This simulation shows an entry and exit price for a trade. The trade took place under 1 second, so ms accuracy would likely have fixed this issue. What can be seen is after the entry took place, a PT Limit order was immediately filled. This is likely due to the fact that within that exact second the Limit Target prices was satisfied, although likely a few 100 ms in the past.
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Trade Simulation - Exit filled from Past Data
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Trade Simulation - Exit filled from Past Data
I think I found a weakness in the Order Fill simulation.
This simulation shows an entry and exit price for a trade. The trade took place under 1 second, so ms accuracy would likely have fixed this issue. What can be seen is after the entry took place, a PT Limit order was immediately filled. This is likely due to the fact that within that exact second the Limit Target prices was satisfied, although likely a few 100 ms in the past.Tags: None
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Originally posted by NinjaTrader_PatrickG View PostHi NJA_MC,
Was this trade a historical trade or a trade that happened in real-time? If it was a historical trade, are you able to reproduce it every time?
This was real time (forward testing on NTBroker)... I am not sure I can get the data to try historical.
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Hi NJA_MC,
Could you send in your log and trace files so that I may look in to your trade executions?
You can do this by going to Control Center > Help > Email Support...
Please make sure to note the time of the executions and also reference the following ticket number: 1361248 ATTN Patrick G
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I have been working with support on this issue, we have determined that the Fill price is correct, but this is more of a visual issue.
What happened is the fill occurred earlier for both Entry/Exit but simply displayed later. NT Support has a proposed future improvement to eliminate this visual affect.
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NJA_MC
Thanks for following up in this thread.
We currently believe the root of the issue to be the PC clock being out of sync. Bars are plotted based on the data provider, however simulated trade executions use the PC clock. Syncing the PC to time.nist.gov clock should resolve this issue moving forward.
There has been a feature request submitted to the development team to implement either:
1.) NinjaTrader syncs the PC clock when NinjaTrader launches.
and/or
2.) Have Ninjatrader base execution times from your data provider instead of the PC clock so that it matches bar timestamps.
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Originally posted by NinjaTrader_PatrickG View PostNJA_MC
Thanks for following up in this thread.
We currently believe the root of the issue to be the PC clock being out of sync. Bars are plotted based on the data provider, however simulated trade executions use the PC clock. Syncing the PC to time.nist.gov clock should resolve this issue moving forward.
There has been a feature request submitted to the development team to implement either:
1.) NinjaTrader syncs the PC clock when NinjaTrader launches.
and/or
2.) Have Ninjatrader base execution times from your data provider instead of the PC clock so that it matches bar timestamps.
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Hi Dalebru
This is an excellent suggestion and I will also forward this to the development team for consideration.
I'd like to clarify your last point:
What good is data that runs many seconds behind?
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Originally posted by NinjaTrader_PatrickG View PostHi Dalebru
This is an excellent suggestion and I will also forward this to the development team for consideration.
I'd like to clarify your last point:
In this specific case, the discrepancy appears to be between the time stamp that your data provider is sending (which plots the bars) and the time stamp of your local PC clock (which controls simulated executions).
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Hi dalebru,
Your data provider supplies unfiltered, real time data. The difference you have reported is milliseconds off. It is unlikely that you will be able to improve this much as it will take time to get from the exchange to your system. What some users do to improve latency however is get a VPS that is close to the exchange.
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