Session templates in NT7

March 13th, 2012, 05:26 PM

From what I have read, NT should handle daylight saving time with respect to templates. I live in GMT+1, and my PC is set up (Windows 7) to adjust for DST. We dont actualy shift until the last weekend of March, so we have not yet entered DST.
I am running with template US Equities RTH, which should mean 9.30-16.00 or 15.30 -22.00 here in central Europe. However, from this week, the template has shifted to 14.30-21.00 (or 8.30-15.00 NY time) , meaning that it starts one hour earlier than what I would expect. Anyone else experienced similar issues in NT7? My computer has not entered DST and displays the expected local time. The template says it should run between 9.30-16.00 in UTC-5. I have created a copy with settings 10.30-17.00 (UTC-5) today, and that corresponds to actual opening times of US Equities.

March 14th, 2012, 06:27 AM

ValutaTrader

From what I have read, NT should handle daylight saving time with respect to templates. I live in GMT+1, and my PC is set up (Windows 7) to adjust for DST. We dont actualy shift until the last weekend of March, so we have not yet entered DST.
I am running with template US Equities RTH, which should mean 9.30-16.00 or 15.30 -22.00 here in central Europe. However, from this week, the template has shifted to 14.30-21.00 (or 8.30-15.00 NY time) , meaning that it starts one hour earlier than what I would expect. Anyone else experienced similar issues in NT7? My computer has not entered DST and displays the expected local time. The template says it should run between 9.30-16.00 in UTC-5. I have created a copy with settings 10.30-17.00 (UTC-5) today, and that corresponds to actual opening times of US Equities.

It seems that NinjaTrader is cleverer than you.

The US already has entered DST, and shifting the session times to 14:30 - 21:00 is absolutely correct, as this corresponds to 9:30 - 16:00 EST (New York) time.

The only issue is that you did not realize that DST starts two weeks earlier in the US than in Europe.

When summertime starts in Europe in 2 weeks, NinjaTrader will shift the US session back to 15:30 - 22:00.

March 14th, 2012, 07:29 AM

ah, of course

Did not look at the equity markets themselves other than the data series from the 24h future market, so I did not see that US Equities was actually closed at the same time the template finished.

Then, everything is great actually, and I would expect NT to adjust again during the last weekend of March when Europe changes.

March 14th, 2012, 01:19 PM

I actually do have a second/followup question to this.

I am testing on a simulation account, with a template now that runs only between 9.30-11 US Equity time. That period seems to give good results on RangeNoGap(4) - trend following, since you get longer trends within this period relative to choppy changes.

I have ExitOnClose, and today (which may have to do with me reloading my templates) my strategies did not close my positions at 11 (end of template). Is this expected behavior? (in other words, should I flatten positions in my scripts?) I closed down everything, and reloaded my workspace and now my strategies display in yellow since both CL and GC futures come up with open positions at the end of the session (11 AM) when preloading historical calculations. I would perhaps thought that the positions would be closed at the end of the session, and strategies being green from now until Tomorrow at 9.30 when the template continues?

Attached is a screen dump of how my window looks at this point in time. Session ended at 16 GMT+1 as expected, but CL position not closed (though I have specified ExitOnClose and 120 seconds time buffer for closing).

March 14th, 2012, 03:29 PM

ValutaTrader

I actually do have a second/followup question to this.

I am testing on a simulation account, with a template now that runs only between 9.30-11 US Equity time. That period seems to give good results on RangeNoGap(4) - trend following, since you get longer trends within this period relative to choppy changes.

I have ExitOnClose, and today (which may have to do with me reloading my templates) my strategies did not close my positions at 11 (end of template). Is this expected behavior? (in other words, should I flatten positions in my scripts?) I closed down everything, and reloaded my workspace and now my strategies display in yellow since both CL and GC futures come up with open positions at the end of the session (11 AM) when preloading historical calculations. I would perhaps thought that the positions would be closed at the end of the session, and strategies being green from now until Tomorrow at 9.30 when the template continues?

Attached is a screen dump of how my window looks at this point in time. Session ended at 16 GMT+1 as expected, but CL position not closed (though I have specified ExitOnClose and 120 seconds time buffer for closing).

Did you use the ExitOnClose command in the Initialize() section?

