Double executions, execution times off, and downloading historical data causes exctns

[sajosh]

I'm seeing a few things during executions that seem odd. Hopefully you can help clarify. All these are referencing the attached picture.

1) Why are there always two fills for each trade?

2) Why is the GS 2:00:05 marked at that time and 155.09 on the executions table but marked at 2:15:00 and 155.06 on the chart?

3) At 7:33 i downloaded the day's minute data. Why does it execute a trade to sync? Is it an actual trade or just fictitious? Does it close out the position? After it's been Sync'd what happens to the trade the next day? GS was in a Sell Short position, then sync'd due to downloading historical prices. How do i get back to there the position is supposed to be? Does this mean that I shouldn't download new data while in a trade?

The overall syncing process is very confusing. Is there more documentation (perhaps a video) on all the mechanics and scenarios of syncing?

4) Also related to syncing, do all positions get wiped out once I disconnect? How about when I shutdown? It seems this is the case, so why is it?

5) Does execution behave differently for Sim versus real?

[NinjaTrader_Austin]

sajosh, please ensure you do not have any strategies running, as these could be causing the double and synchronization trades. For #2, can you please expand the table so we can see the entire price it executed at for clarification? You can also synchronize your computer clock to your data feed so the trades appear at the correct bar.

Synchronization trades only occur when you start a strategy that should have a position and the account position does not match the strategy position, so the strategy sends orders to make the two positions match.

When you disconnect, the positions do not get wiped out. They persist until the next time you connect. They are basically just hidden because you can get a false sense of price if the positions are shown when not connected to a real-time feed.

Lastly, real vs sim trading is very, very similar. If all these synchronization and double trades are occurring in a sim account, you'll definitely want to iron out the bugs before trading live.

How are you submitting these trades?

[sajosh]

sajosh, please ensure you do not have any strategies running, as these could be causing the double and synchronization trades.

The double look like partial fills. A few get filled then the rest seem to get filled at a worse price. why is this?

For #2, can you please expand the table so we can see the entire price it executed at for clarification? You can also synchronize your computer clock to your data feed so the trades appear at the correct bar.

Attached. The clock is synced to the internet time for the same zone as the NYSE. So why is this?

Synchronization trades only occur when you start a strategy that should have a position and the account position does not match the strategy position, so the strategy sends orders to make the two positions match.

So would NT send real orders to sync positions! That seems scary for real trading. This still doesn't make sense to me. So if i'm in a position and at the end of the day I download historical prices, could positions get exited at evening hours just to sync something? This really doesn't make sense.

Are there better instructions on the mechanics of this?

When you disconnect, the positions do not get wiped out. They persist until the next time you connect. They are basically just hidden because you can get a false sense of price if the positions are shown when not connected to a real-time feed.

So once disconnected there's no way to know which positions i'm in? This doesn't seem right.

[QUOTE=NinjaTrader_Austin;232473]Lastly, real vs sim trading is very, very similar. If all these synchronization and double trades are occurring in a sim account, you'll definitely want to iron out the bugs before trading live.[/QUOTE

Yes. Is there more NT documentation to help me understand this?

How are you submitting these trades?

Not sure what you mean. Automatically through NT at market using a simple strategy.

[NinjaTrader_Brett]

Hello,


THis is most likly due to you running on the simulator. Its simply doing its best to simulat a partial fill as you might recieve. In a live situation you will get filled as you get filled and the simulator attempts to duplicate this.

On your question on the sync order, more infomation can be found on that here with also more information on how to disable it.

http://www.ninjatrader.com/support/helpGuides/nt7/syncing_account_positions.htm?zoom_highlightsub=sync

Finally your clock and execution time stamp will always be locally time stamped from your PC time.

Let me know if there are further questions I can answer.

[sajosh]

So why simulate partial fills? How is the split determined? Seems to just fill single digit and then the rest, triple digits.

When you disconnect, the positions do not get wiped out. They persist until the next time you connect. They are basically just hidden because you can get a false sense of price if the positions are shown when not connected to a real-time feed.

I still don't get why many things on the CC get cleared out when I download historical data at the end of the day. Why do the Avg Price, Unrealized, Realized and Position columns get cleared?

Perhaps an area for enhancement would be that especially on a simulated account, why not just 'pretend' the last trade is still in play and show the Avg Price, Unrealized, Realized and Position values based on that?

It's just so hard to get a sense of continuity and performance when values are being syncd, cleared, etc. It's almost as if I shouldn't shut down NT or download historical data or disable a strategy or disconnect from the data provider (security issues here) in order to get continuity.

[NinjaTrader_Brett]

Hello,

This is a proprietary fill engine that I unfortunately cannot discuss specifics on how it works internally. However it is designed to factor in probability of fill in realtime.

On your second comment, the bottom line is NinjaTrader is designed to work with a connected data feed. If you disconnect you lose position information. Therefor you will always want to be connected as you would be during a live trade, this is explicit NinjaTrader design. If you need this information while not connected, you can always review the account performance tab to look at trade history.

Let me know if I can be of further assistance.