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Discrepancy between Charts (Historical Charts with Tick Replay and Live Data)

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    Discrepancy between Charts (Historical Charts with Tick Replay and Live Data)

    NinjaTrader Support,

    I have a simple strategy that will go long after a certain criteria is met and the current bar breaks the high of the previous bar. The strategy is calculated on price change and I've enabled Tick Reply in my charts.

    However, when viewed historically, the Entry is draw on the chart too early, and not at the high of the bar. I've indicated where the entry should be in my attachment (it should be where the blue line is drawn).

    When I run the strategy live there is no issues - however due to this discrepancy when you look at the strategy from a historical viewpoint it's better than it actually is since the entries are coming too early.

    Any idea what could be causing this?

    Thanks -

    Omer.
    Attached Files

    #2
    Hello Omer,

    Thanks for your post.

    If you are using Tick Replay, please note that this allows us to process OnBarUpdate intrabar with historical data, but it does not allow for historical order fill simulations to be calculated intra bar. To have historical orders filled with intrabar granularity when using Tick Replay, you would need to have a single tick data series added to the script and have orders submitted to that single tick data series.

    Backtesting with intrabar granularity - https://ninjatrader.com/support/help...ipt_strate.htm

    With the example script attached which is a modification of the SampleMACrossover strategy, I see the orders filling where I would expect. Could you test the same on your end, and make sure you are also using the single tick data series? If you are still stuck, could you modify the example so it demonstrates the issue?

    Exporting as source code - https://ninjatrader.com/support/help...tAsSourceFiles

    We look forward to assisting.
    Attached Files
    JimNinjaTrader Customer Service

    Comment


      #3
      That solved my issue - Thank you very much!

      Comment

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