Somebody from NT support is helping with this, but I wanted to see if the community could help me out a little faster.
I'm seeing strange behavior with my stops when I run strategies in playback. Please see the attached chart screencap for the contract and data series - you'll also see the playback period I used.
The strategy (attached) I ran was a simple test strategy sent to me by NT support. It simply continuously enters a single long position with a SL and PT of 10. I'm running NT version 8.0.12, and this happened on 8.0.11 as well.
Notice on the right side of the chart there are multiple orders stacked up on one bar. The range of that bar is 2 ticks and the strategy SL is 10 ticks, so the stop should not trigger multiple times in this bar. The best way to find one of these scenarios is to run the playback over a few days, export the "trades" display of the performance summary, and search the profit column in excel for any losses that are 1 or 2 ticks.
At first it seemed like NT was treating my one-lot exit as several separate fills, all added up equaling the appropriate gross gain/loss. For instance, many of these multiple order scenarios happen 10 at a time, showing 1 tick P/L each on the performance summary. That might end up with a correct gross P/L, but it causes a big discrepancy when you calculate commissions or number of trades.
But looking further, I found that it doesn't always add up to the correct number of "fills" to equal one contract. The chart screen cap shows five stop orders that correspond to the highlighted rows on the attached spreadsheet (this is based on the millisecond value of the exit time - which you can't see due to excel formatting).
To add further confusion, you can see the trade shown on the chart is entered at 6260.50 (above the high of the current bar), and exited at 6259.50, which is only 8 ticks. This cannot be slippage according to the chart because the bar never went lower than the exit.
Can somebody please help?
I'm seeing strange behavior with my stops when I run strategies in playback. Please see the attached chart screencap for the contract and data series - you'll also see the playback period I used.
The strategy (attached) I ran was a simple test strategy sent to me by NT support. It simply continuously enters a single long position with a SL and PT of 10. I'm running NT version 8.0.12, and this happened on 8.0.11 as well.
Notice on the right side of the chart there are multiple orders stacked up on one bar. The range of that bar is 2 ticks and the strategy SL is 10 ticks, so the stop should not trigger multiple times in this bar. The best way to find one of these scenarios is to run the playback over a few days, export the "trades" display of the performance summary, and search the profit column in excel for any losses that are 1 or 2 ticks.
At first it seemed like NT was treating my one-lot exit as several separate fills, all added up equaling the appropriate gross gain/loss. For instance, many of these multiple order scenarios happen 10 at a time, showing 1 tick P/L each on the performance summary. That might end up with a correct gross P/L, but it causes a big discrepancy when you calculate commissions or number of trades.
But looking further, I found that it doesn't always add up to the correct number of "fills" to equal one contract. The chart screen cap shows five stop orders that correspond to the highlighted rows on the attached spreadsheet (this is based on the millisecond value of the exit time - which you can't see due to excel formatting).
To add further confusion, you can see the trade shown on the chart is entered at 6260.50 (above the high of the current bar), and exited at 6259.50, which is only 8 ticks. This cannot be slippage according to the chart because the bar never went lower than the exit.
Can somebody please help?
Attached Files
Comment