MarketPosition.Flat

[ScottB]

Hi,

I read the thread about potential race conditions and the recommendation to wait for a new bar before checking to see if you are flat. I have a high frequency algorithm I am trying to code for NinjaTrader and ran into the exact situation described in that thread.

I am using an ATM strategy with a regular strategy to provide the signals. I would actually like to manage the orders completely myself but it appears there is no way to see them on the DOM unless you are using an ATM strategy.

Does anyone know if that fix (workaround) works for any length bar or is there some minimum. I come from a background where a minute is an eternity. I have tried setting the bar type to seconds with a value of 10 and that works.

Can I reliably set the seconds value to 2 or even 1 second? The base question is; Is the time it takes to get an ack of a fill from the exchange the issue (this normally takes milliseconds and depends almost solely on the latency of your network) or is it an end of bar processing issue and therefore it is having a new bar that matters rather than how long that bar is.

Thanks
Scott

[NinjaTrader_Bertrand]

Scott, you should be able to see them from the DOM with regular orders, too. We could unfortunately not comment how your logic processing on the bar closing / new bar opening tick would take - this will depend on your system used and also how well the code is optimized for maxium performance, you may want to work by debugging it externally in Visual Studio to get a better picture.

[ScottB]

Thanks for getting back to me. If I understand you correctly if I have a strategy that is not associated with ATM for exit management, I should be able to see orders placed via the strategy on a DOM with the same symbol and account.

If this is the case, are there any obvious places to check given that I don't see these orders? Also, my impression from other posts is that you cannot interact with strategy placed orders that do not use ATM from the DOM; is that correct? Of course, given that I cannot see the orders any way (if created from a non-ATM strategy) it would be hard to interact with them.

As an aside, I have found that checking every second via a timer on a 5 second bar works just fine and that is more than sufficient for my purposes.

Thanks
Scott