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Date/Time: Wed, 17 Oct 2018 06:40:32 +0000



Trouble with Back Test ?

Support Request:
[2013-04-06 00:37:47]
Tedward - Posts: 13
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]
Sierra Chart Engineering - Posts: 64891
So you are saying the Session Times in Chart>>Chart Settings do not include non-Day session hours.
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Date Time Of Last Edit: 2013-04-08 20:13:32
[2013-04-08 20:33:53]
Tedward - Posts: 13
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
[2013-04-08 20:37:29]
Tedward - Posts: 13
And I wanted to add that I've back tested numerous times over the last several days and it includes this trade every time.
[2013-04-09 22:04:13]
Sierra Chart Engineering - Posts: 64891
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-04-10 21:19:47]
Tedward - Posts: 13
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]
Sierra Chart Engineering - Posts: 64891
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-04-11 20:54:00]
Tedward - Posts: 13
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]
Sierra Chart Engineering - Posts: 64891
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

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