Fix USDCAD problem

[moscu]

This symbol has currently a problem. Most of the time I get the error below. I know I am sending the correct price and I also have the correct settings. I have setup the same for all the symbols with IB. NT is rejecting the order without even sending it to IB. I check the audit trail for IB and I do not se any orders. I have tryied to configured different waysto no avail. The current settings specify:
Quote currencies in HalfPip. This works for all the FX pairs except USDCAD. What is more extrange in that sometimes it works but must of the time it does not. I have looked at the setting in the instrument manager and they are the same as other USD pairs like USDCHF.
What is more puzzuling is that one can't change instruments. For example I tried to delete some garbage/invalid entries such CAD.USD which is oviously wrong but next time I start the system is still there. My tought was that this entry might be confusing the system.

NT please fix this pair I seen other posting with this error. It should work just like any other pair.


Moscu

[NinjaTrader_Bertrand]

moscu, thanks for the detailed posting and yes halfPip should do it - could you please contact us via the Help > Mail to Support feature and ensure to include trace and logs for review? Thanks

Also - is this on NT 6.5.1000.14 and TWS 900?

http://www.ninjatrader.com/webnew/support_interactivebrokers.htm

[moscu]

I keep getting errors

Here is a stop limit order to sell with a stop of 1.05755 and limit of 1.05745. This is a valid stop limit but only in the USDCAD I have problems.

Moscu

[NinjaTrader_JoshP]

moscu,

The error suggests you are not following the correct tick size for that instrument. Please adjust the prices submitted to follow proper tick sizing of USDCAD.

[moscu]

moscu,

The error suggests you are not following the correct tick size for that instrument. Please adjust the prices submitted to follow proper tick sizing of USDCAD.

Perhaps you should tell me what is wrong with my setup. Here are the pictures of what my configuration looks like for USDCAD and USDCHF. They are exactly the same except I never ever get this error for any other pair (Trading 12 major pairs).

I have setup NT from scratch couple times and I keep getting the same problem. The pictures shows the setup per instructions on your web site. Perhaps you should allow a "One Pip" setup in "Quote Currencies" option for IB.

Moscu

[NinjaTrader_JoshP]

moscu,

It is not the setup that is the problem. It is your order prices that is the problem. Please look at the tick size of USDCAD: 0.00005. Then now look at the order price being submitted: 1.05756. That 6 does not fall within that tick size at all and needs to be adjusted to do so before submission.

[moscu]

I have one single function in TS that creates and send the orders to NT. This function takes the price .xxxxx non JPY or .xxx JPY and calls the NT function NtCommand to send the order. I been doing this for two years sending orders for the 10 mayor pairs. I have send 10s of thousand orders to IB Live/Demo environments. I only have this problem with the USDCAD symbol. For example see my log from today attached.
Now what you are saying is that I need to round the order to 1.05756
to 1.05755?
I believe this is being done automatically by NT otherwise I would have the same problem for all the other pairs.


Moscu

[NinjaTrader_JoshP]

moscu,

Please adjust the price beforehand as the error suggests. See if that works.

[moscu]

I am adjusting the price to have 0 or 5 and still does not work. Now I also discovered that the pair NZDJPY has the same problem. All the others work fine. Here is a EasyLanguage Strategy that can demostrates the problem. Insert the strategy in a USDCAD or NZDJPY and watch the prices when it is something that end in halppip (5) you will get an error.

This needs to be fix ASAP the only way I can trade those symbols is to round them to one pip. This does not work with my scalping strategies. Also when you set the price to TenthPip nothing works with IB eventhough they allow TenthPips as prices to be setup. This got broken in some of the later releases because I used to be able to work with that setup.

Moscu

[NinjaTrader_Bertrand]

Moscu, this works without issues here for me testing on TS 88 and connected to a live IB account, not the demo one with delayed quotes. Then I would see rejections as the live ask is lower than the current one used in NT / IB (delayed nature) thus StopLimit order would get rejected if sent in lower.

[moscu]

You probably not doing the test right. You need to setup the parameter of the Test strategy to be you IB account. The default is "Sim101" that is why you are getting reject order on the stop price. Such thing never happens with IB only NT demo.

I use a Live as well as my own IB demo account (not the free edemo which is delayed). The same thing happens in both. The reason that I know those two symbols have a problem is because I only get the error in those. I sent hundreds of orders each month. Two days ago I had a trade in the USDCAD, I sent a profit and a stop loss lucky the profit was rejected and I still had the stop loss otherwise I had loss money. I hade to set the trade account to the demo because I can't relay on NT.

Look at my attachement from 2 days ago and you will see that I had all orders rejected when the price ended in half pip only for USDCAD and NZDJPY. All other symbols work ok.

With the test I gave you you should be able to replicate this because it sents an orders automatically to IB but you must change the parameter to the IB account.

Moscu

[NinjaTrader_Bertrand]

moscu, I could see this now here, thanks for clarifying, needed execution to the IB live paper acc to test. TradeStation has a digit more for it's quote than IB / NT would use (on the recommended halfPip setting) thus you can into error in those cases mentioned, you would need to address this via rounding on the TS / order submitting side of things. Please print out the TS limit and stop prices to the ELA output log to check into what action needs to be taken.

[moscu]

Here attached is a new version that prints the values used to sent to NT. You should see those in the logs anyway. The DecPower rounds the value to a Pip then the reminder is added. There are no more and no less than the currency pair requires. This new version prints to the NT log what I am sending to NT therefore you can compare them.

If you use any other currency pair you would see it never fails. Only those two mention have the problem.


Moscu

[NinjaTrader_JoshP]

Moscu,

Thank you for the file. Bertrand will respond some time tomorrow with his analysis. Thank you for your patience.

[NinjaTrader_Bertrand]

Moscu, the order is still submitted with a digit too much, here the TS print output of the just rejected one I generated with your script -

USDCAD Buy 705 DecPower 10000.00 reminder 3 FloorPrice 1.00890 Stop 1.00895 Limit 1.00915

This is unfortunately not within the resolution offered by IB's 4 digit USDCAD quotes on the recommended halfPip setting.