Market Replay Issue

[paulca]

When testing my strategy using Market Replay I have often found that the entries occur 1 to 2 Ticks before my limit order entry. An example this morning is that in RT at pit open I had a short limit at 93.20 and was filled with a 5T slip at 93.15 but Replay shows a fill at 93.22, which is 2T above my short limit order. The logs show the order was accepted corrected but was incorrectly filled. Thoughts?

Paul

[yongthanyee]

Market Replay Login Failure

Hi NT Support
Like to check whether NT Market Replay Server is down.
I got a login failure error message when connecting to NT replay server...eric

[paulca]

This issue has been seen over the last few months & today's data was from a live recording and I also refreshed it earlier. Same problem - getting a fill during Market Replay that is 1 to 2 ticks before my limit is reached. Actual fills with live data is much different - slippage as expected but the Market Replay fills where one would not expect.

[twitch]

Stratergy not updating, but bars are?

I have downloaded data for the past two days for 6E.

I then connect to market replay connection and attached my automated strategy.

When I run the market replay, the bars update correctly, however my strategy does not trade due to the levels that it calculates remaining constant.

When i skip ahead of time on the market replay it gives me trades that would have happened, but going over the same data whilst running market replay no trade occurred.

Please advise.

[twitch]

Example is attached below.

[NinjaTrader_PatrickH]

Hello Paul,

Thank you for your post.

When testing my strategy using Market Replay I have often found that the entries occur 1 to 2 Ticks before my limit order entry. An example this morning is that in RT at pit open I had a short limit at 93.20 and was filled with a 5T slip at 93.15 but Replay shows a fill at 93.22, which is 2T above my short limit order. The logs show the order was accepted corrected but was incorrectly filled. Thoughts?

Paul

The Market Replay connection uses the Simulation Engine for fills, so even though you recorded Market Replay data that does not mean the fills in Market Replay will be identical to those in real-time trading.

For information on the Simulation Engine please visit the following link: http://www.ninjatrader.com/support/h...simulation.htm

If you would like to adjust the Simulator settings you can do so by going to the NinjaTrader Control Center > Tools > Options > Simulator. For information on these settings please visit the following link: http://www.ninjatrader.com/support/h...ulator_tab.htm

Please let me know if you have any questions.

[NinjaTrader_PatrickH]

Hello yongthanyee,

Thank you for your post.

Hi NT Support
Like to check whether NT Market Replay Server is down.
I got a login failure error message when connecting to NT replay server...eric

Please detail in your response the login error you receive when attempting to connect to the Market Replay Connection.

I look forward to your response.

[NinjaTrader_PatrickH]

Hello twitch,

Thank you for your post.

I have downloaded data for the past two days for 6E.

I then connect to market replay connection and attached my automated strategy.

When I run the market replay, the bars update correctly, however my strategy does not trade due to the levels that it calculates remaining constant.

When i skip ahead of time on the market replay it gives me trades that would have happened, but going over the same data whilst running market replay no trade occurred.

Please advise.

When this occurs are there any error messages in the Log tab of the NinjaTrader Control Center? If so, please detail in your response.

Does this same behavior occur when using the SampleMaCrossOver strategy in Market Replay?

I look forward to your response.

[twitch]

Hi,

The sample MA strat works fine during replay, the errors in the log are:

An Enter() Method to submit an entry order has been ignored. Please search Internal order Handling rules in the Help Guide.

Also when I run this strat in the live market it updates correctly, but then stops working with the error, Internal server error (500).

[NinjaTrader_PatrickH]

Hello twitch,

Thank you for your response.

Please send me your log and trace files for today so that I may look into what occurred.

You can do this by going to the Control Center-> Help-> Mail to Support.

Please place 'ATTN: Patrick - 814019' in the subject line and reference this thread in the body of the email: http://www.ninjatrader.com/support/f...ad.php?t=56687

I look forward to your response.

[NinjaTrader_PatrickH]

Hello,

Thank you for those files.

I see the following error listed several times throughout your log file:

• The strategy 'PairsBollingerCrossover/28c0e4aa6e314398903a8d0bdb43ce21' has called the Add() method with an invalid instrument. Either 'google' does not exist in the Instrument Manager or the specified exchange has not been configured.

You will need to ensure the proper instrument is used in the Add() method. GOOG is the correct symbol for Google.

For the other error, methods that generate orders to enter a position will be ignored if:

• A position is open and an order submitted by an exit method (ExitLongLimit() for example) is active and the order is used to open a position in the opposite direction
• A position is open and an order submitted by a set method (SetStopLoss() for example) is active and the order is used to open a position in the opposite direction
• The strategy position is flat and an order submitted by an enter method (EnterLongLimit() for example) is active and the order is used to open a position in the opposite direction
• The entry signal name is not unique

You can find information on the Internal Order Handling Rules please visit the following link: http://www.ninjatrader.com/support/h...d_approach.htm

Please let me know if you have any questions.

[yongthanyee]

Market Replay Connection Issue

Hello yongthanyee,

Thank you for your post.



Please detail in your response the login error you receive when attempting to connect to the Market Replay Connection.

I look forward to your response.

Hi PatrickH
Kindly ignore this request as I have resolved the issue at my end....eric

[paulca]

Hello Paul,

Thank you for your post.



The Market Replay connection uses the Simulation Engine for fills, so even though you recorded Market Replay data that does not mean the fills in Market Replay will be identical to those in real-time trading.

For information on the Simulation Engine please visit the following link: http://www.ninjatrader.com/support/h...simulation.htm

If you would like to adjust the Simulator settings you can do so by going to the NinjaTrader Control Center > Tools > Options > Simulator. For information on these settings please visit the following link: http://www.ninjatrader.com/support/h...ulator_tab.htm

Please let me know if you have any questions.

Hi Patrick,

I'd like to correct my original post - my entries are with a stop (not a limit), don't think that's the issue though. What I'm seeing in replay are entries that are often much better than my order, IE if short, replay will often show an entry that is 1-2 ticks better than my order. I would suggest that this is unrealistic and that there may be some problem with the replay engine. If it tracks the tick data with date & time then it should be able to calculate a realistic entry that should, at least , be at my order price and not prior to it. An example would be the CL pit open last Thursday - the market moved aggressively down and I was slipped 5T but replay showed a fill 2T above my order price.

[NinjaTrader_PatrickH]

Hello Paul,

Thank you for your response on this matter.

Can you provide your log and trace files to support[at]ninjatrader[dot]com? And detail any situation that you can with the time, price and instrument?

In addition, if you can show these occurrences with screenshots on your charts that would be most helpful.

You can send your Log and Trace files by going to the Control Center-> Help-> Mail to Support.

Please put 'ATTN: Patrick - 814019' in the subject line and reference this thread in the body of the email: http://www.ninjatrader.com/support/f...ad.php?t=56687

I look forward to your response.

[paulca]

Hello Paul,

Thank you for your response on this matter.

Can you provide your log and trace files to support[at]ninjatrader[dot]com? And detail any situation that you can with the time, price and instrument?

In addition, if you can show these occurrences with screenshots on your charts that would be most helpful.

You can send your Log and Trace files by going to the Control Center-> Help-> Mail to Support.

Please put 'ATTN: Patrick - 814019' in the subject line and reference this thread in the body of the email: http://www.ninjatrader.com/support/f...ad.php?t=56687

I look forward to your response.

email sent with screenshots of charts both RT and Replay for 3/21/13 on CL. RT at 7:00am and Replay at 10:20am (log times)

Thanks,

Paul