Order Fill Resolution in Unmanaged mode

[misova]

Hi, one quick question about Unmanaged mode and Order Fill Resolution...

Question:
How it works, when Order Fill Resolution property is set to value High in Strategy Analyzer, for strategy operating in Unmanaged mode?

I would say, this setting has no meaning if strategy is in Unmanaged mode...

I tested, and I found, you already handle Unmanaged mode for some other properties. You already hide properties (Entries per direction, Entry handling) from the UI dynamically, when strategy is Managed vs Unmanaged mode.

2 Suggestions / Requests:
And if it is true, that Order Fill Resolution has no meaning in Unmanaged mode, then:

• to preserve consistency, you should do the same for the Order Fill Resolution UI property. This property should have fixed (non-editable) value Standard (Fastest) without possibility to change it to High for all Unmanaged strategies.
  
  It is really confusing for common user to expose settings to him and then silently ignore it. This is why, this needs to be fixed. User should not be able set Order Fill Resolution for Unmanaged strategies, because it will never work for him.
• it is needed to update docs = mention it in the docs here, where are listed all things, that are not meant to work for Unmanaged strategies.

[NinjaTrader_PatrickH]

Hello misova,

Thank you for your post.

Order Fill Resolution affects the fills and would not change based on using one Order Approach versus the other. High Order Fill Resolution would allow for submission of orders to a secondary bar series historically in order to simulate intra-bar fills on historical backtests.

For more information please visit the following link: http://ninjatrader.com/support/helpG...ical_fill_.htm

[misova]

Thank you,

ok, I can understand, that Order Fill Resolution works for both Managed & Unmanaged strategies,
if it influences only internal simulation of "order-fills" while historical data are processed.

But then, it is not clear, how these 2 mechanisms interfere together:

• 1st mechanism is: In Unmanaged strategies, each orders is submitted to exact specific dataseries. I would expect, that order was submitted to specific dataseries, then it will be also processed in this data-series.
• 2nd mechanism is: this Order Fill Resolution mechanism - that works out of the box of any strategy and also influences order fills.

It is really not clear to me, how Ninja simulates more precise filling?

• By redirecting the order to another dataseries, that has more precise resolution?
• Does it do this that way, that it ignores the dataseries, into which we submitted the order in our code and instead - it submits the order into dataseries, which is configured in Order Fill Resolution settings?

Let's have simple example:

• we have Unmanaged strategy, that trades 6E (Euro).
• Primary bar-series of this strategy is 15min bars
• Orders are submitted also to the primary bar-series 15min (from strategy code)

Question 1: What happens, if I set Order Fill Resolution to value High using 1min bars? (lower timeframe)

• All orders will be submitted to the 1 min dataseries (instead of original 15min series) to simulate more precise order filling?

Question 2: What happens, if I set Order Fill Resolution to value High using 60min bars? (higher timeframe)

• I know, it does not make sense to use higher timeframe to simulate more precise fills, but how will Ninja behave in this scenario? Will it submit orders to 60min dataseries, instead of original 15min dataseries? - logically, that would achieve worse conditions for simulation of fills...

[NinjaTrader_PatrickH]

Hello misova,

Thank you for your response.

Even when you direct the order to a specific bar series it will use the order fill resolution you choose for the executions. This is true in both Unmanaged and Managed Approach. By directing an order to a smaller bar series you allow for more precise fills as you indicated.

What happens, if I set Order Fill Resolution to value High using 1min bars? (lower timeframe)
All orders will be submitted to the 1 min dataseries (instead of original 15min series) to simulate more precise order filling?

Yes.

What happens, if I set Order Fill Resolution to value High using 60min bars? (higher timeframe)
I know, it does not make sense to use higher timeframe to simulate more precise fills, but how will Ninja behave in this scenario? Will it submit orders to 60min dataseries, instead of original 15min dataseries? - logically, that would achieve worse conditions for simulation of fills...

I am not sure, I would need to test this but the logic you describe defeats the purpose of the High Fill Resolution. Have you tried this?

[misova]

Hi Patrick,

I have not tried yet. Not because I am lazy to do it,
but because it is no possible to check, if system works correctly, without knowing how it is supposed to work.

I thought about more scenarios, that are not clear/documented:

Lets ignore, that some scenarios may effectivley defeat the purpose. They may not be logical / efficient, but they are valid and executable.
Primary goal is to understand, how NT8 works underneath.


Scenario A Use Higher timeframe:
Let's have Order Fill Resolution is set to High and set to using 60min bars.
What happens, if strategy submits order in code to 1 minute bars? Will they be redirected to the 60min bars?

Scenario B: Submit 3 orders to 3 different markets and 3 different bars::

• one order is submitted into 6E into 1-range series
• another order is submitted into TF into 3-min series
• another order is submitted into ES 200-volume bar series

Let's say Order Fill Resolution is set to High and set to using 1min bars.
Will Ninja submit these 3 various order correctly to the relevant various markets = i.e. to 6E / TF / ES?
If yes, does it send alway to 1min bars for each market?

One suggestion to think about?

• Should'nt be Order Fill Resolution properties in UI completely disabled for Unmanaged mode? Does'nt introduce it confusion?

All Unmanaged strategies have absolute power and freedom to submit to any dataseries, they wish. They don't need this concept. They are powerful enough, to achieve the same by submitting order to the correct dataseries.

By adding this concept of Order Fill Resolution to Unmanaged strategies, new level of complexity is introduced,
that is completely useless.

My thoughts about redundancy of Order Fill Resolution for all Unmanaged strategies, is that:

• It adds nothing more to Unmanaged strategies. Power to do anything is not increased. Power stays the same, but complexity increases.. Unmanaged strategies can already submit anywhere they want.
• It increases complexity. We developers have to make research and understand how it is supposed to work under various valid/crazy combinations of multiple various dataseries and markets.
• Unmanaged mode is about full power. = No artificial concepts of redirecting orders somewhere else is needed.

My suggestion is:.
I think this way:

• No added benefits + bunch of new problems = best candidate to remove feature.

Removing it will result in less problems, less user questions and more clear and straightforward coding practices.

Let's disable the Order Fill Resolution for all Unmanaged strategies. It adds no more power just complexity of doing the same thing 2 different ways and need to understand the peculiarities of this concept.

Let it serve only for simple Managed strategies, which operate in constrained Managed environment. It can meet the goal there, to achieve more precise fills, without need to understand/code anything more advanced.

[NinjaTrader_PatrickH]

misova,

Scenario A can't occur at all, NinjaTrader will reject the higher value than the primary bar series for the fill resolution.

Scenario B would result in the orders being submitted to their specific instrument's 1 minute series. So three 1 minute series would be used.

For your suggestion, I do not see how Unmanaged and High Fill Resolution play a part in confusing their logic. The option to use High Fill Resolution will remain for Unmanaged strategies as it does not cause any issues or logic fails.