NinjaTrader Strategies - Mechanical Trading General Discussions - Ask general questions, post charts and videos - backtesting, optmisation and strategy anlyasis
21/04/2010 14:53:59
Tom Leeson
Administrator
Posts: 661
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Trading Validation
Session Time
Session Limits
Strategy runs on a bar close basis.
The signals are taken on a bar close basis
Profit is calculated on each order action by NT
Trade entry Validation occurs on bar close and now pre order submission –
Where a market order SAR was placed – I have split the order so I can let the exit occur and then validate again before the entry is submitted to broker.
Validation can only occur in the order lifecycle – on or onBarUpdate
Impact of onBarClose or orderUpdate Validation
It is possible to have a limit set of 100 - and the realized + unrealized profit profit to be > 100 but that wont be processed until the onbarclose or the next onOrderupdate
So it is possible on bar close that the profit is 20 and so the session continues.
It also works for trades that a re loosers that become profitable.
So in the end it balances out – compared to acting on every tick.
Customisation options
Process on Tick
Process on bar close is the strategy method – on tick is not in scope of any easy changes.
Each tick would call the validation procedures intrabar – and if need be close and lock sessions
Each first tick would process signals – but would look backwards to the previous bar close[-1] instead of close[0]
This calls for extensive rework and alos testing with other indicators
Windows Timer
place a timer in the code which wont work for backtesting and historical – Timer will be disabled
for historical data. This will call the validation procedures intrabar – and if need be close and lock sessions
Easy but only works for realtime
onMarketData
Place a call to onMarketData – again this will act in a different manner realtime to historical. There will more events intrabar realtime and maybe only 1 per bar historical.
This will call the validation procedures intrabar – and if need be close and lock sessions
Easy but realtime and historic may not be the same behaviours
Summary
Windows Timer and Market Data realtime changes only – this may not work the same in backtesting or historical – but is east to implement.
For onTick bar close – extensive rework and testing is required is complex and requires feasibility study based on unknown indicator integration impact.
Current Situation
For now I have implemented onbarclose add preorder – which means realized + unrealized profit is only validated - so sometimes you will have a trade on that breaches the limit intra-bar
but is not closed and session locked….
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MicroTrends tom
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