Prices not rounded in backtest results

[adamus]

I just ran a backtest, and in the Strategy Analysis trade window the prices are often not rounded to the ticks, e.g. for EURUSD forex:

1.03475
1.027453102
1.029395636
1.03175
1.029167089
1.0269485
1.022742568

I haven't checked if this rounding error occurs before or after the statistics based on these prices are calculated. Hopefully afterwards.

[NinjaTrader_Austin]

adamus, which instrument is this for? Is it reproducible? If so, can you send us your strategy and let us know exactly how to re-create these non-round values?

[adamus]

Hi Austin,

it's the EUR.USD forex pair. The results are the backtest of my strategy, which has the settings:

Item                    Value
"Parameters"    
Param1                  1
Param2                  1
"Data series"    
"Price based on"        Last
"Type"                  Minute
"Value"                 60
"Time frame"     
"From"                  01/01/2000
"To"                    17/04/2010
Session template        <Use instrument settings>
General    
Include commission      False
Label                   TrendFollower
Maximum bars look back  TwoHundredFiftySix
Min. bars required      55
Historical Fill Processing    
Fill type               Default
Slippage                0
Order Handling    
Entries per direction   1
Entry handling          AllEntries
Exit on close           True
Order Properties    
Default quantity        100000
Set order quantity      by default quantity
Time in force           Day

The strategy is attached as a file - unfortunately it is not profit-making so it is only of interest due to its ability to produce this bug in 7-beta.

[NinjaTrader_Austin]

adamus, sorry I forgot to ask this in the first post, but who is your data provider? I will try this with the data I have available and see if I can reproduce.

As a side note: it would probably be much faster and easier for you if you just took a screenshot of the settings in the future instead of typing it all out.

[NinjaTrader_Austin]

Just finished up a test with eSignal data but I was unable to reproduce the non-rounded prices. Are those prices the actual prices reported by your data provider? If so, that would be why they aren't rounded.

[adamus]

Originally Posted by NinjaTrader_Austin

Just finished up a test with eSignal data but I was unable to reproduce the non-rounded prices. Are those prices the actual prices reported by your data provider? If so, that would be why they aren't rounded.

This is a backtest against data I imported into NT myself.

There is no way that such prices came from that data, which is totally clean in this respect.

These prices are obviously the un-rounded moving average values which I pass into the limit and stop orders. Surely NT is rounding them when it creates the order?

[NinjaTrader_Josh]

adamus,

Please check into if you are getting partial fills. If you are, the displayed average price is average amongst your fills and can show like that.

[adamus]

Hi Josh,

I'm not getting any partial fills - this is backtesting! I just checked the executions. For instance the sixth execution I get when I run it from 2001-01-01 is 2001-01-15 03:00 @ 0.9471.

However the trade then shows the exit price as 0.947112975 (the previous 5 executions were all accurate).

Also the commission is incorrect, if that perhaps has anything to do with it. It should be $5 commission but it shows only $3.50 has been subtracted from the profit.

[NinjaTrader_Josh]

adamus,

Please try this with SampleMACrossOver and see if you experience the same. If so, please provide us with all information on how you have your commission structure setup as well as the order quantity you are sending at. We will also need screenshots of the orders and trades tabs to see what exactly you are seeing. Thanks.

[NinjaTrader_Austin]

Originally Posted by adamus

Surely NT is rounding them when it creates the order?

Just wanted to chime in real quick and answer this un-answered question. Yes, NT does round the price before sending the order.

[adamus]

I ran a backtest with SampleMACrossover and it didn't show any unrounded characters.

So it is only with my strategy.

The commission is set up as 2.50 minimum and then 2*-5 : 0

Here are the attachments.

[NinjaTrader_Josh]

Please find my results with SampleMACrossOver in the attachments. In Tools>Options>Data I have the quote currency set to Pip. Can you please try this on your end too?

Also, I did not quite follow what you mean by 2*-5 : 0 for commissions. Can you please clarify?

[adamus]

Hi Josh,

I was quite surprised when I ran the SampleMACrossover strategy and didn't get any un-rounded prices.

I checked my Options and set the setting to Pips - it was on half-pips due to the recommendations when loading the data I bought - but it made no difference to the un-rounded occurrences (still frequent).

The 2*-5 : 0 is what is displayed in the properties for the instrument in the commissions tab: the commission is 0.00002 per currency unit. The zero is for units at that level.

[NinjaTrader_Austin]

adamus, would it be possible for you to send us your data? If it is a huge data file, could you find the shortest backtest time-span that produces the un-rounded prices and then just send us just that portion of the data?

We would like to investigate this further and have been unsuccessful so far with the data we have.

EDIT: You can send it to support at ninjatrader dot com attn 'thread 28118, ticket 306645'. Thank you.

[adamus]

Hi Austin,

I'm glad you're prepared to look into it.

However I cannot get the data out of the Historical Data Manager. The export button is permanently greyed-out. What can I do to get it enabled?

The data files which I loaded are from disktrading.com and the files are huges - the smallest I can find is 65MB.