Simulator - Delay comm.

[splat]

Regarding the Options -> Simulator -> Delay comm. setting, is this supposed to be the one-way communications delay, or the round-trip time ? (pinging the server measures the round-trip time)

[NinjaTrader_Jason]

Hello splat,

Please see the link below for an explanation of the option.

http://www.ninjatrader-support.com/HelpGuideV6/SimulatorTab.

It allows you to setup a simulated delay from your PC to a virtual exchange server. The 'Delay exchange' option will allow you to setup a delay from the virtual exchange server to your PC.

[splat]

Hi Jason,

I just tried the link you posted, and I get a 404.

Please note that I have already tried reading the help about this option, and it did not answer my question.

Are you sure of what you say about the Delay Exchange option ? I would have hoped its purpose was to model the processing delay in the exchange.

[NinjaTrader_Jason]

I notice that the link does not include .html. Sorry, I did not paste the entire link when composing my response. Please see the link below.

http://www.ninjatrader-support.com/HelpGuideV6/SimulatorTab.html

Yes, I am sure in my statement - the help guide will confirm. So the 'Delay comm' setting is one way only, but in combination with 'Delay exchange' you can setup a round trip delay.

[splat]

I don't think the help guide confirms your statement at all. It says:

"Delay exchange (msec) Simulated delay of a virtual exchange server processing an order"


which sounds exactly like what I said: processing delay, not network delay.


Can I please have a clear answer to a simple question. I understand the difference between network latency and processing time, and that is not the topic of my question. I am simply asking whether NT interprets the Delay comm.parameter as the one-way network latency, or the round-trip network latency (excluding processing). Maybe it is just the one-way network latency, but I am wondering because I am in Australia, which is a long way from Chicago, and I do not what to be out by a factor of two on the quite considerable latency.


How do you recommend people to find the right value to put in the Delay comms setting ? Maybe ping the exchange server, and use the millseconds value given by ping ?

[NinjaTrader_Jason]

'Delay comm' is one way only. It only sets the delay of sending an order from your PC to the exchange.

I assumed you meant network + order processing by 'round trip'. Can you please clarify what you mean by round trip - I am not sure if I follow. When an order is submitted, it can take time for the order to be sent. However once an order is processed and executed, what delay do you like to set? Are you referring to a delay of the execution update to be received by NinjaTrader from your broker? If so, unfortunately such a delay cannot be setup.

You can setup the simulator settings to your liking - your suggestion to ping the server would be a good way to replicate live trading.

[splat]

Round-trip time (RTT) is a standard networking term:

http://searchnetworking.techtarget.com/sDefinition/0,,sid7_gci1250602,00.html

I would appreciate it, if you could check with someone familiar with this term and the NT simulator code (e.g. a software engineer), whether the Delay comm. parameter is the round-trip time, or only half the round-trip time.

People tend to think in terms of round-trip time, because one-way communication is hardly ever useful, and because measuring the one-way time generally requires a pair of synchronised atomic clocks.

The reason I asked about using 'ping' is because ping measures the RTT. Should the Delay comm. parameter be set to the value shown by 'ping' or half of it?

Would it be so hard to clarify this ? What is the point of having a good simulator, if an IT expert (like myself) has to guess about how to configure it ?

[NinjaTrader_Jason]

I checked with a colleague of mine. The delay refers to sending an order and having it accepted at the exchange.

During live trading you submit an order to your broker, subsequently they will send a signal back to NinjaTrader that will indicate the order is accepted. As per the description of 'round turn', the delay would be round turn. Data is sent from NinjaTrader to your broker, subsequently a signal is sent back to NinjaTrader.

I suggest to enter the full ping time.

[splat]

Thanks for sorting this out, Jason.

If I understand correctly, you are saying that almost any interaction NT has with the exchange will need a round-trip over the network (which makes sense), so the Comm. delay should be the RTT (full ping time).

I had been wrongly using half the ping-time, which might explain some discrepancies I noticed between the simulator and live trades.

[NinjaTrader_Jason]

Correct, when you send an order to your broker/exchange, NinjaTrader will receive a signal back from your broker once the order is accepted or working.

[Brianf]

Hi Jason. When adjusting the settings in the Options/simulator tab, specifically the Comm Delay and Exchange Delay settings, do these figures also apply to market replay as well as market simulator?

Thanks
Brian

[NinjaTrader_Jason]

Hello Brian,

Unfortunately the delays do not apply when trading the Replay101 account.

[Radical]

Do the 'Delay comm.' and 'Delay exchange' options affect executions on the Sim101 account while connected to a live feed such as Zen-Fire, or do these options ONLY affect executions on the Simulated Data Feed?

[NinjaTrader_Jason]

Hello Radical,

The delays apply upon trading the sim101 account so it does not matter what real-time data provider you use.