Real Time Performance Question....

[fxRichard]

Something that is bothering me a bit. I have strategies running in NT8. NT8 is still in beta so on occasion the platform crashes on me. For example, I have 6 charts with strategies running on them. I tried to maximize one of the charts to full screen and NT8 just hung with a black square and crashed.

Now when I go back in the strategies are no longer running (expected). However if I restart the strategies I lose ALL prior history. In addition I have no way to view the trades on a chart.

Now in order to go analyze the last 24 hours is very cumbersome. Two things:

1) Is there any way for NT8 to not overwrite any prior data if I restart a strategy attached to a chart? Perhaps I am doing something wrong? Even if I view historical data it's all reset for the live strategy.

2) Is there any way to just run a strategy and view the trades it has taken historically just as you can in the Strategy Analyzer when backtesting it??

I find it odd that there is no chart tab in the performance window as there is in the analyzer window. This way I could just start strategies not necessarily attached to a chart and go view their trades through the performance window.

Thanks.

[NinjaTrader_JessicaP]

Hello fxRichard and thank you for your questions.

With regard to strategies and historical data, the obstacle we run into is that NinjaTrader must simulate the actions of the trade desk for this data. Due to this, the most accurate and reliable way to review your historical trade performance is to use the Market Replay connection (Playback Connection in NT8).

In NT8, the Playback Connection gives you a few options which, combined with another setting, can give you all the functionality you desired. The Playback Connection can use recorded level 1 historical data on your computer, instead of market replay data. There is also a setting in Tools -> Options -> Market Data called "Record Live Data as Historical" documented here,

http://ninjatrader.com/support/helpGuides/nt8/en-us/options_marketdata.htm

What Ninja can not do is accurately simulate exactly what the trade desk did after recovering from a crash. There are many random one-time events that occur when Ninja is communicating with the trade desk live. This is an organic, unpredictable process. However, what Ninja can do is record all the contextual information surrounding the conversation with the trade desk, and replay that reliably. This will make its simulated trading more accurate. If, rather than a live conversation with the trade desk, you are comparing to a conversation has with its simulated trade desk, your historical data will become even more accurate.

The approach I outlined here is excellent for developing and testing your strategies. However, for greater market accuracy, when you are done reviewing your strategy's previous performance, I would like to recommend unchecking the "Record live data as historical" setting, and retrieving data from your data feed provider instead. The historical data on the server has greater guarantees as far as accuracy and reliability than data that was sent to your computer live over the internet. For instance, one thing that affects data coming into your computer live is the millisecond accuracy of the price change timestamps. Since more than one price change can happen within the same millisecond, some trades are indistinguishable from one another on your end.

Please let us know if the above resolves your query or if there are any other questions we may answer.

[fxRichard]

Thanks for your reply Jessica. Let me clarify a little:

I am forward testing against live market data on the Sim account. When I do this I open a chart, attach a strategy and let it run on live data.

While this is happening I can see the trades taken live (on SIM) on the chart by the strategy. They are plotted.

If NT8 crashes I reopen it and I see the data in the strategy tab in the control center is zeroed out. If I right click on the strategy (before starting it again). I can view the performance metrics for the last time it was running. The order history is there but is there any way to see the order history plotted on a chart? Wether this runs on SIM or LIVE we still have the order history that could be plotted (even if not 100% accurate).

I'm just trying to find a way to view the trades on a chart post crash.

The same thing happens if I stop a strategy and start it again. I lose all performance data. Which makes me wonder what the view "Realtime & Historical Data" option does as it doesn't seem to collect any historical trades...I'll read the help guide to make sure I"m not missing something on these 2 options.

This is more about running a strategy on SIM account (or live) against live market data as it comes in. I can't run our strategy on a backtest or even playback I believe because we run at tick level and need intrabar data (perhaps market replay will provide something close) but this is besides the point of being able to view my strategy trades on a chart post crash.

[NinjaTrader_JessicaP]

I feel as though I am not quite on the same page. If you reload your strategy, are you not seeing historical trades for your strategy?

[fxRichard]

Hello Jessica, that is correct. Historical never pulls any data for me. If I restart a trade all of the past data is completely lost. I can start a strategy, let it run for 1 hour, take some trades. Stop the strategy (or crash), then restart the strategy and all of the trades and data for that prior hour it ran is lost.

That is the first problem. Second problem is how can I view the trades it did take plotted on a chart? I'll take a quick video of what I mean today so you can get a better idea.

[NinjaTrader_JessicaP]

If your strategy is not placing any trades during State == State.Historical, we may need to review your strategy's source code. If you load the SampleMACrossover strategy into a chart, for instance, and enable it, you will be able to see it place historical trades if you drag your chart back and review your history.

Would it be possible for you to provide a stripped-down copy of the strategy you have that is not producing historical trades, so that we may investigate further?

[fxRichard]

Jessica,

Thanks, I'm letting it run this morning for a few hours then I'll take a quick video to show you what's going on. It is definitely not taking trade when the state is historical.

Reviewing the source code will be difficult because I build it in Visual Studio with many source files that make up an architecture for it. It has an indicator that provides signals, the strategy is then broken in to several pieces for rule handling etc to determine what to do with those signals.

Suffice to say, this is not a "simple" one pager strategy that I can easily share. Let's start with the video here shortly and see what we can do from there.

[NinjaTrader_JessicaP]

Thank you for the update fxRichard. A stripped down copy of your strategy will not be necessary.

I have prepared a video where I demonstrate historical trades showing up for me using the SampleMACrossover strategy. Please let me know if you observe the same on your end with the SampleMACrossover, so that we can determine exactly what is causing the unusual behavior you reported.

http://www.screencast.com/t/DxMmggfJF