massive overages in replay

[Bobbybattles]

A year ago, I posted this problem, but never could get an answer.

When I do replay (I've tried several computers, at different locations), my calcualted profits in the program are never correct. For example, I will run a strategy in replay, and when done, I will have many trades that far exceeded my target. For example, I just ran one with a 2 tick target...and I will get wins of 75 ticks, 25 ticks, and so on. In fact, the one I just ran, had a calculated profit of over $4k, but when I subtracted the overages, it came out to only winning $1274.

This does not happen with the losses, only the wins. This happens every replay, every contract, every month. I'm tired of having to go back and do the additional math. What's the issue?

[NinjaTrader_ChelseaB]

Hello Bobbybattles,

These are real-time orders placed while the market replay is placing back after all of the historical data is loaded?

I would like to schedule a call with you to observe this behavior.

Please send an email to platformsupport [at] ninjatrader [dot] com.

In the email please include a link to this forum thread.

[NinjaTrader_ChelseaB]

To all,

Just an update on this thread, the PC Clock was out of sync with internet time and causing fills at the wrong time and price.

To sync the PC clock:

• Shutdown NinjaTrader
• Right-click the clock in the lower right corner of your desktop -> Select Adjust date/time
• If you are using Windows 10, click 'Additional date, time, & regional settings' -> then click 'Set the time and date'
• Click on Internet Time tab
• In the Server: drop-down select time.nist.gov
• Click Update
• If the message that appears says successful your PC clock should now be updated
  If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)
• Restart NinjaTrader
• Connect to a data feed, then right-click the chart and select Reload All Historical Data
• Also re-download all Market Replay data

http://mintywhite.com/windows-7/7maintenance/windows-seven-7-sync-system-clock-with-internet-time-how-to/

http://www.windows10update.com/2015/08/windows-10-tutorials-154-how-to-synchronize-windows-10s-time-with-the-internet-time-server/

[Bobbybattles]

Thank you so much for the help. After running a larger sample size, I am still having issues with orders overfilling. I ran the entire CL 06-17 contract, and still had 15 orders that exceeded target, ranging anywhere from 4 ticks up to 15 ticks. Any other ideas?

edit: I calculated the overages, and it exceeds $1500.

[NinjaTrader_ChelseaB]

Hello Bobbybattles,

Please open a 1 tick ask chart and 1 tick bid chart and leave these open while the market replay plays back.

Then find the time and price of one specific order on the 1 tick ask chart for buy orders or bid chart for sell orders.

Then take a screenshot of the Orders tab of the real-time strategy performance and a screenshot of the chart showing the order.

I want to see what the bid or ask price was when the order was filled.

Are you seeing the execution marker of the order appear outside of the bar on these charts?

Let me know if you would like a demonstration of what I am asking for.

[Bobbybattles]

A demonstration would be very helpful.

[Bobbybattles]

Hopefully this works.

[NinjaTrader_ChelseaB]

Hello Bobbybattles,

Below is a link to a short video that demonstrates finding the ask and bid ticks at the time of the order fill for that instrument.

https://www.screencast.com/t/u0b5K2fRjXv

In the screenshots we will need the bid tick chart, the ask, tick chart, and a screenshot of the Orders tab of the real-time strategy performance.

[Bobbybattles]

Ok, I have uploaded the 2 requested screen shots. In these shots, there are actually 2 orders almost simultaneously that exceed the 2 tick target noted in the strategy. I look forward to your thoughts.

[NinjaTrader_ChelseaB]

Hello Bobbybattles,

It looks like the spread is responsible for these order fills.

The buy entry has filled at the ask and the sell limit exit was placed 2 two ticks above the fill at 49.36. The current ask at the time is 49.51 shown by the bid tick on the bid panel of the chart. The sell limit is below the bid and the market price becomes a better price. The order fills at the bid price.

The behavior of NinjaTrader is correct in this case from what is shown by the data.

The question would be if the recording of the data is correct with this spread.

With the data showing, it looks like this matches the Pacific time zone, is this correct?

From checking Continuum tick data it would appear the ask pricing is incorrect. I would like to verify this on my end by re-downloading this data and playing this back on my end.

Please let me know if I have the time zone correct.

[Bobbybattles]

Thank you. My location is central time.

[NinjaTrader_ChelseaB]

Hello Bobbybattles,

This does appear to be an issue with the Market Replay data that was recorded for this day (and possibly surrounding days).

Our IT is looking into it.

Were you able to experience this with any other instruments or with any other days? (Would help us to locate other data that may be incorrect)

[Bobbybattles]

Yes, this happens every contract, multiple times per contract. I have attached 2 screenshots of my real time results for this particular strategy I just ran for the contract month. As you can see, there are many overages. That said, the one strategy has a 10 tick profit target. When that profit target number is lowered, as seen in the other strategy, which has a 4 tick target, and the strategy is trading more, the number of overages increases.

I hope this is not a data issue, bc this makes it very difficult to trust any of the market replay results. It also makes it difficult to differentiate between an overage which is actually correct, and an overage that is the result of a market replay data error. As you can see in my screenshot, there are many overages that are 2 to 4 ticks over. If the data is bad, what is the option?

Thanks for your help.

Note: I've added in several strategies from this same contract, and as you can see, different ones have different overages.

[NinjaTrader_ChelseaB]

Hello Bobbybattles,

If there is an issue with the data, this would affect any and all strategies you run on this instrument during this time on this contract month.

I have alerted our IT to the incorrect data. Would you like to report any other data being incorrect?

[Bobbybattles]

My concern is that, ALOT of the data is incorrect. I have attached another screenshot here. In this 4-17 contract for CL, my strategy after replay shows a profit of $7628. However, after subtracting all of the overages, the total profit was only $2648...thats $5,000 in overages on one contract.

This strategy is a 1 tick scalper, yet as you can see on the attachment, there are ALOT of overages. There were anywhere from 50 tick overages down to 65 1 tick overages. If you are saying these are caused by incorrect data, then is ANY of the data any good?

Edit: I added a second screenshot, this time from CL 5-17. As you can also see in this screenshot, there are MANY overages, up to 70 tick overages. I sincerely hope this issue is with my system, and not with your data. If the issue is with your data, then doesn't that make the data very unreliable?