Giving up on TDA with NinjaTrader

[heech]

After 3 months of patient effort (and probably about $10k in excess trading losses), I'm giving up on the combination of NinjaTrader and TDA as of today. There are just too many gaping bugs in the NT implementation that makes it unusable in my trading scenario.

Maybe I'll give it another shot after NT launches their next major revision, in hopes they actually get around to addressing a few of these.

... but for now, I'm moving onto IB... fingers crossed it'll behave better.

I'd suggest anyone else still using TDA with NinjaTrader to also tread carefully. Feel free to PM me for details.

[NinjaTrader_JoshP]

heech,

Thank you for your patience and efforts in this regard. We appreciate it greatly and are working to address it in future releases. Please consider retrying TDA with NT7.

As you move to IB I would like to make you aware of a pending issue with IB that we have not received confirmation of a fix just yet. In the scenario of partial fills it is possible to receive duplicate order state events from a single partial fill. Be careful of this in your code if order state checking is used in your code.

[heech]

Josh,

Yikes. NT has a similar problem with partial fills on TDA, but at least I could work around the problem. In TDA's case, it was confusing partial fills with complete fills.

Can you give me details on the problem with IB? Link to previous thread? Where exactly does the problem lie?

- is it OnExecution? I actually am keeping track of partial fills, so if this doesn't work (partial fills reported multiple times?), I need to change immediately.

- is it OnOrderUpdate...? Right now, I'm only checking for OrderState.Cancelled and OrderState.Rejected events here... do you know if that's working correctly?

- am I safe if I only use OnPositionUpdate? Are there any reports of OnPositionUpdate being wrong in any way/shape/form?

[NinjaTrader_JoshP]

There shouldn't be an issue if you use OnPositionUpdate(). The concern is only for order state events which are seen in OnOrderUpdate().

I do not have previous threads handy at this point in time.

[heech]

There shouldn't be an issue if you use OnPositionUpdate(). The concern is only for order state events which are seen in OnOrderUpdate().

I do not have previous threads handy at this point in time.

Josh,

I need to use OnOrderUpdate() for handling canceled/rejected orders. That code is still working correctly, yes?

[NinjaTrader_JoshP]

You should not have issues checking cancelled/rejected states. Even so, duplicate order states should not result in any significant negative impact in this scenario. It may just be annoying to see it in the logs and make debugging a little bit more difficult.

[heech]

You should not have issues checking cancelled/rejected states. Even so, duplicate order states should not result in any significant negative impact in this scenario. It may just be annoying to see it in the logs and make debugging a little bit more difficult.

Josh,

Oh, so one possibility is I'd see duplicated "ordercanceled" events?

This is actually a big issue for me... in some conditions, I need to cancel an existing stop order, and instead go to a market order. If I have multiple order canceled events... that'll break that code. Well, I guess if I'm using the order token... maybe I'll be okay there.

Wish I could get a look at details. IF you guys kept a "known issues" list, it would probably help your customers here IMMENSELY.

[NinjaTrader_JoshP]

We do not have a published issues list.

I would expect you to be fine with the IOrder object. If you received cancel once, do what you want to do. If it comes in on the same token again just ignore it.

[Operandi]

I've had loads of problems integrating NT with IB TWS

This is a thread I raised quite a while ago.

http://www.ninjatrader-support2.com/vb/showthread.php?t=10297

The issues result in NT losing track of the position so, for example, it sells when there isn't an open position thereby wrongly creating a short position. It all becomes a real nightmare.

So much so, that I no longer use NT to trade with IB via full automation.

Even when using simple syntax such as EnterLong(), I get a weird problem on the chart display which shows a double line for each trade, as though the trade had been placed twice.

Chris

[heech]

I've had loads of problems integrating NT with IB TWS

This is a thread I raised quite a while ago.

http://www.ninjatrader-support2.com/vb/showthread.php?t=10297

Christ, what a nightmare. Very discouraging to see these very serious, fatal bugs basically ignored. I get that the dev team is apparently working hard on NT 7... but if follow-on support for NT 7 is of the same caliber as what we're getting for NT 6... then what's the point? The result will still be unusable.

Sigh. I guess I'm just going to hold my breath that I can get by on IB with revised code that uses only OnPositionUpdate. And if that STILL doesn't work, I'm going to dig out my copy of OpenQuant and start over.

PS. Have you updated to the .7 (or newer .8) build? I'm hoping the fix referenced in .7 addresses your issue, although Dierk's comments in the thread suggests otherwise.

PPS. Taking a closer look at the problem you describe... perhaps it doesn't affect me. I'd love to get your comments in the other thread.

[Operandi]

I am using .7 on one PC and .8 on another.

Chris