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Replay "lag"

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    Replay "lag"

    I'm going through a replay, trying a strategy out. If you speed the replay up by too much, it starts to get wonky. For example, I loaded up the week for /NQ starting from July 12, and started it up. Everything works just fine, so I open a long position at 9 pm (pretty much as soon as the replay starts). I speed things up to 100x and wait, then finally close my position at 11:18 pm that night. Trade center registers a profit of $945, but the trade performance lists nothing. I have confirmed that everything that's filtered properly - the right account, instrument and templates are all ticked.

    It gets worse when you go faster and have multiple transactions. The behavior is that I will close a position (by using the close button), then immediately re-enter. For transactions that do end up getting reported in the performance report, the entry / exit times and prices will be WILDLY wrong - I'm not talking a point or two here, but over 100. I did a test last night where at the end of the single replay, using an entirely new strategy with a unique name I had roughly $27K in profit per the control center, but over $70K per the performance report. I checked the performance report, and the correct number of trades are there, but the prices for the trades were so very wrong.

    It is incredibly alarming to find glitches like this in such expensive software This makes me feel like I'm wasting my time as well as having wasted my money.

    edit to add more: I can go to the performance report, and have all of the templates displayed - and the strategy I was using is at the very top of the list. So, I tick off everything else, and leave just the strategy I was using, and it doesn't display. It looks like you are using the "templates" filter option to filter stop filter templates instead of strategy templates. So, this means that if you've built an ATM strategy using a custom (but unsaved stop strategy) you cannot get a report for it. Well, not without manually filtering through the report - which DOES include the actual freaking name of the ATM strategy you used. The documentation says "Sets the ATM strategies to be included in the performance report" - except that doesn't work if you want to filter on that strategy.

    edit 2 to add again: Why on earth isn't there a performance report field showing the time the trade was actually made for reporting replays? You can't run the same strategy multiple times and compare results unless you save the performance report after every run, or change the names of the strategies you use (again, every time).
    Last edited by Vinhasa; 07-26-2020, 04:28 PM.

    #2
    Originally posted by Vinhasa View Post
    I'm going through a replay, trying a strategy out. If you speed the replay up by too much, it starts to get wonky. For example, I loaded up the week for /NQ starting from July 12, and started it up. Everything works just fine, so I open a long position at 9 pm (pretty much as soon as the replay starts). I speed things up to 100x and wait, then finally close my position at 11:18 pm that night. Trade center registers a profit of $945, but the trade performance lists nothing. I have confirmed that everything that's filtered properly - the right account, instrument and templates are all ticked.

    It gets worse when you go faster and have multiple transactions. The behavior is that I will close a position (by using the close button), then immediately re-enter. For transactions that do end up getting reported in the performance report, the entry / exit times and prices will be WILDLY wrong - I'm not talking a point or two here, but over 100. I did a test last night where at the end of the single replay, using an entirely new strategy with a unique name I had roughly $27K in profit per the control center, but over $70K per the performance report. I checked the performance report, and the correct number of trades are there, but the prices for the trades were so very wrong.

    It is incredibly alarming to find glitches like this in such expensive software This makes me feel like I'm wasting my time as well as having wasted my money.

    edit to add more: I can go to the performance report, and have all of the templates displayed - and the strategy I was using is at the very top of the list. So, I tick off everything else, and leave just the strategy I was using, and it doesn't display. It looks like you are using the "templates" filter option to filter stop filter templates instead of strategy templates. So, this means that if you've built an ATM strategy using a custom (but unsaved stop strategy) you cannot get a report for it. Well, not without manually filtering through the report - which DOES include the actual freaking name of the ATM strategy you used. The documentation says "Sets the ATM strategies to be included in the performance report" - except that doesn't work if you want to filter on that strategy.
    I have the same issue. I hope they fix this soon.

    Comment


      #3
      Hello,

      Thanks for opening the thread.

      Increasing playback speed is useful for fast forwarding to a certain point in time. I expect timing to have a factor if you are trying to close out positions manually while playing back at a higher speed. If you slow down playback to 1x, then I would expect consistency with when your order is submitted/gets filled. Could you confirm that you are not manually placing orders when you are seeing results with Playback that are in question?

      In the video below, I show a quick test of starting Playback, entering a trade, speeding up playback and letting the position close from the ATM strategy. I then generate a new Trade Performance report to see these results. I also test filtering by ATM Strategy Template name. Can you confirm the same?

      Demo - https://drive.google.com/file/d/1dY3...w?usp=drivesdk

      Trade Performance will show the time of the entry and the time of the exit. These times are relevant to the current playback time when the order was executed. Are you wanting to have your PC clock time recorded instead? This could be confusing to reference when an order was filled based on your PC clock time vs. the time that the order fill was simulated in playback.

      If this does not resolve your inquiry, could you provide an ATM Strategy Template and some steps we can take to encounter the same symptoms you are seeing?

      It can also help to provide screenshots or a video like I have so we can be sure we are making the same tests.

      I look forward to assisting.
      JimNinjaTrader Customer Service

      Comment


        #4
        There were two way trades would close - they'd stop out, or I would pause the playback and exit them (and then re-enter) before starting the playback again. The problem is that I have a 50 point trailing stop set, and it works properly when it comes to executing the trades. But when it reports trades, it shows losses that are way too large (for example, over 200), and gains that are substantially higher than I let happen before closing out positions (again, over 200 when I would almost never let anything go past 60 or 70).

        This isn't an issue of me thinking I clicked the button sooner or later than I did. This is an issue of the performance report being wildly inaccurate.

        Comment


          #5
          Hello Vinhasa,

          Could you attach some screenshots of the Trade Performance report for our review?

          Please include a screenshot of the Trades display with a trade in question highlighted, with Entry time, Entry Price, Exit time, and Exit Price all in view. Please then provide a screenshot of the Executions display that will have the executions that have built this trade in view.

          I would ask that when you test to reproduce the issue, we test to only look at a few trades so we can isolate the symptoms and give our analysis.

          Attaching a screenshot

          To send a screenshot with Windows 7 or newer I would recommend using the Windows Snipping Tool.

          Click here for instructions

          Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.

          Click here for detailed instruction

          I look forward to assisting.
          Last edited by NinjaTrader_Jim; 07-28-2020, 07:16 AM.
          JimNinjaTrader Customer Service

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