RTH order filled next day and not during ETH

[nicknamed]

Dear Support,
I have a strategy that uses exit on close true.
When I am in an trade then when exit on close order arrives and that will not be fulfilled on chart within RTH between exit on close timeout (30 secs by default) and end of RTH it gets filled the very next day when market on RTH opens.
This is date record in the log.
The trade uses stoploss, so NT engine stops it on stoploss with the date of next day., the problem is that ETH chart could fulfill the order much earlier, without a stoploss and even in profit. It would just be outside RTH.
The problem here is that in reality, the order would be sent to real market still during RTH and would wait for clearing, even outside RTH (I do nt care if chart has got data). Here in NT which stops giving strategy data outside RTH it make crazy stuff.
The NT goes through times and dates during market replay through ETH datafeed anyway, so why cannot you just make it stop showing data on chart, but NT would know the data, so the strategy could fill outside RTH as would in reality?
At least this is how I understand the problem now.
Thank you
Nicknamed

PS. it happened on 1000 Volume LineBreak 1 chart with TF 06-11
entry
838,9 exit: 834,1
11.5.2011 22:14 Buy
12.5.2011 8:16 Stop loss
but this really does not matter as that is something not to be reproduced by strategy as a problem of strategy, the problem is that the strategy does not have data to clear the order as in reality.

edit1:
I just tried to replicate it on SMAcrosover strategy and even if I put 0 secs to exit before end of RTH - an order with 40 contracts, it gets filled within that time exactly on 22:15, so tell me why one strategy with one contract cannot close an open position - based on underlying data - within 20-30 seconds and another one closes it two ticks away (you know, liquidity TF and 40 contracts) in just 1 second (in fact 0 second - which should be 1 tick maximum by logic of the settings)?

[NinjaTrader_Joydeep]

Hello nicknamed,
Thanks for writing in and I am happy to assist you.

To assist you further may I know are you witnessing this in backtesting or in live trade.

I look forward to assisting you further.

[nicknamed]

market replay data so in fact live, but badly simulated by NT

[NinjaTrader_Joydeep]

Hello nicknamed,
Please avoid submitting the orders on the last bar of the session. This is particularly true if you are running a multi-series strategy.

Please let me know if I can assist you any further.

[nicknamed]

So now without curse words back to the logic of my questions:

1/ how can I precisely follow your advice using exit on close seconds timeout and using volume based linebreak charts?

2/ why this happens only with volume based linebreaks and not timebased linebreak charts?

Thank you in advance for answers that makes sense.
N.

[NinjaTrader_Brett]

Lets do this since we are back on a constructive path.

lets reset here as there are many variables that need to be isolate.

Lets bubble it down to basics and make sure we are on the same page to start and move from there.

The primary issue is that Exit On Close in your LIVE market replay test (Live meaning data playing forward not looking backwards in time from the replay start date) did not close an open position at the end of the session.

Instead it waited for the open of the next day to fill the Exit On Close order.

Is this correct?

Furthermore, you say that running live with line break chart with minute input series for the line break chart it works correctly. However with volume based line break chart it does not.

Is this also correct?

Thank You.

[nicknamed]

Hello Brett,
yes,

1/ correct, but it registered stoploss closed the next day, not at the open of the next day, which was even way lower (it was long position). So the close price was I guess quite artificial. Unfortunately I cannot make screenshot now, as the NT crashed 2 times since then and I have only data about trades in the database. Regarding the crash, it is systematic problem no one from NT support could help us solve and as we looked through the forum we are not the only ones who experience this. But we know how to handle it. I think this problem with volume based linebreaks could be reproductible. The problem is that we do not have fake strategy that we could send you to replicate it. But anyway, the logic thinking (especially yours as you know the core of NT) could help us find a solution.

2/ correct

that is our experience so far.
N.

[NinjaTrader_Brett]

Ok thanks so I need to revisit your statements.

1/ correct, but it registered stoploss closed the next day, not at the open of the next day,

To clarify Exit On Close would never look like a stop loss. It is always a Buy To Cover or Market Sell with the order label 'Exit On Close'.

So you are saying that you had no Exit On Close order and instead just had your stop loss fill (Not to be confused with Exit On Close) THis is key to understand that you either A) Had to Exit On Close occur or B) It occured late.

2/ correct

Finally just to double check on the minute based line break bars you run your strategy you see an order named 'Exit On Close' close the position?

With these confirmed this should be enough for me to go on. With the above vetted would lead me to believe I could quickly built a test strategy and test line break volume charts and find the issue in market reply and get it sent into development.