Question about DisplaySelectedATMStrategyOnly Mode

[ATX_tdr]

Hi, I searched the forums and couldn't find the specific use case I describe below.

Use Case:

1. Open 2 Chart Trader windows (each is looking at the same market, say the SPY ETF), set the ATMStrategySelectionMode to DisplaySelectedATMStrategyOnly in both.

2. I have two different ATM strategies that I wish to run concurrently, I'll call them ATM SPY 1 and ATM SPY 2. The are both to be run in the same direction (i.e., both long or both short), the primary difference is in how the profit targets are designated, the have the same stop point. ATM SPY 1 has two profit targets, dividing the total position into two and ATM SPY 2 has a single profit target.

3. I set the an order to open ATM SPY 1 long with 500 shares at say 125 in one Chart Trader window and I set an other to open ATM SPY 2 long with 500 shares at say 124.80 in the second Chart Trader window. I want the stop to be the same, say 124.60.

Now, I realize that lets say both ATM SPY 1 and ATM SPY 2 trigger open on a single fill. The result would be that I am long 1000 shares with 3 sell orders and 2 stop orders. Depending on your brokerage, you might pay a little more to have the two separate stop orders, but I realize that is a function of the system treating the two ATMs "independently".

Now, lets consider a second scenario where you end up with multiple partial fills on ATM SPY 1, say 3 fills of 250, 125 and 125 to get to 500. What you end up with (at least with Interactive Brokers) is technically 6 profit target orders and 3 stop orders just for ATM SPY 1. You can drag the bars on top of each other in the Chart Trader window and they are combined visually, but are still entered separately, which could cause higher commissions.

So basically, what I am after is a combination of "DisplaySelectedATMStrategyOnly" and "SelectActiveATMStrategyOnOrderSubmission".... if I end up with 3 partial fills to get one complete fill for a given ATM, I want it to keep amending the profit and stop orders correctly and I want this behavior to occur for 2 ATMs running simultaneously in different windows.

Maybe its not possible technically or maybe there is another way to me to effect the scenario I'm looking for within the current NT7 framework. I can see where this scenario isn't really an issue in futures but it is an issue in equities, especially given the fragmented marketplace we have today.

Any help or suggestions are appreciated.

[NinjaTrader_Jason]

Hello ATX_tdr,

NinjaTrader will submit two seperate orders because two seperate entry orders are submitted. Each entry order uses its own ATM instance, so the stop loss orders are submitted seperately. The only workaround would be submitting one entry order and the stop loss will be submitted as one order as well. Unfortunately, it is not possible to submit two stop losess from two different ATM instances as one order.

Please note that NinjaTrader cannot determine how orders are executed and avoid partial fills. Orders are executed as per market dynamics at the broker/exchange.

NinjaTrader will submit the ATM orders as one order (one stop loss order and one profit target order) once the entire entry order is filled. I could not reproduce that seperate orders were submitted for a stop loss or profit target when the entry order was filled in partial executions using an IB demo account. If they are submitted as seperate orders on your end, please send me your log and trace files for the date these orders occurred. Please go to Control Center-->Help-->Mail to Support. Put 'Attn Jason' in the subject field, reference this forum thread and enable 'Log and trace files'.

[ATX_tdr]

Hi Jason-

Makes sense to me that 2 different ATM's have two different stops and they can't have a single stop. I'm just worried about a single ATM having more than 1 stop order instance.

I can get you some log information later today where the scenario occurred last week when trying to buy 600 shares of the SSO.

As an aside, I've traded using the IB demo account for awhile and you never see partial fills...basically if the price trades through, the trade fills regardless of the "liquidity" available, at least that has been my experience in the IB demo account and I've tried up to 1000 shares.

[NinjaTrader_Jason]

Sounds good, I will await the log information to investigate the seperate orders.

I experienced partial fills on the first order with a quantity of 500 (see screenshot).