Stop limit orders and price freezes

[amiindew]

For the last 4 weeks I have been using live-simulation data feeds from both TT and Zen-Fire trading the FDAX at Eurex. I have used both the NT’s 5.2.1000.2 and 5.2.1000.3 version. As a benchmark, I also run a PFG data feed to compare and measure the speed of both TT and Zen-fire.

The following observations have happened on regular bases throughout the last 4 weeks with using both TT and Zen-fire and both NT versions:

1. Stop limit orders are not being filled when the price trades through them. Instead, only the stop limit order status changes from “accepted” (blue color) to “working” (green color) while the price moves on (and hence missing the whole trade).
2. Price freezes for up to 1 minute after which the price catches up in crazy moves. As this happens (usually in the morning session (2am-6am US time)) with both the TT and Zen-fire data feed while the price on the PFG data feed often runs up to 3 to 4 points away from the “frozen” price, I have logically eliminated my internet connection or computer as the source of trouble (otherwise the PFG data feed should have experienced the same freezes). And since this happens with both TT and Zen-fire, I suspect that their might be a bug in NT for trading the Eurex.

Could you please comment on both observations and clarify how this can be prevented/solved? Also, if it has anything to do with a bug in NT, would these issues be solved with the next NT6 version?



Thanks :?

[NinjaTrader_Ray]

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1. If your stop limit order goes from accepted to working this means that the stop has been triggered and now the limit is in affect. If it is not filled, check the limit price to where the market is. I suspect that your limit priceis below the current market for a buy or above for a sell.

2. Based on your description, this means you have data buffering issues. This means the datacoming through your ISP is not getting to your PC due to bandwidth issues. Once the internet pipe clears up, the data is then received ina large batch and they you get that fluttering affect where the SuperDOM prices move at alarming rates. You can't compare this to PFG sinceboth TT and ZF deliver unfiltered data.

Ray

[amiindew]

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Thanks for your reply Ray.

Can you please explain to me:

1. what the exact difference is between unfiltered and filtered data and how this affects a data feed?

2. and why unfiltered data would be affected byan bandwidth issue of my ISP and filtered data not? Wouldn't they be affected in the same way?

Thanks

[NinjaTrader_Ray]

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No problem -

Most if not all data feed providersfilter (also known as throttling) their data feed. The basic idea is that the amount of trade data being generated can not be handled by most internet connections or PCs. Therefore, data feeds are throttled for the lowest common denominator such as a 56K dial up connection. Different feeds have different algorithms to determine what data to send or hold back. IB for example sends snapshots every 7/10 of a second. ZF does not filter/throttle data so you get every tick and change in the market. TT also sends all data although some FCM's do throttle the feed since this is optional for TT. They call it coallessing data. Not sure if I got the spelling correct. For most feeds, if they do not throttle data, you get data bursting. This is where your trading application looks like the data is on pause, then you get this burst of data and your screen looks crazy for a few seconds. Then you may get another pause and another burst. This will be morenoticeable in high volume settings. ZF and TT do not throttle, this is because they are likely more efficient in how they can deliver mass amountsof data. However, PC resources and ISP bandwidth will still contribute to data bursting. Filtered data sends considerably less data and therefore does not consume the ISP pipe nor your PCresources as much.

One quick example. Lets say you have a chart open with one indicator. In NT, you have the flexibility of having the indicator update on each incoming tick or on each bar close. Lets say you have it update on each tick.

With IB, this indicator willperform a calculationevery 7/10 of a second worst case.
With ZF or TT, the indicator can calculate30 times or more in a second.
Multiply that by the number of indicators and charts and you can see how much more work is being done by the application from one feed to another.

Hope that clears up questions 1 and 2.

Ray

[amiindew]

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Ray, thanks for the comprehensive reply and insigth given!

Since my CPU almost never runs above 30% when I have NT opened and running, I quess the data issue lies with my ISP' bandwidth then.

Thanks again

[NinjaTrader_Ray]

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No problem at all. There are a lot of links in the electronic trading process and unfortunately if any of the links are broken, NinjaTrader is always the first people look to since its the only thing you see.

Thanks for pointing out that yourCPU is never over 30%, that for sure points to ISP bandwith constraints. Hopefully you have some options to increase bandwidth.

Ray

[Phill.f]

Is there a recommended minimum bandwidth download speed and upload speed to run Zenfire without problems ?
I would likely be running 4 tick charts maximum.
Thanks, Phil

[NinjaTrader_VinceB]

Always best to use a highspeed internet connection like DSL or Cable. The faster the better.

[sourcem]

Dear Support,

My Isp broadband connection is ratrher slow,

Actual download speed - 285 kbps, upload speed - 205 kbps.

Is this a problem for live trading with Ninja Trader?

What is the minimum specifically that you recommend?

Thanks,
sourcem

[NinjaTrader_VinceB]

Hi,

Yes, this would be way too slow. Keep in mind there's money involved so you want to have the best connection possible. Not sure how fast exactly Highspeed is, but that would be more than enough.