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Pre-open orders: which is the right strategy?

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    Pre-open orders: which is the right strategy?

    Hello,

    I am working with SIM101; data from IB; NT9
    I trade German Bund; the session start at 8:00AM (GMT+1).
    I want to place an order before bund opening.
    I'm using UNMANAGED approach.

    I run my automated strategy before the bund opening and my strategy
    send a BUY LIMIT ORDER (100% sure) before bund opening; everything appears fine!.

    But, as soon as bund opens, nothing happens because my order is not in the system.
    I have to disable and enable again the strategy to have the order working.

    Which is the best strategy to send pre-opening orders?
    I have to change session start time to 5 minutes before opening?

    Any suggestion highly appreciated!!

    Thank You
    Regards
    GB

    #2
    Hello,

    Thanks for the note/.

    In this pre open time is there ticks coming into NinjaTrader meaning is the market open at the time you are deciding to place the order?

    If so what kind of volume are you seeing? As NinjaTrader is tick drivena nd would require ticks to place the order.

    Also,when you say it looks find but then doesnt submit when it goes live can you please add Print and Tracing so we can see exactly the sequence of events on whats going on with this order.

    -Bretrt
    BrettNinjaTrader Product Management

    Comment


      #3
      Hello,

      my strategy has one instrument and two timeframes.
      BarsInProgress=0 --> tick by tick
      BarsInProgress=1--> 1 minute bar

      I send the order before bund opening and after having processed the last historical bar of 1 minute bars (Bars.count-1)

      Is this wrong ? I need absolutely at least one tick before sending an order?

      Tomorrow morning I will log/trace what happens.

      Thanks
      GB

      Comment


        #4
        Sounds good please post the trace and also please be sure to add any additoonal prints in the output window so that we can make sure code segments are working correctly.

        -Brett
        BrettNinjaTrader Product Management

        Comment


          #5
          Hello,

          fixed!
          In the strategy parametres I put GTC (was DAILY!!) and the orders I send before session start are accepted!!.


          TX
          GB

          Comment


            #6
            Great to hear and thanks for sharing the solution.

            -Brett
            BrettNinjaTrader Product Management

            Comment


              #7
              Dear Sirs,

              the EUREX market pre-open at 7:30AM (GMT+1) and open at 8:00AM (GMT+1)
              In simulation mode if a NT strategy send an order between 7:30-8:00 I see this error:
              "There is no market data available to drive the simulation engine"; this happen using IB and Velocity connections.

              What happen if I am not in simulation mode? Are pre-open NT orders accepted like manual order are accepted using TWS or X-Trader?

              Thank You
              GB

              Comment


                #8
                Hello GB,

                NinjaTrader needs to receive real-time data for orders to be submitted. If no real-time data is received, you will experience the error message you include.

                What session template was used when running the strategy? The session templates that are setup by default for Eurex instruments exclude the pre market. They start at 8:00 AM.

                Please use a session template that does not exclude the pre market data, so you will receive real-time data and orders can be submitted. You can create custom session templates in the Session Manager. Please see the link below for more information.
                http://www.ninjatrader.com/support/h...on_manager.htm
                JasonNinjaTrader Customer Service

                Comment


                  #9
                  Thanks

                  Monday morning I will test my pre-open orders: I have modifified the "Eurex Fixed Income"
                  session template to open at 7:30AM instead of 8:00AM

                  Bye
                  GB

                  Comment


                    #10
                    Hello,

                    if I set the start session time to 7:30 AM (GMT+1) (half an hour before regular start of the session) Velocity connection accept orders but IB connection does not accept orders ("There is no market data available to drive the simulation engine").

                    Any suggestion?

                    TX
                    GB

                    Comment


                      #11
                      Hello,

                      This error message means you are trying to submit an order to the simulator and you do not have any data to submit that order.

                      Are there live quotes for the instrument?

                      You might want to try reversing your connection order as you need to get market data for that instrument on the account connection that the simulator is attached too.

                      -Brett
                      BrettNinjaTrader Product Management

                      Comment


                        #12
                        Hello,

                        I have not two connections on the same NT instance: I have two computers one with Ninja+Velocity and another one with Ninja+IB.

                        The market is not open and no data is sent by IB and by Velocity but
                        NT+Velocity accepts orders; so it appears that the simulation engine behaviour si different.

                        Thanks
                        GB

                        Comment


                          #13
                          Correct you would need data running for the simulation and Sim101 to work correctly unfortunately.

                          -Brett
                          BrettNinjaTrader Product Management

                          Comment

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