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Strategy execution price seems off and plotted wrongly on Chart

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    Strategy execution price seems off and plotted wrongly on Chart

    Hi,

    I am not sure if I have some wrong setting or if there is a technical issue. I am testing a simple crossover strategy for a Future, triggering market orders.
    Input is real-time data from Kinetick. The Chart data is plotted correctly on Chart. But the Executions seems to be off.

    e.g. Execution at 9:24 was logged with 13970 and also plotted wrongly on chart. However the Price was nowhere near. It was 13990.


    What is the Issue here?

    I did reset Simulation accounts and DB yesterday, as I experienced similar behavior the day before (but not consistently).

    Kind regards,
    Stefan

    Attached Files
    Last edited by azuul; 03-02-2021, 03:24 AM.

    #2
    I have 2 different Chart (tick range) with few different strategies on each (2 distinct accounts per Chart) . I reloaded the historical data (again) which seemed to fix it for one chart. However, on the other Chart / Tick range, the execution data is still messed up:
    Attached Files
    Last edited by azuul; 03-02-2021, 03:34 AM.

    Comment


      #3
      Hello azuul,

      Thank you for your post.

      This is likely due to the PC clock on your machine being out of sync.

      Please use the steps below to change/check your Time Zone and sync the PC clock:
      • Shutdown NinjaTrader
      • Right-click the clock in the lower right corner of your desktop
      • Select Adjust date/time
      • For Windows 10 click 'Date, Time, and regional formatting' -> Then click 'Additional date, time, and regional settings' -> then click 'Set the time and date'
      • Select the 'Internet Time' tab at the top
      • Set the server to time.nist.gov and then 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)
      After updating the PC clock, please restart NinjaTrader, then right-click the chart and select Reload All Historical Data. Does the behavior you are reporting still occur after updating your PC clock?

      Please let us know if we may be of further assistance.
      Brandon H.NinjaTrader Customer Service

      Comment


        #4
        Dear Brandon,

        thx for your reply. I tried to change to time.nist.gov, but it was unsuccessful.
        Currently, time is synced with time.windows.com, which seems accurate to me.
        The above deviations are too large (not within seconds).

        However what I realized: I am getting an execution at e.g. 4.10 PM (current time on PC), but FDAX chart is delayed by 15minutes, being at 3.55pm, signal was created at 3.55pm. That means the chart is dragging the execution plot along until 16.09 - where it ends up being displayed wrongly.
        How to avoid such behavior for delayed data feed?


        Kind regards
        Last edited by azuul; 03-02-2021, 09:14 AM.

        Comment


          #5
          Hello azuul,

          Thank you for your note.

          Occasionally, the resync clock operation may not be successful. I suggest you continue to try to resync your PC clock to time.nist.gov instead of time.windows.com. Also, you could try other servers as stated in the last step of the instructions listed in my previous post.

          "If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)"

          Does the behavior you are reporting occur after syncing your PC clock to time.nist.gov?

          Let us know if we may assist further.
          Brandon H.NinjaTrader Customer Service

          Comment


            #6
            Hi Brandon,

            I am not sure if your advise will solve the issue at hand. I will keep trying though, it seems to fail for now.

            Why would you expect that a different time server will make up for 15mins of shift of execution plots on the chart?
            Does time.nist.gov provide additional attributes or formats which NT requires beside the actual time to function correctly?

            Here is the behavior again, which seems to be a rather basic bug:

            Chart data (due to 15minutes delay) displays until 3:55pm - a signal is triggered at 3:55pm Chart time to enter position (Current / correct time on PC is 4.10pm).
            But NT at execution takes the time of PC 4:10pm (No matter if time.nist.gov or time.windows.com!!! it is still 4:10pm!!!) In NT Log and execution tab we have now 4:10pm as reference for an execution which happened at 3:55 (15mins chart time delay due to delayed real time data).
            This seems wrong.

            It messes up everything. The execution at 3:55pm is not STICKING at 3:55pm on chart, but keeps moving with every tick / bar- until 4:10pm is reached - then the execution plot is OFF the chartlines, as the price has moved since 3:55pm.

            You still think that changing timeserver alone can fix this?

            Kind regards,
            Stefan



            Comment


              #7
              Hello azuul,

              Thank you for your note.

              We suggest that you sync your PC clock to time.nist.gov in order to sync your PC clock with the internet time. The time server that you sync with does not matter, as long as the PC clock is synced with internet time.

              Before investigating further into an execution plot issue, please confirm the following.

              Have you been able to successfully sync your PC clock to one of the time.nist.gov time zones?

              Also, please test this behavior using the Simulated Data Feed connection and also test this on a NinjaTrader Demo connection to rule out the possibility of a delay in real-time data. See the link below for signing up for a free NinjaTrader Demo.

              Free NinjaTrader Demo - https://ninjatrader.com/FreeLiveData

              Do you see the same order execution plot behavior occur after syncing your PC clock to time.nist.gov and testing on these data feed connections?