March 14th, 2012, 04:44 PM

Yes, I do actually

EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
CalculateOnBarClose = true;
IncludeCommission = true;
Slippage = 1;
ExitOnClose = true;
// RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction;
// IgnoreOverFill = true;
SetStopLoss("", CalculationMode.Ticks, sl, false);
SetProfitTarget("", CalculationMode.Ticks, tp);

Does not seem to make any difference though. However, when I investigate the logs from when I was running two instances of the strategy, it does initiate Exit On Close, so the events work. What I am not sure of however, is whether it only tries to delete the SL and TP orders associated with the positions (1 lot on each instrument/strategy) or if it tries to flatten the positions as well. In the config of NT it only says "Cancel Entry.. " and "Cancel Exit orders", and nothing about current positions. I mean, I thought it did both. It would make no sense to remove an SL but keep the position (or vice versa), leaving an unprotected market position. I believe there is an exit/uninitialize event or something that I could use to test and flatten the positions.

14.03.2012 15:59:30|1|128|Exit on close handling for strategy 'VTFlowTrader' started.
14.03.2012 15:59:30|1|128|Exit on close handling for strategy 'VTFlowTrader' started.
14.03.2012 15:59:30|1|32|Order='ad99c260b3bb404c96d2ba7b2074095a/Sim101' Name='Stop loss' New state=PendingCancel Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=1662,7 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='cf28b5d83f7b4b5d800a8f98457d1763/Sim101' Name='Profit target' New state=PendingCancel Instrument='GC 04-12' Action=BuyToCover Limit price=1617,7 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='937773f619004f1b863392f92c6b327c/Sim101' Name='Exit on close' New state=PendingSubmit Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|128|Exit on close handling for strategy 'VTFlowTrader' started.
14.03.2012 15:59:30|1|32|Order='7de58f495ba54fc08d131b766132d514/Sim101' Name='Stop loss' New state=PendingCancel Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=108,1 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='d88028f9b97e415aa24516e2cb508225/Sim101' Name='Profit target' New state=PendingCancel Instrument='CL 04-12' Action=BuyToCover Limit price=103,6 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='adcf33423bc7473a8a61fb45a95cb005/Sim101' Name='Exit on close' New state=PendingSubmit Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='937773f619004f1b863392f92c6b327c/Sim101' Name='Exit on close' New state=Accepted Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='937773f619004f1b863392f92c6b327c/Sim101' Name='Exit on close' New state=Working Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='937773f619004f1b863392f92c6b327c/Sim101' Name='Exit on close' New state=Filled Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=1 Fill price=1647,6 Error=NoError Native error=''
14.03.2012 15:59:30|1|16|Execution='dfa808194d02428e9d15369c7c60d677' Instrument='GC 04-12' Account='Sim101' Exchange=Default Price=1647,6 Quantity=1 Market position=Long Operation=Insert Order='937773f619004f1b863392f92c6b327c' Time='14.03.2012 15:59:30'
14.03.2012 15:59:30|1|64|Instrument='GC 04-12' Account='Sim101' Avg price=1647,6 Quantity=0 Market position=Short Operation=Remove Currency=Unknown
14.03.2012 15:59:30|1|32|Order='cf28b5d83f7b4b5d800a8f98457d1763/Sim101' Name='Profit target' New state=Cancelled Instrument='GC 04-12' Action=BuyToCover Limit price=1617,7 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='ad99c260b3bb404c96d2ba7b2074095a/Sim101' Name='Stop loss' New state=Cancelled Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=1662,7 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='adcf33423bc7473a8a61fb45a95cb005/Sim101' Name='Exit on close' New state=Accepted Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='adcf33423bc7473a8a61fb45a95cb005/Sim101' Name='Exit on close' New state=Working Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='adcf33423bc7473a8a61fb45a95cb005/Sim101' Name='Exit on close' New state=Filled Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=1 Fill price=106,39 Error=NoError Native error=''
14.03.2012 15:59:30|1|16|Execution='b7c5e16ee8db44fd8d1597087aaf0063' Instrument='CL 04-12' Account='Sim101' Exchange=Default Price=106,39 Quantity=1 Market position=Long Operation=Insert Order='adcf33423bc7473a8a61fb45a95cb005' Time='14.03.2012 15:59:30'
14.03.2012 15:59:30|1|64|Instrument='CL 04-12' Account='Sim101' Avg price=106,39 Quantity=0 Market position=Short Operation=Remove Currency=Unknown
