Simulated Execution Delay in Replay

[Matheyas5]

Hello NT8,

How do I access the settings in NT8's Data Simulator that adds the "simulated" milliseconds delay for how long it takes my computer to send an order and have it filled by the exchange when running a Market Replay?

They are the settings referred to as follows in NT7:

Delay comm. (msec)*
Delay exchange (msec)* Simulated delay of a virtual exchange server processing an order

and are explained in this NT7 link https://ninjatrader.com/support/help...ulator_tab.htm

I'm hoping to put these settings on 0 milliseconds in NT8, but I can't find them in NT8.

Thanks

P.S.
In NT8 I went to Tools>Options>Trading>Simulator>Enforce Immediate Fills and put a check mark next to "enforce immediate fills" however, my executions are still delayed when I run a market replay. I can tell they are delayed because they happen exactly at the end of a 1 minute bar when I run the strategy in the "Strategy Analyzer", however they happen a second or two after the end of a 1 minute bar when I run the in Replay. Hopefully finding the settings in NT8 mentioned above and setting them to 0 will fix my problem.

[NinjaTrader_DaveI]

Hello,

Fills in both the Strategy Analyzer and in Replay should both be immediate, and we have not implemented any manually configurable time delays as we had in NinjaTrader 7.

So that I can investigate what may be going on in your scenario, can you describe how you are noticing or tracking the time delay on Replay?

[Matheyas5]

Hi Dave,

Here is an example:

I ran the attached SMACrossV4.zip strategy in NT8's Market Replay on a chart containing 110 Second Last Bars as the primary data series and 1 Tick Bid Bars as the secondary data series. (You'll see that the SMACrossV4.zip strategy is programed to send its long exit orders to the 1 Tick Bid Bars). The replay was done on ES 03-16's 2/11/16 Replay data.

Attached item 1.jpg is a screenshot from NT8's Replay execution report. The two entry times circled in Red in 1.jpg seem to have an execution delay because they are not in multiples of 110 seconds (nor are they in the 1 second period following the close of a 110 second bar, like the other exits in 1.jpg are).

Attached item 2.jpg shows the 1 tick Bid bars (plotted in Green) from the Replay's chart. Notice that the 1839.25 Take Profit exit happened 6 bid bars after the bid price became 1839.25, instead of happening on the bid bar (pointed to by the blue arrow) where the bid price first became 1839.25. I figured this means there was an execution delay.


Lastly, should it be of any help, I included the following 3 additional attachments:
DataSeries1.JPG= This shows the exact settings I used to add the above mentioned 110 Second Last Bar data series to the chart.
DataSeries2.JPG= This shows the exact settings I use to add the above mentioned 1 Tick Bid Bar data series to the chart.
StrategySettings.JPG= This shows the exact strategy settings I used when I added the above mentioned SMACrossV4.zip strategy to the chart.

I look forward to your thoughts.
Thanks


P.S.
Aside from the SMACrossV4.zip, all above mentioned attachments are contained in the attached otherattachments.zip file.

[Matheyas5]

Hi Dave, any thoughts on this?

[NinjaTrader_DaveI]

Hello,

I was unable to make any progress trying to track down the cause of the issue, so a senior member of our support team took over the case. You should be hearing back from him as soon as we have found something definitive to share.

[NinjaTrader_DrewO]

Hello,

Just an update. I am working with Dave directly on this matter. With "Enforce Immediate fills" enabled, the executions do seem to be filling immediately. However, their timestemps do not reflect multiples of 110 seconds (or in the one second following the 110 second bars).

We are investigating this matter further and will follow up as further information becomes available.

[Matheyas5]

Cool. Thanks for the update.

[Matheyas5]

Hi Drew,

Do you happen to know if this is a bug in NT8? Or if its just something I wrote wrong in my code?

Thanks

[NinjaTrader_DrewO]

Hello Matheyas5,

Thanks for getting back to me.

I have received word that this does not appear to be an issue regarding the code itself. I am awaiting further information from the Development team, and will follow up with you as this information becomes available.

[Matheyas5]

Cool, thanks for the update Drew.

[NinjaTrader_PatrickH]

Hello Matheyas5,

Thank you for your patience.

In testing on my end I am unable to see the same result in my own strategy. However, in your strategy you are submitting entries to the 1 tick series (bid or ask). This means we could see entries at times other than 110 seconds. In addition, the exits are not assigned to any specific bar series so they can fill on the primary or on the secondary or ternary series added to the script.

Please try my attached script and advise if the executions are still delayed.