              I look forward to assisting further.
              Brandon H.NinjaTrader Customer Service

              Comment


                #8
                Dear Brandon,

                thanks, I successfully synced to time.nist.gov and I even changed the regional format of time to US (AM / PM) etc. on my PC.
                Unfortunatelly this did not solve the observed behavior at all.

                Again the situation:

                I am receiving 15 Minute delayed "live" data from Kinetick for the FDAX future and having a strategy active on this data feed. (Simulation).

                - Historical Simulation works fine.
                - Live Data Simulation with 15min delay is "broken", as the Chart Data is 15minutes off.
                Reason: NT records the ACTUAL PC time in execution and log (e.g. = 9:15am), while the NT Strategy is on a chart which shows 9:00am while triggering an action on a 9am event.

                Then NT uses the actual (correctly synced PC time) to draw the execution on the chart at 9:15 chart time (= 9:30 PC time) for an event that happened at 9:00am on the chart. So the drawing is 15 Minutes off the chart. Please see attached.

                I strongly assume this must be known bug or feature for delayed "real" data feed for strategy simulation? Question is, (how) can it be resolved - without spending additional 53 US$ for really real time data on top of the 65 US$ Kinetick Base fee.

                Kind regards
                Attached Files
                Last edited by azuul; 03-03-2021, 03:00 AM.

                Comment


                  #9
                  Hello azuul,

                  Thank you for that information.

                  I understand that you connected to a Kinetick data feed and running your strategy on the simulation account.

                  Are you wanting to know how to get real-time, non-delayed data from Kinetick without purchasing the real-time data?

                  If the Kinetick data feed is delayed by 15 minutes and you are not paying for real-time data, this would not be considered a "bug". To get accurate real-time data you would need to purchase the real-time data.

                  Let us know if we may assist further.
                  Brandon H.NinjaTrader Customer Service

                  Comment


                    #10
                    Hi Brandon

                    my intention is simple:

                    Trying to "test" a strategy which seems to work fine in historic simulation in a more realistic environment than using the market replay function.
                    What about I get rid of "internet time" and set my PC manually 15mins to the past. Not ideal, but would it work or cause another issue with NT?

                    I subscribed to Kinetick (65 US $+ some cheap extras for non-professionals), but this does not include the FDAX realtime obviously. (But plenty of other stuff is real-time).
                    I was not aware that NT has not the ability to offset delayed data and would draw strategies wrongly in a non-historic simulation. Strategies work fine on delayed data, but charts / drawing on them become useless.

                    108 US$ per month with sole purpose to get FDAX data (Kinetick) for simulation of a strategy in a bit more realistic setup is too much in my opinion.
                    What are the alternative options for me?

                    Kind regards







                    Comment


                      #11
                      Hello azuul,

                      Thank you for your note.

                      There are no workarounds for making delayed data not delayed any more. You would need to subscribe to real-time FDAX data with Kinetick in order to get accurate real-time data.

                      Let us know if we may assist further.
                      Brandon H.NinjaTrader Customer Service

                      Comment


                        #12
                        Hi Brandon,

                        so if I chose to open a Brokerage account with NT, the best / cheapest option is to pay monthly 108 US$ to receive the real time DAX future date which is required for trading ?

                        Kind regards
                        Stefan


                        Comment


                          #13
                          Hello azuul,

                          Thank you for your note.

                          Since I am part of the NinjaScript Support department and not the Brokerage Sales department I would be unable to confirm that this would be the best/cheapest option. Please contact brokeragesales[AT]ninjatrader.com for more information about the best/cheapest option to receive real-time FDAX data.

                          Let us know if you have further questions.
                          Brandon H.NinjaTrader Customer Service

                          Comment


                            #14
                            Hi Brandon,

                            I tested what would happen if I manually changed my PC clock back 15 minutes and as expected, it was not successful.
                            NT still seems to know the data is delayed and handles it accordingly.
                            All strategy executions are correct, despite 15mins delay, only the chart seems broken / messed up.

                            My conclusion: To correctly display Strategy execution points / lines on the correctly displayed delayed data stream in a chart is a missing feature in current NT version, that amounts to severity of a bug.

                            NT still correctly calculates executions / results, with the tick by tick data coming in on a delayed stream.
                            This missing feature / bug merely hinders the "visual" analysis of strategy simulations on a chart.

                            Please consider it for future versions.

                            Kind regards,
                            Stefan

                            Comment


                              #15
                              Hello azuul,

                              Thank you for your note,

                              Test the SampleMACrossover strategy that comes default with NinjaTrader using the Simulated Data Feed connection. Please note that since the Simulated data feed is fake simulated data that mimics real-time data it would not be possible for the Simulated Data Feed connection to be delayed. Do you see the same behavior occur with the execution plot markers incorrectly displaying on the chart?

                              If the behavior does not occur when testing the above, you would need to purchase real-time data for the FDAX instrument from Kinetick in order to have accurate charts. If the behavior continues after signing up for real-time FDAX data through Kinetick, please let us know and we will investigate this matter further.

                              Let us know if we may assist further.
                              Brandon H.NinjaTrader Customer Service

                              Comment

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