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Order doesn't fill real time in simulation even filled historically

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    Order doesn't fill real time in simulation even filled historically

    Hey fellas,

    I'm likely missing out on a concept here but I'm trying to debug a strategy since some entries aren't being made.

    I'm testing in Market Replay so please help me understand something. Let's say that my Playback control is at 10:00AM. While on the chart, I enable the strategy. After enabling it, I can see the orders that it's placed prior to the 10:00AM counter. If I want to replay one of those entries, I Go To that prior trade time with the strategy running.
    Shouldn't the entry occur? I'm not seeing it.

    You can see examples with Stoch1-Fill showing the Fill and Stoch1-NoFill showing the same time frame with no fill/order.
    What's happening here?
    Attached Files

    #2
    Hello PN720,
    Thanks for your post.

    Can you confirm that the strategy is enabled on your Control Centers 'Strategies' tab while this is occurring?

    Do you receive an error on screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?
    JoshNinjaTrader Customer Service

    Comment


      #3
      Ah, ok, guys. The Strategy is enabled but I do see an error in the Log file about the stop price being greater than or equal to close of current bar. It looks like the strategy is immediately disabled after that.

      I'll see if I can find the error in the script. Thanks.

      Comment


        #4
        Just to give a little insight as to what is occurring...

        Historical data consists of OHLCV values of each bar in a data series. When a strategy is run with real-time data(or Market Replay in this case), it first processes the historical data to create trade history and then it proceeds to processing real-time data. Real time data develops on a tick by tick basis as the data comes in and then creates bars with this data.

        So, when you start Market Replay and see an execution occurred, it MUST have occurred within the OHLC of that bar. Once you rewind Market Replay it is playing back as if it is live, and thus you can get these scenarios that would not occur on a historical bar.

        I suggest reviewing both of the following links for an in-depth explanation on the differences between real-time and historical fills.

        Help Guide - Discrepancies: Real-Time vs Backtest
        Forum Post - Comparing real-time, historical, and replay performance

        Let me know if you have questions.
        JoshNinjaTrader Customer Service

        Comment

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