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NT and TradeStation Using the e-mail Subsystem
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NT and TradeStation Using the e-mail Subsystem
I have a strategy that tests well in Tradestation. I've been running it live, executing trades in NT with ZenFire, using the e-mail subsystem. I've tried both methods, send as market when TS reports a fill, and send as is with a 6 second conversion. In either case I'm getting substantial slippage between TS fills and what I actually get. If I were to use the native NT EasyLanguage dlls instead of the e-mail subsystem, will that improve my timing very much?Tags: None
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It is faster although less than one second if not only milliseconds.
Keep in mind, TS strategy reported fill prices are unrealistic. If you have a limit order in TS strategy, it will fill at the limit price when the market trades at that price.
So, if you have a limit price at 1000 and market 1000 x 1000.25 (ES), when TS reports the fill, NT will submit market and you will get filled at market. If market has not changed you will fill at 1000.25.
If you have NT set to submit the limit order, NT will submit as soon as it receives it from TS, the market then determines if you will get filled or not. That is just the reality. Getting the limit order to the market can make a difference for sure in getting into the order queue.RayNinjaTrader Customer Service
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