The fills were happening at prices which were outside the limits of the bar that they allegedly occurred on (i.e., an order filled at a price above the High or below the Low of the bar.)
I tried running market replay with SampleMACrossover and found that the problem occurs there, too. I added the strategy to a 150-tick timeframe chart, and here's an example of where it fails:
I tried this on two different computer systems and it happens on both of them.
I also wondered if maybe there was a problem with running the market replay at 500X speed, so I tried it at 1X and it still messes up (in fact the above screen-shot was done after running SampleMACrossover at 1X.)
Note that both the stop-loss order to close a trade and the immediately subsequent buy order to open a new position both filled 2-ticks below the Low of the bar.
I notice the uncanny resemblance to a bug that I reported in Ninja 6.0 back in Oct 2007 (see: http://www.ninjatrader.com/support/f...86&postcount=4) but that problem was related to backtesting (and seems to remain nicely fixed) whereas this one is with the market analyzer (and sadly is stopping me from having any fun right now.)
Comment