Strange Bug with Ninja Trader 8 Market Replay

[iantg]

So I finally started testing some strategies in Ninja Trader 8, and at first it looked like I was crushing it until I looked closer and realized that most of my winning trades were coming from a single hour of the day, specially at 12:00 - 12:01. Where each day I would have a series of 5, 10, 20 consecutive winning trades in a matter of seconds. Some of them had positive slippage over $1,000. This sounds crazy right. I am attaching a few photographs of this phenomenon. Has anyone else experienced this? Any ideas what is going on?

Ian

[sledge]

Replay your strategy on that day 2/11/2016 around that time of noon and see what is actually happening.

Or else some post some code that you can share that causes the problem so it can be investigated.

I haven't seen anything like that, other than the issues with templates and running multiple strategies and using the FILTER button...but those trades repeat for X # of connections you may have. You maybe have found something different.

Just to clarify - Are you using Replay Data or Historical Data?

Your AVG MAE = AVG MFE for these trades too. Are you on the latest, NT 8.0.2.0?

[iantg]

Sledge, thanks for reaching out. I am running vs. 8.0.0.9. I am using replay data and running back a strategy in market replay. I have ran the strategy several times and each time I get the same bug. On around half of the days tested, rIght around 12:00 am I get 10-20 orders filled within the first few minutes and they are almost all winners. And some of them have positive slippage too. I tested around 7 months Jan 2016- Jun 2016, using 400 ticks as the time frame. I have been working with NT 7 for about 3 years, and finally got around to testing in 8 since it is faster. I was too lazy to convert my code, but I finally got around to it. There is really nothing fancy about it. I just use basic limit orders, a quantity of 1, and a PT of 15 and SL of 10 for every trade. Everything works fine. But every day or two I see these anomalies around 12:00 am. I was just curious if this was a known bug, maybe the 8.0.0.9 version has this but the newer versions don't.

[sledge]

Sledge, thanks for reaching out. I am running vs. 8.0.0.9. I am using replay data and running back a strategy in market replay.
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I was just curious if this was a known bug, maybe the 8.0.0.9 version has this but the newer versions don't.

That version is too old and no longer valid.

I had some issue where trades wouldn't close out and would go across many days and then finally close out altering results big time.

Please upgrade to the latest and rerun the strategy, and then report back.

[iantg]

Thanks for the insight. I suppose there was a beta version for a reason. I will download the new version and post back if the bug persists. Thanks!

Ian

[iantg]

Updated Version

Today I uninstalled my old version and installed the newest version. The bug still persists. I am enclosing my strategy, along with a photo of the current version details I am running.

To test this. Here are the settings I was using when I observed this.

Instrument: ES 03-16
Specific Dates Effected: It seems to be just about all of them.
Time Settings: 400 Ticks
Strategy Settings: I just used the default settings. I didn't change anything. I did observe that the bug persisted regardless of if I had exit on end of sessions or exit on end of day checked or unchecked. So it made no difference. \
Testing: Market Replay
Data Source: I downloaded the data from Kinetic just a few days ago. This was just the standard option of downloading market replay data.

Again, the bug is when the system enters into a large number of trades right at 12:00 am and nearly all of them are winners and quite a few have large positive slippage.

If there is any additional information that would be required to recreate this let me know. I am looking for a solution, but still baffled by this behavior.

Thanks in advance for the help.

Ian

[sledge]

Again, the bug is when the system enters into a large number of trades right at 12:00 am and nearly all of them are winners and quite a few have large positive slippage.

If there is any additional information that would be required to recreate this let me know. I am looking for a solution, but still baffled by this behavior.


Ian

So far, nothing after replay of 1/4/2016 to 1/20/2016.

Do you have anything else going on up top under filters? Multiple Accounts? Multiple Templates?

[iantg]

Sledge,

Thanks for taking the time to look into this for me. I don't have any special filters or anything like that. I installed the newest version from scratch today and used all the default settings. I did use the same replay data I already had, since it is time consuming to download it again. I may try to re-download the market replay data and see if this resolves the issue. If nothing else, I may test this on another laptop I have and see if the problem persists there. The bug is showing on a windows 8 machine, but I also have a 7 and 10 I can test as well.

Very strange...

[sledge]

I am using data I recorded in NT7 and converted to NT8 through their process at startup.

I simply moved the ES 03-16 and other contracts into ES ##-## folder.

I do have "Chart Trader" turned on.

I assume you attached the strategy to a chart? And did not simply add it in the Control Center->Strategy tab?

[sledge]

Nothing after 4/7/2016...looks normal.

Are you doing anything else? Is this on a clean restart? Or do I need to stop and restart the Playback-Market Replay?

[sledge]

It ran to completion through December 2016. The trade performance report looked fine. Nothing like you saw.

[iantg]

Sledge,

Thanks for testing my code. This at least confirms that there is nothing causing the bug from that end. I have tested this by enabling the strategy in the chart directly, and I have also ran it on the strategies tab without a chart. Both produce the same results. I am enclosing an image of how this behavior appears on a chart.

I think most likely the cause of this is that I somehow have corrupt replay data. I am going to test this on one of my other machines later today with new replay data and see if encounter the same issue.

[NinjaTrader_JessicaP]

If re-downloading replay data does not resolve your query and so that we may have the same test environment on our end that you have on yours, could you repeat these steps? They are reversible.

• Close NinjaTrader
• Rename your (My) Documents\NinjaTrader 8 folder so it becomes (My) Documents\NinjaTrader 8 - real
• Reinstall NinjaTrader 8 from ninjatrader.com/PlatformDirect
• Copy your (My) Documents\NinjaTrader 8 - real\bin\Custom\Strategies\<your strategy>.cs file into the same location in your new installation
• Open Ninja
• Set up your connections again
• Re-download your replay data
• To prevent the need to repeat these steps later, I recommend backing up this folder at this time

If you no longer experience the glut of closely packed trades, this likely means that your old installation was the cause. If you continue experiencing this, please let us know so we may assist further.

[iantg]

So I deleted all the market replay data, along with the all the folders associated with NT8 and then uninstalled it. Then I reinstalled it and upon opening it, I migrated all my market replay data over from 7. This time when I tested it, I did not observe the issue. So I believe the issue was in the market replay data I downloaded from Kinetic recently. Someone may want to look into this further as this may impact other users.

Thanks for all the help.

Ian