14.03.2012 15:59:30|1|32|Order='d88028f9b97e415aa24516e2cb508225/Sim101' Name='Profit target' New state=Cancelled Instrument='CL 04-12' Action=BuyToCover Limit price=103,6 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:30|1|32|Order='7de58f495ba54fc08d131b766132d514/Sim101' Name='Stop loss' New state=Cancelled Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=108,1 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='fa7b7ee058bd4fb68b73c93d411a0be7/Sim101' Name='Short' New state=PendingSubmit Instrument='GC 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='fa7b7ee058bd4fb68b73c93d411a0be7/Sim101' Name='Short' New state=Accepted Instrument='GC 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='fa7b7ee058bd4fb68b73c93d411a0be7/Sim101' Name='Short' New state=Working Instrument='GC 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='fa7b7ee058bd4fb68b73c93d411a0be7/Sim101' Name='Short' New state=Filled Instrument='GC 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=1 Fill price=1647,5 Error=NoError Native error=''
14.03.2012 15:59:35|1|16|Execution='7dd3be0205fe4fa7a64b7da9bcef5255' Instrument='GC 04-12' Account='Sim101' Exchange=Default Price=1647,5 Quantity=1 Market position=Short Operation=Insert Order='fa7b7ee058bd4fb68b73c93d411a0be7' Time='14.03.2012 15:59:35'
14.03.2012 15:59:35|1|64|Instrument='GC 04-12' Account='Sim101' Avg price=1647,5 Quantity=1 Market position=Short Operation=Insert Currency=Unknown
14.03.2012 15:59:35|1|32|Order='8e9e55fff17b45aab19bb511e1acb3b6/Sim101' Name='Stop loss' New state=PendingSubmit Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=1662,5 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='39c519654599404bb2b678932e1a65f7/Sim101' Name='Profit target' New state=PendingSubmit Instrument='GC 04-12' Action=BuyToCover Limit price=1617,5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='8e9e55fff17b45aab19bb511e1acb3b6/Sim101' Name='Stop loss' New state=Accepted Instrument='GC 04-12' Action=BuyToCover Limit price=0 Stop price=1662,5 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='39c519654599404bb2b678932e1a65f7/Sim101' Name='Profit target' New state=Accepted Instrument='GC 04-12' Action=BuyToCover Limit price=1617,5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:35|1|32|Order='39c519654599404bb2b678932e1a65f7/Sim101' Name='Profit target' New state=Working Instrument='GC 04-12' Action=BuyToCover Limit price=1617,5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='e182b2cf41e74b27a5ab41e78e0c0d8a/Sim101' Name='Short' New state=PendingSubmit Instrument='CL 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='e182b2cf41e74b27a5ab41e78e0c0d8a/Sim101' Name='Short' New state=Accepted Instrument='CL 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='e182b2cf41e74b27a5ab41e78e0c0d8a/Sim101' Name='Short' New state=Working Instrument='CL 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='e182b2cf41e74b27a5ab41e78e0c0d8a/Sim101' Name='Short' New state=Filled Instrument='CL 04-12' Action=SellShort Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=1 Fill price=106,35 Error=NoError Native error=''
14.03.2012 15:59:38|1|16|Execution='2fa240716f4e4fde9fb29a594776f67d' Instrument='CL 04-12' Account='Sim101' Exchange=Default Price=106,35 Quantity=1 Market position=Short Operation=Insert Order='e182b2cf41e74b27a5ab41e78e0c0d8a' Time='14.03.2012 15:59:38'
14.03.2012 15:59:38|1|64|Instrument='CL 04-12' Account='Sim101' Avg price=106,35 Quantity=1 Market position=Short Operation=Insert Currency=Unknown
14.03.2012 15:59:38|1|32|Order='21249fc81ba74cb08fe45ff438e792e6/Sim101' Name='Stop loss' New state=PendingSubmit Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=107,85 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='27796f2cd14149dba6078b6fa45a27f2/Sim101' Name='Profit target' New state=PendingSubmit Instrument='CL 04-12' Action=BuyToCover Limit price=103,35 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='21249fc81ba74cb08fe45ff438e792e6/Sim101' Name='Stop loss' New state=Accepted Instrument='CL 04-12' Action=BuyToCover Limit price=0 Stop price=107,85 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='27796f2cd14149dba6078b6fa45a27f2/Sim101' Name='Profit target' New state=Accepted Instrument='CL 04-12' Action=BuyToCover Limit price=103,35 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
14.03.2012 15:59:38|1|32|Order='27796f2cd14149dba6078b6fa45a27f2/Sim101' Name='Profit target' New state=Working Instrument='CL 04-12' Action=BuyToCover Limit price=103,35 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''

Session templates in NT7

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Session templates in NT7