1:37:52 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 29 Time: 1/23/2012 1:39:50 AM OPEN: 97.93
    Bars In Progress: 1 CurrentBar: 32 Time: 1/23/2012 1:39:00 AM OPEN: 97.93
    Bars In Progress: 0 CurrentBar: 30 Time: 1/23/2012 1:41:46 AM OPEN: 97.95
    Bars In Progress: 1 CurrentBar: 33 Time: 1/23/2012 1:42:00 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 34 Time: 1/23/2012 1:45:00 AM OPEN: 97.93
    Bars In Progress: 1 CurrentBar: 35 Time: 1/23/2012 1:48:00 AM OPEN: 97.94
    Bars In Progress: 0 CurrentBar: 31 Time: 1/23/2012 1:50:24 AM OPEN: 97.95
    Bars In Progress: 1 CurrentBar: 36 Time: 1/23/2012 1:51:00 AM OPEN: 97.96
    Bars In Progress: 1 CurrentBar: 37 Time: 1/23/2012 1:54:00 AM OPEN: 97.9
    Bars In Progress: 1 CurrentBar: 38 Time: 1/23/2012 1:57:00 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 32 Time: 1/23/2012 1:57:01 AM OPEN: 97.93
    Bars In Progress: 0 CurrentBar: 33 Time: 1/23/2012 1:58:14 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 34 Time: 1/23/2012 1:58:20 AM OPEN: 97.89
    Bars In Progress: 0 CurrentBar: 35 Time: 1/23/2012 1:58:43 AM OPEN: 97.87
    Bars In Progress: 0 CurrentBar: 36 Time: 1/23/2012 1:58:44 AM OPEN: 97.85
    Bars In Progress: 1 CurrentBar: 39 Time: 1/23/2012 2:00:00 AM OPEN: 97.9
    Bars In Progress: 0 CurrentBar: 37 Time: 1/23/2012 2:00:44 AM OPEN: 97.83
    Bars In Progress: 0 CurrentBar: 38 Time: 1/23/2012 2:02:12 AM OPEN: 97.81
    Bars In Progress: 1 CurrentBar: 40 Time: 1/23/2012 2:03:00 AM OPEN: 97.82
    Bars In Progress: 0 CurrentBar: 39 Time: 1/23/2012 2:03:26 AM OPEN: 97.79
    Bars In Progress: 0 CurrentBar: 40 Time: 1/23/2012 2:03:27 AM OPEN: 97.77
    Bars In Progress: 0 CurrentBar: 41 Time: 1/23/2012 2:03:27 AM OPEN: 97.75
    Bars In Progress: 0 CurrentBar: 42 Time: 1/23/2012 2:03:44 AM OPEN: 97.73
    Bars In Progress: 1 CurrentBar: 41 Time: 1/23/2012 2:06:00 AM OPEN: 97.75
    Bars In Progress: 0 CurrentBar: 43 Time: 1/23/2012 2:08:57 AM OPEN: 97.71
    Bars In Progress: 1 CurrentBar: 42 Time: 1/23/2012 2:09:00 AM OPEN: 97.69
    Bars In Progress: 0 CurrentBar: 44 Time: 1/23/2012 2:09:05 AM OPEN: 97.69
    Bars In Progress: 0 CurrentBar: 45 Time: 1/23/2012 2:09:06 AM OPEN: 97.67
    Bars In Progress: 0 CurrentBar: 46 Time: 1/23/2012 2:09:06 AM OPEN: 97.65
    Bars In Progress: 1 CurrentBar: 43 Time: 1/23/2012 2:12:00 AM OPEN: 97.66
    Bars In Progress: 0 CurrentBar: 47 Time: 1/23/2012 2:12:16 AM OPEN: 97.63
    Bars In Progress: 0 CurrentBar: 48 Time: 1/23/2012 2:12:16 AM OPEN: 97.63
    Bars In Progress: 0 CurrentBar: 49 Time: 1/23/2012 2:13:49 AM OPEN: 97.65
    Bars In Progress: 0 CurrentBar: 50 Time: 1/23/2012 2:13:59 AM OPEN: 97.67
    Bars In Progress: 0 CurrentBar: 51 Time: 1/23/2012 2:14:38 AM OPEN: 97.69
    Bars In Progress: 1 CurrentBar: 44 Time: 1/23/2012 2:15:00 AM OPEN: 97.61
    Bars In Progress: 0 CurrentBar: 52 Time: 1/23/2012 2:16:31 AM OPEN: 97.71
    Bars In Progress: 1 CurrentBar: 45 Time: 1/23/2012 2:18:00 AM OPEN: 97.75
    Bars In Progress: 0 CurrentBar: 53 Time: 1/23/2012 2:19:28 AM OPEN: 97.73
    Bars In Progress: 0 CurrentBar: 54 Time: 1/23/2012 2:19:47 AM OPEN: 97.75

