Execution problem

[dannysb]

Hello,

I have a computer at work getting real time data from Kinetick and executing in a SIM account. I also have a computer at home getting real time data from CQG and also executing in a different SIM account....

My strategy works where I have a zone, and if price gets into it, it will buy or sell, and issue a profit and stop bracket...

On both setups, in real time, I will watch price get into a zone and do what it needs to do to trigger a buy/sell, however none will occur. However, after this event if I reload the strategy (F5), it will show that it bought/sold there.

Do you have any idea where this discrepancy between live results and the reload comes from? If you need more info from me in order to help, please let me know.

Thanks for the help. You guys have been very responsive and very thorough in the past.

[NinjaTrader_Matthew]

Hello,

It is expected to see discrepancies in real-time vs backtesting. Please review our Help Guide article on this topic for information on this:

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

As far why the orders are not executing in real-time, I would suggest enabling TraceOrders = true to your Initialize() method and you can then view valuable output related to strategy submitted orders through Tools > Output window - TraceOrders

If you need assistance analyzing the results from the Output window, please feel free to copy this information to this thread and I'd be happy to help you determine why these trades are not executing in real-time.

[dannysb]

I am fairly confident this is not an issue with backtesting not imitating reality, as all entries are market orders executed on the open, and not a limit price that may or may not get filled...

I added the OrderTrace tag to all the strats and reloaded and sure enough, it missed another sell signal.
I reloaded my NQ strategy at 12:55 and after I did, a sell back at 12:30 appeared where it hadnt before the reload... Here is the output of that trade trace. Any clue as to why it wouldnt sell it in real time?

Thanks
------------------------------------------------------
7/5/2012 12:30:00 PM Entered internal SubmitOrder() method at 7/5/2012 12:30:00 PM: Action=Sell OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 OcoId='' Name='Clancy Sell - OrderNumber:9'
7/5/2012 12:30:00 PM Entered internal SubmitOrder() method at 7/5/2012 12:30:00 PM: Action=BuyToCover OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=2655.00 OcoId='OCO Short Exit 0 9' Name='Clancy Short Stop #0 - OrderNumber:9'
7/5/2012 12:30:00 PM Entered internal SubmitOrder() method at 7/5/2012 12:30:00 PM: Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=2639.50 StopPrice=0 OcoId='OCO Short Exit 0 9' Name='Clancy Short PT #0 - OrderNumber:9'

[NinjaTrader_Brett]

Hello,

I see no problem in the TraceOrder output

Do you use any indicators that calculate differently in historical then live? As it sounds like your historical executions is no longer there when the strategy is enabled.

-Brett.

[dannysb]

no, the indicator uses past bars to project a zone and if the current price gets into the zone and does 1 of a few things, then the open of the next bar should execute a buy/sell....

Also, when the strategy is enabled, it DOES show all historical executions, so Im not sure I follow....

Would sending the code or some screen shots help? (The code is quite extensive and id rather not hand it over, but will if that is the only way to fix this problem....)

Thanks in advance
Danny

[NinjaTrader_Matthew]

Brett was asking if the indicator values are changing when you reload the script. If the indicators are recalculating and coming up with different values, this could explain why these signals are not true in real-time. Feel free to send us screen shots of the indicators before/after reloading.

It is not necessary to share the code, however if you feel this might help you can email it to us at support[at]ninjatrader[dot]com. We do not share this code with anyone.

[dannysb]

no the indicators are not changing pre/post reload.
The zone will draw just fine in real time, yet when price get into it it will not trigger an execution.
However, upon a reload, the strategy will show a buy sell even though the zone hasnt changed at all....

any thoughts? if not i will send screen shots
Thanks for the diligence....

[NinjaTrader_Matthew]

Please provide us with some screen shots so we can get a closer look

[dannysb]

OK sent to your email
thank you