NT8, Rithmic, and OneUp Trader

[MisterGee]

I signed up for the OneUp Trader free trial yesterday to test my algorithms. I have been testing and running my strategies on playback data for a couple months now and everything has been working predictably, without error - printing to output etc (as I monitor the value of a number of variables)

Since connecting to the Rithmic Data feed, my strategy has been behaving out of character, with incorrect values printing, trades not being taken when they should or exited too quickly, SL and TP updates not executing properly. For the record, this strategy is a simple crossover, so as far as I'm concerned there is no input that is so granular or detailed that it should be significantly affected by playback vs live data.

I am wondering if this is a product of being on Rithmic/Live data? As in, could there be some margin of error in the playback data that I have attuned my strategy to? Or maybe there is some type of behind the scenes mechanism on Rithmic's side that I am unaware of that is causing issues?

Any other insight as to what could cause errors when transitioning from playback to Rithmic/Live data is appreciated!

[NinjaTrader_Manfred]

Hello MisterGee,

I would expect the strategy to behave identically, as long as the provider provides all necessary data (e.g. tick-data).

As I don't see a reason why you would not receive this data through the Rithmic connection, I'd like to take a closer look at your log & trace files.

Could you please forward them to us for investigation? The easiest way to do this is through the platform directly.

Simply click on Help > Email Support, and ensure Log & Trace files are selected.

Please also leave the following note in your email, this allows us to quickly associate it with this post:

ATTN Manfred 2949898

Thank you in advance!

[MisterGee]

I will get them sent over ASAP. Thanks!

[MisterGee]

I finally got a chance to watch a position be managed by the strategy (not much opportunity when I'm at my day job). I reviewed my coding and it seems that I had in State.SetDefaults > Calculate = OnEachTick. This leaves me to wonder if that setting does not work on the playback connection since that data is only OHLCV?

I edited the code to onBarClose and re-enabled the strategy. Will wait for another position to be taken to see if management goes a little more as expected.

[NinjaTrader_BrandonH]

Hello MisterGee,

Thank you for that information.

It is possible for data to be slightly different between data feed providers and you would need historical data to match for your strategy to behave the same.

Note that futures data for Market Replay is recorded by CQG.

I see that you have changed the Calculate setting from OnEachTick to OnBarClose. This would also cause differences to be seen. Tick Replay would be used to have the logic process OnEachTick or OnPriceChange with historical data, but this does not allow for intra-bar order fills. You would need to add a single tick data series and submit orders to that single tick data series for a strategy that uses Tick Replay.

SampleIntrabarBacktest 'Backtesting NinjaScript Strategies with an intrabar granularity' - https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

Also, see this forum post for more information - https://ninjatrader.com/support/foru...nce#post100192

If you want to know why a cross did not occur on a specific bar, you would add prints to your script to understand how the script is behaving.

See this forum post for more information about using Prints to understand a strategy's behavior - https://ninjatrader.com/support/foru...ing#post791121

Please let us know if we may assist further.

[MisterGee]

Thank you Brandon,

I changed the calculate setting to OnBarClose because that is how I want the logic to be run. I assumed it was already running as such on the playback connection (I think I misspoke earlier, I use the playback connection, not replay).

I will likely send another round of log/trace files to Manfred this evening when I am able to access my computer again if the strategy has attempted to take positions and done so incorrectly again so that he has more data points to investigate.

Thanks

[NinjaTrader_BrandonH]

Hello MisterGee,

Thank you for your note.

The Playback connection uses Market Replay data. See the help guide link below for more information about Market Replay/Playback.

Playback - https://ninjatrader.com/support/help...8/playback.htm

Let us know if we may further assist.