    Continued to Next message for Reloaded version.

    #2
    Part2

    Here is the same data if after I paused and reloaded the data:
    Bars In Progress: 1 CurrentBar: 0 Time: 1/26/2012 5:00:00 PM OPEN: 98.01
    Bars In Progress: 0 CurrentBar: 22 Time: 1/23/2012 1:12:07 AM OPEN: 98.01
    Bars In Progress: 0 CurrentBar: 23 Time: 1/23/2012 1:28:08 AM OPEN: 97.99
    Bars In Progress: 0 CurrentBar: 24 Time: 1/23/2012 1:31:47 AM OPEN: 97.97
    Bars In Progress: 0 CurrentBar: 25 Time: 1/23/2012 1:31:59 AM OPEN: 97.95
    Bars In Progress: 0 CurrentBar: 26 Time: 1/23/2012 1:33:31 AM OPEN: 97.93
    Bars In Progress: 0 CurrentBar: 27 Time: 1/23/2012 1:36:42 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 28 Time: 1/23/2012 1:37:52 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 29 Time: 1/23/2012 1:39:50 AM OPEN: 97.93
    Bars In Progress: 0 CurrentBar: 30 Time: 1/23/2012 1:41:46 AM OPEN: 97.95
    Bars In Progress: 0 CurrentBar: 31 Time: 1/23/2012 1:50:24 AM OPEN: 97.95
    Bars In Progress: 0 CurrentBar: 32 Time: 1/23/2012 1:57:01 AM OPEN: 97.93
    Bars In Progress: 0 CurrentBar: 33 Time: 1/23/2012 1:58:14 AM OPEN: 97.91
    Bars In Progress: 0 CurrentBar: 34 Time: 1/23/2012 1:58:20 AM OPEN: 97.89
    Bars In Progress: 0 CurrentBar: 35 Time: 1/23/2012 1:58:43 AM OPEN: 97.87
    Bars In Progress: 0 CurrentBar: 36 Time: 1/23/2012 1:58:44 AM OPEN: 97.85
    Bars In Progress: 0 CurrentBar: 37 Time: 1/23/2012 2:00:44 AM OPEN: 97.83
    Bars In Progress: 0 CurrentBar: 38 Time: 1/23/2012 2:02:12 AM OPEN: 97.81
    Bars In Progress: 0 CurrentBar: 39 Time: 1/23/2012 2:03:26 AM OPEN: 97.79
    Bars In Progress: 0 CurrentBar: 40 Time: 1/23/2012 2:03:27 AM OPEN: 97.77
    Bars In Progress: 0 CurrentBar: 41 Time: 1/23/2012 2:03:27 AM OPEN: 97.75
    Bars In Progress: 0 CurrentBar: 42 Time: 1/23/2012 2:03:44 AM OPEN: 97.73
    Bars In Progress: 0 CurrentBar: 43 Time: 1/23/2012 2:08:57 AM OPEN: 97.71
    Bars In Progress: 0 CurrentBar: 44 Time: 1/23/2012 2:09:05 AM OPEN: 97.69
    Bars In Progress: 0 CurrentBar: 45 Time: 1/23/2012 2:09:06 AM OPEN: 97.67
    Bars In Progress: 0 CurrentBar: 46 Time: 1/23/2012 2:09:06 AM OPEN: 97.65
    Bars In Progress: 0 CurrentBar: 47 Time: 1/23/2012 2:12:16 AM OPEN: 97.63
    Bars In Progress: 0 CurrentBar: 48 Time: 1/23/2012 2:12:16 AM OPEN: 97.63
    Bars In Progress: 0 CurrentBar: 49 Time: 1/23/2012 2:13:49 AM OPEN: 97.65
    Bars In Progress: 0 CurrentBar: 50 Time: 1/23/2012 2:13:59 AM OPEN: 97.67
    Bars In Progress: 0 CurrentBar: 51 Time: 1/23/2012 2:14:38 AM OPEN: 97.69
    Bars In Progress: 0 CurrentBar: 52 Time: 1/23/2012 2:16:31 AM OPEN: 97.71
    Bars In Progress: 0 CurrentBar: 53 Time: 1/23/2012 2:19:28 AM OPEN: 97.73
    Bars In Progress: 0 CurrentBar: 54 Time: 1/23/2012 2:19:47 AM OPEN: 97.75
    Bars In Progress: 0 CurrentBar: 55 Time: 1/23/2012 2:20:08 AM OPEN: 97.7700000000001
    Bars In Progress: 1 CurrentBar: 1 Time: 1/26/2012 5:00:00 PM OPEN: 98.03
    Bars In Progress: 1 CurrentBar: 2 Time: 1/26/2012 5:00:00 PM OPEN: 98.05
    Bars In Progress: 1 CurrentBar: 3 Time: 1/26/2012 5:00:00 PM OPEN: 98.11
    Bars In Progress: 1 CurrentBar: 4 Time: 1/26/2012 5:00:00 PM OPEN: 98.08
