Recalculate strategy not working

[terenyi]

I just tried the "recalculate on connection loss" feature (by intentionally disconnecting the computer from the network), but neither does the chart get reloaded after the reconnect (i.e. missing bars do not show up) nor does the startegy use the missing bars when it's being recalculated (OnBarUpdate is not fired upon the missing bars).

Have a look at the following output (I ran the strategy on a chart with only 10 1min bars loaded initially to make the output less cluttered):

**NT** Enabling NinjaScript strategy 'TestStrategy2/7939fb2a38ef4636ba6eff5d4920e754' : On starting a real-time strategy - StrategySync=SubmitImmediately SyncAccountPosition=True EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=PerEntryExecution ErrorHandling=StopStrategyCancelOrdersClosePositions ExitOnClose=True/ triggering 30 before close Set order quantity by=Strategy ConnectionLossHandling=Recalculate DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True MaxRestarts=99 in 60 minutes
OnBarUpdate: Bar #0 [13.01.2010 01:45:00] (Historical)
OnBarUpdate: Bar #1 [13.01.2010 01:46:00] (Historical)
OnBarUpdate: Bar #2 [13.01.2010 01:47:00] (Historical)
OnBarUpdate: Bar #3 [13.01.2010 01:49:00] (Historical)
OnBarUpdate: Bar #4 [13.01.2010 01:51:00] (Historical)
OnBarUpdate: Bar #5 [13.01.2010 01:52:00] (Historical)
OnBarUpdate: Bar #6 [13.01.2010 01:53:00] (Historical)
OnBarUpdate: Bar #7 [13.01.2010 01:54:00] (Historical)
OnBarUpdate: Bar #8 [13.01.2010 01:55:00] (Historical)
**NT** Syncing account position on starting strategy 'TestStrategy2/7939fb2a38ef4636ba6eff5d4920e754'. Account position='' Strategy position='' 
OnConnectionStatus: Bar #9 [13.01.2010 01:55:00]
Order Status: Connecting
Price Status: Connected
OnConnectionStatus: Bar #9 [13.01.2010 01:55:00]
Order Status: Connected
Price Status: Connected
OnBarUpdate: Bar #9 [13.01.2010 01:56:00] (Live)
OnBarUpdate: Bar #10 [13.01.2010 01:58:00] (Live)
OnConnectionStatus: Bar #10 [13.01.2010 01:58:00]
Order Status: ConnectionLost
Price Status: ConnectionLost
**NT** Strategy 'TestStrategy2/7939fb2a38ef4636ba6eff5d4920e754' lost price connection for more than 10 seconds and will be restarted.
**NT** Disabling NinjaScript strategy 'TestStrategy2/7939fb2a38ef4636ba6eff5d4920e754'
**NT** Enabling NinjaScript strategy 'TestStrategy2/7939fb2a38ef4636ba6eff5d4920e754' : On starting a real-time strategy - StrategySync=SubmitImmediately SyncAccountPosition=True EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=PerEntryExecution ErrorHandling=StopStrategyCancelOrdersClosePositions ExitOnClose=True/ triggering 30 before close Set order quantity by=Strategy ConnectionLossHandling=Recalculate DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True MaxRestarts=99 in 60 minutes
OnBarUpdate: Bar #0 [13.01.2010 01:45:00] (Historical)
OnBarUpdate: Bar #1 [13.01.2010 01:46:00] (Historical)
OnBarUpdate: Bar #2 [13.01.2010 01:47:00] (Historical)
OnBarUpdate: Bar #3 [13.01.2010 01:49:00] (Historical)
OnBarUpdate: Bar #4 [13.01.2010 01:51:00] (Historical)
OnBarUpdate: Bar #5 [13.01.2010 01:52:00] (Historical)
OnBarUpdate: Bar #6 [13.01.2010 01:53:00] (Historical)
OnBarUpdate: Bar #7 [13.01.2010 01:54:00] (Historical)
OnBarUpdate: Bar #8 [13.01.2010 01:55:00] (Historical)
OnBarUpdate: Bar #9 [13.01.2010 01:56:00] (Historical)
OnBarUpdate: Bar #10 [13.01.2010 01:58:00] (Historical)
[COLOR=red]OnBarUpdate: Bar #11 [13.01.2010 01:59:00] (Historical)[/COLOR]
**NT** Syncing account position on starting strategy 'TestStrategy2/7939fb2a38ef4636ba6eff5d4920e754'. Account position='' Strategy position='' 
OnConnectionStatus: Bar #12 [13.01.2010 01:59:00]
Order Status: Connecting
Price Status: Connected
OnConnectionStatus: Bar #12 [13.01.2010 01:59:00]
Order Status: Connected
Price Status: Connected
[COLOR=red]OnBarUpdate: Bar #12 [13.01.2010 02:04:00] (Live)[/COLOR]
OnBarUpdate: Bar #13 [13.01.2010 02:05:00] (Live)

The strategy was disconnected between 01:59 and 02:04. Note how Bar 11 is 01:59 and bar 12 is 02:04. Even though OnBarUpdate is called on all bars, the historical data ends at bar 11 (i.e. the missing bars were not loaded).

BTW: Timestamps in OnConnectionStatus are off because CurrentBar is already incremented by one but Time[0] still contains the time of the previous completed bar. This is not an error but just to explain the output.

EDIT: Some additional info: Account is GAIN (live, US), chart is $EURUSD 1min, NT servers for historical data.

[NinjaTrader_JoshP]

terenyi,

To clarify, recalculate does not mean reloading of historical data. The use case for recalculate is to try and resync the AP to the SP.

[terenyi]

Oh ok, now I understand. I thought Recalculate would also reload the missing data to make sure the strategy calculation does not get messed up.

So the only difference is that when using Recalculate then the sync mechanism is invoked (actually only if sync = true as well) but the state of the strategy is lost as a new instance is created and when using KeepRunning then basically nothing happens (and the strategy would have to take care of any synchronization itself)?

Maybe another option "ReloadAndRecalculate" would be a nice thing to have (which ideally would only load the missing data and not all data). I actually found out how to programmatically force the historical data to be reloaded after the reconnect (obvioulsy using an unsupported way) so I should be able to get that behaviour.

[NinjaTrader_JoshP]

Your understanding is correct. Thank you for the suggestion.

[adamus]

Oh ok, now I understand. I thought Recalculate would also reload the missing data to make sure the strategy calculation does not get messed up.

So the only difference is that when using Recalculate then the sync mechanism is invoked (actually only if sync = true as well) but the state of the strategy is lost as a new instance is created and when using KeepRunning then basically nothing happens (and the strategy would have to take care of any synchronization itself)?

Maybe another option "ReloadAndRecalculate" would be a nice thing to have (which ideally would only load the missing data and not all data). I actually found out how to programmatically force the historical data to be reloaded after the reconnect (obvioulsy using an unsupported way) so I should be able to get that behaviour.

Hi Terenyi,

I'm looking at the same situation that you were looking at - could you give me some pointers about scripting the strategy to reload the data?

I'm not sure that I want to do that every disconnect, especially when my connectivity with my broker (IB) is so bad, but I think I'd certainly want to reload some data if I missed more than a minute of data.

However with IB, loading historical data is fantastically slow, and the number of disconnects can be large, so that would make a lethal combination unless it was carefully balanced.

Thanks