Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Reversing position with MB Trading live account takes forever

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Reversing position with MB Trading live account takes forever

    I am not sure what algorithm you guys are using when submitting a "reverse position" order to MB Trading, but it seems to take a LOT longer to process that type of request as opposed to a simple "close position" order.... especially when trading during fast market conditions. Of course I realize that the MB trading order server takes longer to respond during fast market conditions, but this delay differential exists at all times between regular orders and "reverse" orders. I can place market buys, market sells, limit buys and sells reasonably quickly, but reverse position orders in particular take an order of magnitude longer (we're talking 10-15 seconds sometimes during fast market conditions, and a few seconds during normal market conditions - this is in comparison to 1-2 seconds for other order types during fast markets and sub 1-second during normal times).

    Can you please explain the algorithm to me, and why this particular order type is taking so long? It is basically useless, as I cannot place a trade that can take 10 seconds or longer to get submitted to the order server. (This doesn't happen with reverse-position futures orders with Zen-Fire, they are practically instantaneous... only MB Trading seems to be affected.)

    Thanks!

    #2
    Hello JS999,

    Assuming you are in a position with an ATM strategy applied, it will modify the profit target so it will fill right away to close the existng position. Your stop loss will be cancelled and a new entry order will be submitted to put you in a reverse position.

    When you use the Close button, it will only modify the profit target and cancel the stop loss - it does not submit a new entry order.

    This function works the same for all broker technologies in NinjaTrader. As you describe, unfortunately this process takes more time with MBTrading.
    JasonNinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_Jason View Post
      Hello JS999,

      Assuming you are in a position with an ATM strategy applied, it will modify the profit target so it will fill right away to close the existng position. Your stop loss will be cancelled and a new entry order will be submitted to put you in a reverse position.

      When you use the Close button, it will only modify the profit target and cancel the stop loss - it does not submit a new entry order.

      This function works the same for all broker technologies in NinjaTrader. As you describe, unfortunately this process takes more time with MBTrading.
      I am using ATM strategies with only a stop-loss, no profit target. Since this is taking forever on MB Trading and is basically unusable, wouldn't it be better to use the following algorithm:

      When in a long position with a stop-loss sell order and the Reverse key is pressed, immediately execute a market-sell for the outstanding amount of the current long position, plus some amount to put the new position in a "short" state. So for example, if I was long 10 lots in the Euro just immediately execute a market sell for 20 lots. That should immediately reverse the position in one step. Then issue a cancellation for the stop-loss sell order, and (since we are using an ATM strategy with a stop loss), issue a stop-loss buy order for 10 lots above the market.

      This would be a lot faster and makes more sense, doesn't it? Why are you closing the existing position and then issuing a new position... that doesn't make any sense when the order is to reverse... just calculate what the new reversed position should be, and issue a market order for that amount in the opposite direction. You seem to be adding unnecessary processing for no reason... in the case of Zen-fire it obviously doesn't make a difference since it is fast, but with MB Trading it's a killer. Any thoughts?
      Last edited by JS999; 09-06-2011, 10:16 AM.

      Comment


        #4
        Hello JS999,

        When using an ATM strategy with only a stop loss order, NinjaTrader will submit 2 seperate orders (Close & Entry) and it will cancel the stop loss order.

        I will forward your suggestion to submit one order in such a situation instead of 2 seperate orders to development. Thank you for your feedback.
        JasonNinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_Jason View Post
          Hello JS999,

          When using an ATM strategy with only a stop loss order, NinjaTrader will submit 2 seperate orders (Close & Entry) and it will cancel the stop loss order.

          I will forward your suggestion to submit one order in such a situation instead of 2 seperate orders to development. Thank you for your feedback.
          Thanks Jason - please do mention it to the team, and also mention that they should test it with an MB Trading connection during fast market conditions (like what occurred today on the Euro) to see what I am talking about... I am sure that they will want to change it once they see that it takes so long to process a reverse position order with the way things are working now, since this type of thing can really affect trading...

          Comment


            #6
            Hello JS999,

            Submitting one order instead of two seperate orders when using the REV function has been inserted in our tracking system for possible future enhancements. It is assigned to ID# 1252.
            JasonNinjaTrader Customer Service

            Comment


              #7
              Originally posted by NinjaTrader_Jason View Post
              Hello JS999,

              Submitting one order instead of two seperate orders when using the REV function has been inserted in our tracking system for possible future enhancements. It is assigned to ID# 1252.
              Thanks, much appreciated!

              Comment

              Latest Posts

              Collapse

              Topics Statistics Last Post
              Started by newton1, Yesterday, 09:54 AM
              2 responses
              61 views
              0 likes
              Last Post NinjaTrader_ChelseaB  
              Started by SuperDude123, Yesterday, 08:31 AM
              3 responses
              97 views
              0 likes
              Last Post NinjaTrader_ChelseaB  
              Started by jeliner, Yesterday, 12:58 AM
              1 response
              32 views
              0 likes
              Last Post NinjaTrader_ChelseaB  
              Started by ezrollin, Yesterday, 12:29 AM
              1 response
              8 views
              0 likes
              Last Post NinjaTrader_ChelseaB  
              Started by peregrine, Today, 05:49 PM
              0 responses
              12 views
              0 likes
              Last Post peregrine  
              Working...
              X