Lack of fills

[NinjaTrader_RyanM1]

It looks like you are using version 7 according to some of the strategy properties. In this case you should reset your instruments, to make sure they are properly configured for IB.

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'.

The CL mapping for IB should end up looking like: CL||||1

You'll also want to be sure you're running the latest supported release of TraderWorkStation. Currently 911, available here.

[skyholder84]

Hi RyanM, thanks for the help!

My strategy traded WTI for the first time last night, and i actually missed it because I was manually trading crude alongside the system!

The system did execute a trade, which I mistook for one of my manual limit orders. I only realized my flaw this morning upon looking at the orders tab, where I saw my strategy label PSARLONG.

I trade WTI on the IPE, not on Nymex, so the symbol is correct.

I still find it a little confounding that my strategy trading freq is way below what I expected it to be, but I guess I'll figure out more along the way. Thanks!

[skyholder84]

Hi,

I discovered that I forgot to roll some contracts.

Can this explain why the backtest picked up some trades that the live strategies didn't?

If my understanding of the backtester is correct, if I backtest an instrument which has already rolled, it will automatically perform the correction and run backtests on the new instrument. Ie: where I have selected a list of march contracts to backtest up till May (which practically means that no trades could have been done in April and May since live price data doesn't come in for expired contracts), the strategy analyzer would automatically correct for this and load April and May price data for the backtest, resulting in trades which could not have been submitted live, but would be picked up by the backtester.

If my understanding of the backtester is correct, this would explain why the strategy didn't trade live much over the past week.

If my hypothesis is wrong, it's back to the troubleshooting drawing board for me. Pls confirm or debunk my suspicions! Thanks!

[NinjaTrader_JoshP]

skyholder84,

It all depends on what your merge policy is set to in Tools>Options>Data. If you have DoNotMerge, it will not pull any prior contracts and merge them to be included in your backtest. You would have a pure selected front month backtest only regardless of rollovers.

If you select something like MergeBackAdjusted, then if you select a date range that crosses rollovers, data prior to the rollover will be from prior front months and included in your backtest. So if you did like ES 06-11 for a year, it will include things like ES 03-11 in your backtest.

[skyholder84]

Hi Josh, thanks for pointing out the merge function.

What I meant was whether the backtester would grab ES-06-11 data if the contract I selected was ES-03-11.

Issue 1: I'm now aware that when I select ES-03-11 as my instrument, the backtester goes back in time to grab ES-12-10 data (as you pointed out), but I'm also wondering if the backtester would go also forward in time to also grab ES-06-11 data where the date for backtest includes a period after ES-03-11 has already expired.

Thanks for the help!

[skyholder84]

And I've discovered another potential problem.

Issue 2: When I added the Forex instruments, I didn't select IDEALPRO as the exchange; I left exchange as "default". Would this have caused the total lack of FX trades which I experienced last week? Or is "default" acceptable?

Issue 3: Also, I'm a little confused as to which ticker to use for Brent on Interactive Brokers. BRN or BC? In IB, the TWS states that the exchange is IPE, but the product states ICE Brent Crude. IPE's new name is ICE, and I'm not sure which is the correct symbol to use. I've been using BRN, and I'm hoping for some confirmation that that's correct.

[NinjaTrader_RyanM1]

Hi skyholder,

Thank you for your patience on these items. The merging only takes place for prior contracts into the front month. You won't see ES 06-11 data in ES 03-11.

For your symbol mapping and exchange questions, it is best to confirm with your broker what you should be using. NinjaTrader sends the request and it's handled then by IB. If you send orders to wrong exchange or if they are rejected for any reason, this is noted in NinjaTrader's log / trace files -- We're happy to take a look into any individual trades and see the messages reported.

For Brent Crude, there is symbol in NinjaTrader master instrument BRN. This maps in IB to symbol COIL on IPE exchange.