    Bars In Progress: 1 CurrentBar: 5 Time: 1/26/2012 5:00:00 PM OPEN: 98.12
    Bars In Progress: 1 CurrentBar: 6 Time: 1/26/2012 5:00:00 PM OPEN: 98.08
    Bars In Progress: 1 CurrentBar: 7 Time: 1/26/2012 5:00:00 PM OPEN: 98.04
    Bars In Progress: 1 CurrentBar: 8 Time: 1/26/2012 5:00:00 PM OPEN: 98.04
    Bars In Progress: 1 CurrentBar: 9 Time: 1/26/2012 5:00:00 PM OPEN: 98.11
    Bars In Progress: 1 CurrentBar: 10 Time: 1/23/2012 12:33:00 AM OPEN: 98.09
    Bars In Progress: 1 CurrentBar: 11 Time: 1/23/2012 12:36:00 AM OPEN: 98.1
    Bars In Progress: 1 CurrentBar: 12 Time: 1/23/2012 12:39:00 AM OPEN: 98.1
    Bars In Progress: 1 CurrentBar: 13 Time: 1/23/2012 12:42:00 AM OPEN: 98.08
    Bars In Progress: 1 CurrentBar: 14 Time: 1/23/2012 12:45:00 AM OPEN: 98.04
    Bars In Progress: 1 CurrentBar: 15 Time: 1/23/2012 12:48:00 AM OPEN: 98.03
    Bars In Progress: 1 CurrentBar: 16 Time: 1/23/2012 12:51:00 AM OPEN: 98.07
    Bars In Progress: 1 CurrentBar: 17 Time: 1/23/2012 12:54:00 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 18 Time: 1/23/2012 12:57:00 AM OPEN: 97.98
    Bars In Progress: 1 CurrentBar: 19 Time: 1/23/2012 1:00:00 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 20 Time: 1/23/2012 1:03:00 AM OPEN: 97.98
    Bars In Progress: 1 CurrentBar: 21 Time: 1/23/2012 1:06:00 AM OPEN: 98
    Bars In Progress: 1 CurrentBar: 22 Time: 1/23/2012 1:09:00 AM OPEN: 98
    Bars In Progress: 1 CurrentBar: 23 Time: 1/23/2012 1:12:00 AM OPEN: 98
    Bars In Progress: 1 CurrentBar: 24 Time: 1/23/2012 1:15:00 AM OPEN: 97.96
    Bars In Progress: 1 CurrentBar: 25 Time: 1/23/2012 1:18:00 AM OPEN: 98.01
    Bars In Progress: 1 CurrentBar: 26 Time: 1/23/2012 1:21:00 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 27 Time: 1/23/2012 1:24:00 AM OPEN: 97.96
    Bars In Progress: 1 CurrentBar: 28 Time: 1/23/2012 1:27:00 AM OPEN: 97.98
    Bars In Progress: 1 CurrentBar: 29 Time: 1/23/2012 1:30:00 AM OPEN: 97.95
    Bars In Progress: 1 CurrentBar: 30 Time: 1/23/2012 1:33:00 AM OPEN: 97.93
    Bars In Progress: 1 CurrentBar: 31 Time: 1/23/2012 1:36:00 AM OPEN: 97.9
    Bars In Progress: 1 CurrentBar: 32 Time: 1/23/2012 1:39:00 AM OPEN: 97.93
    Bars In Progress: 1 CurrentBar: 33 Time: 1/23/2012 1:42:00 AM OPEN: 97.99
    Bars In Progress: 1 CurrentBar: 34 Time: 1/23/2012 1:45:00 AM OPEN: 97.93
    Bars In Progress: 1 CurrentBar: 35 Time: 1/23/2012 1:48:00 AM OPEN: 97.94
    Bars In Progress: 1 CurrentBar: 36 Time: 1/23/2012 1:51:00 AM OPEN: 97.96
    Bars In Progress: 1 CurrentBar: 37 Time: 1/23/2012 1:54:00 AM OPEN: 97.9
    Bars In Progress: 1 CurrentBar: 38 Time: 1/23/2012 1:57:00 AM OPEN: 97.91
    Bars In Progress: 1 CurrentBar: 39 Time: 1/23/2012 2:00:00 AM OPEN: 97.9
    Bars In Progress: 1 CurrentBar: 40 Time: 1/23/2012 2:03:00 AM OPEN: 97.82
    Bars In Progress: 1 CurrentBar: 41 Time: 1/23/2012 2:06:00 AM OPEN: 97.75
    Bars In Progress: 1 CurrentBar: 42 Time: 1/23/2012 2:09:00 AM OPEN: 97.69
    Bars In Progress: 1 CurrentBar: 43 Time: 1/23/2012 2:12:00 AM OPEN: 97.66
    Bars In Progress: 1 CurrentBar: 44 Time: 1/23/2012 2:15:00 AM OPEN: 97.61
    Bars In Progress: 1 CurrentBar: 45 Time: 1/23/2012 2:18:00 AM OPEN: 97.75

