Bars.FirstBarOfSession TWO BARS bug?

[regikeyz]

Hi guys,

I notice a strange occurrence back-testing a multitimeframe system.

I am running the backtest on 1440min bars (i.e. 1 day) on ES 09-14
And I've added a 1min time period within code, (which I place trades off)

When I print out the Time[0] for first bar of session, I've been getting unusal values.
I should see 23:01 (because in UK when the US mini S&P opens it is 23:00)

But sometimes I also see 00:01 as the first bar, AND THEN an additional 'firstbarofsession' for the same session, but with the correct 23:01.

THERE CAN ONLY BE ONE FIRST BAR OF SESSION RIGHT? Why are there sometimes two occasions in a day that set the FirstBarOfSession flag to true?

Also sometimes days are missed out e.g. Sunday and Friday. I understand Friday as markets shut.. but why is Sunday sometimes missed out and sometimes it is there. Please see the code then a copy of my output:
Ps I'm using latest version of NT 7...25 and use Rithmic connection but it uses NinjaTrader historical servers for data


Day = Monday
1st bar time = 01/02/2010 00:01:00

Day = Monday
1st bar time = 01/02/2010 23:01:00 Why are there two First bars for this session?

Day = Tuesday
1st bar time = 02/02/2010 23:01:00

Day = Wednesday
1st bar time = 03/02/2010 23:01:00

Day = Thursday
1st bar time = 04/02/2010 23:01:00

Day = Monday
1st bar time = 08/02/2010 00:01:00

Day = Monday
1st bar time = 08/02/2010 23:01:00
and again why are there two first bars for this session?

Day = Tuesday
1st bar time = 09/02/2010 23:01:00

Day = Wednesday
1st bar time = 10/02/2010 23:01:00

Day = Thursday
1st bar time = 11/02/2010 23:01:00

Day = Monday
1st bar time = 15/02/2010 00:01:00

Day = Tuesday
1st bar time = 16/02/2010 00:01:00
and again there are two First bars for this session?

Day = Tuesday
1st bar time = 16/02/2010 23:01:00

Day = Wednesday
1st bar time = 17/02/2010 23:01:00

Day = Thursday
1st bar time = 18/02/2010 23:01:00

Day = Monday
1st bar time = 22/02/2010 00:01:00

Day = Monday
1st bar time = 22/02/2010 23:02:00

Ps where is Sunday or Friday? Sunday should appear


And the guilty code is here:




/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
// **************************************
// **** NOTE BACKTEST on 1440 min bars ****
//*****************************************
Print("NOTE: Remember to use 1440 min bars for backtest..");

Add(PeriodType.Minute, 1); // Add intraday timeframe..
ClearOutputWindow();
CalculateOnBarClose = true;
ExitOnClose = false;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{

if (BarsInProgress == 1 // Intraday..
&& Bars.FirstBarOfSession == true)

{

Print("Day = " + Time[0].DayOfWeek.ToString());
Print("1st bar time = " + Time[0]);
Print("");
}

...}


Any help would be much appreciated
Thanks guys!

[NinjaTrader_CalH]

Hello regikeyz,

Thank you for your post.

What session template are you using for the back test?

I tested this on my end using the default template and was getting the correct results for the FirstBarOfSession using the code you supplied

[regikeyz]

Hi,

Thank-you for trying this so quickly.

My session template is <use instrument settings>

When I go into instrument manager in 'Instrument Editor' for ES I see under session template:
CME US Index Futures ETH


Thank-you

[NinjaTrader_CalH]

regikeyz,

There are two things here that I want you to test.

First is to reset the instruments.
To reset your instruments please: go to the Tools menu, select the Options menu item, select the Data tab, and then click on 'Reset Instruments'.

Re-test the strategy. If you are still getting the prints then we need to look at the data

[regikeyz]

Hi Cal, still exactly the same issue


Day = Monday
1st bar time = 21/06/2010 23:01:00

Day = Tuesday
1st bar time = 22/06/2010 23:01:00

Day = Wednesday
1st bar time = 23/06/2010 23:01:00

Day = Thursday
1st bar time = 24/06/2010 23:01:00

Day = Monday
1st bar time = 28/06/2010 07:06:00

Day = Monday
1st bar time = 28/06/2010 23:01:00

[NinjaTrader_CalH]

regikeyz,

Thanks for the update.

Can you please send me a request to support so we can setup a remote session time.

Help -> Mail to Platform Support

Put ATTN Cal in the subject and reference this thread in the body

[regikeyz]

Just sent email, thank-you

[NinjaTrader_CalH]

regikeyz,

Thank you for your time today.

Per our findings we found that the double prints was due to missing data and the session starting at the 12:01 bar and causing it to look like two FirstBarOfSessions to appear.

Additionally, there were a couple days where the day before was a major holiday, causing a late session start.

Let me know if I can be of further assistance.

[regikeyz]

You were a great help Cal, thanks for confirming.