Trades not taken

[frostengine]

I experienced a weird issue the other day. I ran my strategy live all day and only 1 trade was taken. I then ran the same strategy with Market Replay after the close. In market replay 2 trades were taken. All trades use market orders. How come market replay had more trades than the live result? The data should be IDENTICAL.

[NinjaTrader_Brett]

Hello,

Thanks for the note.

The data actually can be slightly different, please see the below page. Specifically the section here: Understanding why a chart can look different after reloading historical data from the server

Depending on how sensitive your strategy is could be the difference here.

http://www.ninjatrader.com/support/helpGuides/nt7/how_bars_are_built.htm

Let me know if I can be of further assistance.

[frostengine]

This explains how loading historical data can be different. BUT this is market replay. This data was recorded from the live feed as is.What timestamp my computer has is irrelevant. Therefore, unless I am missing something I do not understand how that link can explain why market replay/live trading would produce different orders.

[NinjaTrader_Brett]

Hello,

Is this replay data you recorded or that you downloaded of the server? Most people download off server in which case it isnt recorded by your local PC clock and is server clock.

Please veryify your settings under control center->tools->options->data tab->record replay data.

Finally, there are settings differences that can come into play.

Different session templates in use when you start the strategy, different user settings, different number of days to load in the chart (Most likely could be it).

Heres what I suggest to help narrow it down. Please analyze the trade that occurred. Please see why it occurred and then compare that to the live execution. Whats different? If the data is the same I would expect same behavior.

I look forward to assisting you further.

[frostengine]

I am recording market replay on my local machine not downloading. The settings for the strategy are identical. As far as comparing why one strategy was executed and another not, that is not easily accomplished. Since the data that was "live" at the time is no longer there. I was to rely on the recorded market replay to know what it was like when "live". Therefore, its not possible to compare the live data to the replay and determine why the trade was not taken.

[NinjaTrader_Brett]

Hello,

There are no known reasons in this case with the provided information I would expect a difference. Replay data only has second granularity however ticks should be stored in the order received therefor it should still play back without issue.

Therefor we would have to look into further.

Can you please take a screenshot of your live executions on the chart and then when you re run historical on replay take a screenshot at the end of the day on both times so that we can compare the differences is the best coarse of action there. Once differences are verified we would need to look into your strategy to find if anything is not replay friendly or see if its something related to the strategy, if not related to strategy then we would want to look into even further.

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CRTL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.


I look forward to assisting you further.

[naxo79]

Can you follow up here as this is interesting to all NT users.
I have been seeing similar things but have sofar mostly been able to blame it on data differences, but all cases have not been so clear and havent had a clear reason in them.