    As you can see the "reload" is completely different in data order which screws up the calculations since the 2nd bar series isn't calcuted until after the Primary data series. Also, the 2nd BIP=1 value starts at bar 0 with a 1/26/2012 date! This continues for bars up to #9. The original data started around bar #25, why is this data so differently processed between the Primary and 2nd bar series on Replay?

    Comment


      #3
      Hello NJA_MC,
      Thanks for your note.

      To assist you further can you please send a toy NinjaScript code* replicating the behavior to support[AT]ninjatrader[DOT]com

      Also please let me know the exact steps to replicate the behavior and let me know the dates for the replay data so that I can reproduce it at my end.

      Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

      I look forward to assisting you further.

      *The "toy" just means something that is a stripped down version that isn't necessarily the whole logic. It makes things easier to rout out.
      JoydeepNinjaTrader Customer Service

      Comment


        #4
        Hi,

        I have a basic script that I can use to test, but I can only get the bizarre behavior after using a few custom scripts. I have found a work-a-round by adding a simple SMA(7) within the strategy.

        Not sure if it is related, but I am trying to load 12,000 bars of data and access these bars historically. I had printed Open.Count which reported 12,000 but when I tried to access Open[11000] I got an exception of the index being out of range. Then I noticed my chart view was back to the first half of the data bars 1-6,000 first bars. I moved the chart to display the last part of the data 6000-12000 and then tried to access Open[11000] and it worked! I will see if I can make a basic strategy do this but it may be related to what my scripts are doing, any help as to what I might be doing wrong to cause this would be appropriated, has this been seen before?

        Comment


          #5
          Hello NJA_MC,
          Its difficult to say for exact without looking into the code, however are you trying to access a non existence bar in the history.

          If you try checking the bars before calling the bar then are you able to get it.

          Code:
          if (CurrentBar < 11000) double open = Open[11000];
          Please refer to this post which further describes it.

          JoydeepNinjaTrader Customer Service

          Comment

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