BarsSinceEntry() real-time vs. Historical

[michaelbb]

I get different result from BarSinceEntry() in real-time vs. historical data. In real-time I get the entrybar with BarSinceEntry() == 1 / on historical data with BarSinceEntry() == 0 ( CalculateOnBarClose is true).

My goal is to set profit target to BE +/- 1 if entry bar is not moving (close equal or below/above close of signal bar).

My test code for illustration (OnBarUpdate Method):

...
int barSinceEntryLimit = 0;
if (!Historical)
barSinceEntryLimit = 1;
if (isLongTrade && BarsSinceEntry() == barSinceEntryLimit && ( Close[0] <= Close[1] ))
beExitLong = true;
if (isShortTrade && BarsSinceEntry() == barSinceEntryLimit && ( Close[0] >= Close[1] ))
beExitShort = true;
...

Can someone please explain why BarsSinceEntry() works different on historical / real-time data?

[NinjaTrader_Josh]

It depends on when your entry order was actually submitted/filled. Please see this article about the discrepancies between real-time and historical: http://www.ninjatrader-support.com/H...sBacktest.html

[michaelbb]

Dont understand your answer. Link to does not help at all.

Did some debugging to understand what is going on.

From my point of view BarsSinceEntry() is not working correct.

Example:

Signal bar is the bar ending 10:34 (EntryLong is called on barclose of this bar).

In backtest order if filled at 10:34:00 / in market replay order is filled at 10:34:00 / in real time order is filled at 10:34:01.

So entry bar is 10:38 bar in my understanding?

On bar close of 10:38 bar next OnBarUpdate is executed. At this time in backtest BarsSinceEntry() is 0 / in market replay and in real-time BarsSinceEntry() is 1 (real-time not tested / debugged but it would explain error I got yesterday) .

In my opinion BarsSinceEntry() should be 0 on 10:38 bar. But I understand that at processing of OnBarUpdate the 10:42 bar has already started (OnBarUpdate is fired on first tick of 10:42 bar?). So its ok as well if you think that it should be 1. But then it should also be 1 in backtest!!

[NinjaTrader_Dierk]

BarsSinceEntry historical and realtime is the same value: the numbers of bars between when an execution occurred and "CurrentBar". Please make sure you have CalculateOnBarClose=True on your real time tests.

Sample: Is the execution sits on the 10:34 bar of your 1 minute series (you could check on chart) and OnBarUpdate is processing the 10:37 bar, then BarsSinceEntry will be 3 real time and historical.

[michaelbb]

As I told you from my tests it is not the same!

Do you expect the same value or did you test it?

In your example at processing the 10:37 bar BarsSinceEntry() will return 3 on historical data and 4 on market replay or real-time. I assume that "processing the 10:37 bar" means the bar with Time[0] is 10:37 (CalculateOnBarClose=True).

That is result of my tests/debugging.

[NinjaTrader_Dierk]

Please double check that the execution on chart in all cases is on the 10:34 bar.