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Does Simultaneous simulations (sim101) might give errors after filling orders?

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    Does Simultaneous simulations (sim101) might give errors after filling orders?

    I've been doing simultaneous simulations, one single strategy with different parameters. I start them and all go well, executions and internal account updates are done properly. I was following closely a particular strategy, and this one presented an inexplicable issue. It had a working buy order that was partially filled, immediately NT set the "execution" and account update as you can see below:

    10/11/2018 7:50:02 PM|1|32|Order='48a9c504dfbd48098852486e1b1138a9/Sim101' Name='SET LONG' New state=PartFilled Instrument='ES 12-18' Action=Buy Limit price=2757.25 Stop price=0 Quantity=2 Type=Limit Filled=1 Fill price=2757.25 Error=NoError Native error=''

    10/11/2018 7:50:02 PM|1|16|Execution='8d409d6801434e48847f51fe7e25478 2' Instrument='ES 12-18' Account='Sim101' Exchange=Default Price=2757.25 Quantity=1 Market position=Long Operation=Insert Order='48a9c504dfbd48098852486e1b1138a9' Time='10/11/2018 7:50:02 PM'

    10/11/2018 7:50:02 PM|1|64|Instrument='ES 12-18' Account='Sim101' Avg price=2757.25 Quantity=0 Market position=Short Operation=Remove Currency=Unknown

    But then, among other strategies's order at the same time, the remaining order Order='48a9c504dfbd48098852486e1b1138a9/Sim101' got filled but the execution or update never was done afterwards as it should be with no explication. After a couple of minutes, the strategy submitted a sell new order based on the previous updated position ( Quantity=0 ) which was a mistake, cause NT has not updated the position with the very last partially filled...so the Strategy seemed to be alive but it left frozen, no new orders were submitted any longer. a clear error.

    I know NT7 don't get your attention as NT8, but as you must be aware, many of us, still work with NT7 cause many critical reasons, so I hope you take a look at the simulation engine with sim101.

    Thanks



    #2
    Hello pstrusi,

    I would like to confirm a few things.

    You are referring to each strategies individual position and you are not referring to the account position, is this correct?

    Are the strategies running on the same instrument and the same account?

    When running this strategy by itself, the strategy position is the expected position, but when running the strategy on the same account and same instrument as another running strategy the individual strategy position is not the expected position, is this correct?

    Are you able to reproduce this behavior using multiple instances of the SampleMACrossOver script included with NinjaTrader?
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Hi Chelsea.

      The account is the sim101, working unsynced with different individual Strategies in the same instrument. I'm well aware how to do simultaneous sims with no problem.

      The issue is pretty easy to understand.
      As you must be very familiar, if you look at the log and trace files when an order got filled, immediately comes the following info lines:

      - Execution : with all info related, order, quantity....etc
      - Market Position and Account Position

      Well, I had a working order that got partially filled, for the first part all was done ok, but when the remaining order was filled, Ninjatrader DIDN'T make the belonging "Execution" and "Positions" lines info, lefting that strategy alive but frozen, unable to further trading.

      I've just decided to tell it just in case anyone is looking after NT7, but at this moment I don't have tie unfortunately for more digging in this issue.

      Thanks as always for your attention

      Comment


        #4
        Hello pstrusi,

        I was not able to confirm, are you able to reproduce this behavior with the SampleMACrossOver strategy included with NinjaTrader?

        I have added two instances of the SampleMACrossOver to a chart using different parameters and run this through a day of ES 12-18 Market Replay data and I am not able to reproduce the behavior.

        To report something to our development we must have a reproducible script and reproducible steps.
        Chelsea B.NinjaTrader Customer Service

        Comment

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