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Direct MessagesDate/Time: Fri, 26 Apr 2024 00:22:41 +0000
Trouble with Back Test ?
View Count: 2788
| [2013-04-06 00:37:47] |
| Tedward - Posts: 13 |
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Hello I'm having a small issue with back testing. I'm back testing a trading system against the E-mini 5 minute intraday June contract (ESM3). I'm connected to the SC Historical Intraday Futures Data. For some reason, on just one day, the SC back testing system includes two trades after hours even though my chart is set to eliminate after hours data? All other days include just regular hours trades. Any idea on why this may be happening? Thanks |
| [2013-04-08 20:13:19] |
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So you are saying the Session Times in Chart>>Chart Settings do not include non-Day session hours.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-04-08 20:13:32
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| [2013-04-08 20:33:53] |
| Tedward - Posts: 13 |
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Yes that is correct. The chart settings do not include non day session hours. It works perfectly on every other day but this one day? I've tried reloading the data but this after hours trade is always included. Very strange. Thanks for your help
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| [2013-04-08 20:37:29] |
| Tedward - Posts: 13 |
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And I wanted to add that I've back tested numerous times over the last several days and it includes this trade every time.
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| [2013-04-09 22:04:13] |
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How are you concluding this? Can you post lines of the Fills in the from the Trade >> Trade Activity Log that shows a Date-Time outside of the Session Times in Chart >> Chart Settings. And let us know what the Session Times are set to. Here are the instructions: http://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-04-10 21:19:47] |
| Tedward - Posts: 13 |
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Orders shown below. AS you can see they are outside the session end time which is set to 14:15 MST. Also not sure where it is getting a qty of eight since I have max qty set to 4? Thanks for any help ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity AccountInfo OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2013-04-03 14:37:30.004 [SIM]ESM3 ESM3 5 min #1 | User order entry. Flatten&Cancel 9569 Market 8 Buy Order Sent Simulation Close Order 2013-04-03 14:37:30.005 [SIM]ESM3 Simulated order accepted 9569 9569 Market 8 Buy Open Simulation Close Order 2013-04-03 14:37:30.006 [SIM]ESM3 Trade simulation fill. Bid: 1564.25 Ask: 1564.25 9569 9569 Market 8 Buy Filled 1564.25 8 Simulation Close Fill 2013-04-03 14:37:30.007 [SIM]ESM3 Trade simulation fill. Bid: 1564.25 Ask: 1564.25 9569 9569 Market 8 Buy Filled 1564.25 8 Simulation Close 9569.5 Order 2013-04-03 14:55:26.004 [SIM]ESM3 ESM3 5 min #1 | User order entry. Flatten&Cancel 9630 Market 4 Sell Order Sent Simulation Close Order 2013-04-03 14:55:26.005 [SIM]ESM3 Simulated order accepted 9630 9630 Market 4 Sell Open Simulation Close Order 2013-04-03 14:55:26.006 [SIM]ESM3 Trade simulation fill. Bid: 1564.25 Ask: 1564.25 9630 9630 Market 4 Sell Filled 1564.25 4 Simulation Close Fill 2013-04-03 14:55:26.007 [SIM]ESM3 Trade simulation fill. Bid: 1564.25 Ask: 1564.25 9630 9630 Market 4 Sell Filled 1564.25 4 Simulation Close 9630.31 Order 2013-04-03 15:45:41.000 [SIM]ESM3 ESM3 5 min #1 | User order entry. Flatten&Cancel 10203 Market 4 Sell Order Sent Simulation Close Order 2013-04-03 15:45:41.001 [SIM]ESM3 Simulated order accepted 10203 10203 Market 4 Sell Open Simulation Close Order 2013-04-03 15:45:41.002 [SIM]ESM3 Trade simulation fill. Bid: 1548.25 Ask: 1548.25 10203 10203 Market 4 Sell Filled 1548.25 4 Simulation Close Fill 2013-04-03 15:45:41.003 [SIM]ESM3 Trade simulation fill. Bid: 1548.25 Ask: 1548.25 10203 10203 Market 4 Sell Filled 1548.25 4 Simulation Close 10203.1 |
| [2013-04-11 20:35:38] |
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We have looked into this. Each of these Flatten order actions was done when the chart was not replaying so the time shown is going to be the time the action was performed. If the chart was replaying, the Order Action Source would clearly indicate that. The quantity of 8 would have been based upon the actual Position Quantity at the time the Flatten was done. So it must have been 8. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-04-11 20:54:00] |
| Tedward - Posts: 13 |
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Maybe I'm misunderstanding but this order shows up every time I replay the chart. Even if this was somehow done when the chart was not replaying would the trade not be removed when I say to clear the trade data for the symbol? If I replay the chart right now that trade will show up? Is there some way to clear this trade that I'm not aware of? Thanks |
| [2013-04-11 21:16:46] |
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That order is the result of the Flatten and Cancel cell: http://www.sierrachart.com/index.php?l=doc/doc_SystemsAlerts.php#FlattenandCancelWorkingOrders It will not necessarily be removed because it depends upon the Trade Activity Source. That could either be Simulated or Replay/BackTest. And it could also be added after. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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