External Feed Playback Date/Timestamp

[whitmark]

I am coding a NeoTicker Delphi DLLthat supplies data for an external datafeed to Ninja to enableend-to-end testing of mytrading systems.Within thiscode I use theNinja AskPlayback and BidPlayback functions to set the price and size for the specified instrumentand then use the NeoTickerSimulation Server toreplay thehistorical market data (often at accelerated replay levels) to conduct tick-by-tick forward testing of my systems. After submitting a place order command, I rely on the designated Ninja strategy to take me out of the trade.

This works great, except that it appears thedate/timestamp that is used on the Ninja order, execution, and performancetabsis from thecomputer clock and not from thedate/timestamp supplied from theplayback functions. I have confirmed that theplayback functions aresending the correctdate/timestamp in the form of 'yyyymmddhhnnss' where nn is seconds per another post on this topic.

Needless to say, the ability to review performance information on adate/time basis that corresponds to the incoming datafeed is extremely important for ATI system testing. Please confirm the current operations as I have described and I would appreciate it if you could offer anyworkarounds or enhancements. Many thanks.

Regards,

Whitmark

[NinjaTrader_Dierk]

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1) Correct format is yyyyMMddhhmmss. mm is minutes.
2) Bid/Ask/LastPlayback only set timestamp on the market data. Order related events are timestamped by computer clock.

[whitmark]

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Thanks Dierk,

Yes, I misstated #1, you are correct.

Regarding#2, what are the merits of posting timestamps based onthe computer clock when replaying historical market data? Is the implication that ATIusers that rely onthe playback functions for testing are to do their owntracking and performance management reporting?

This would seem to be a shortcoming whether oneis using marketreplay to practice discretionary trading or, as in my case, testing systems through the ATI, whether the source of the databe eSignal, NeoTicker orother platform that supports actual or accelerated playback. Are any enhancements planned in this area?

Thanks for your thoughts on this topic.

Regards,

Whitmark

[aspTrader]

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Whitmark is right on this...

If the playback functions are returning a timestamp then orders should be timestamped to the playback function timestamp.

[NinjaTrader_Dierk]

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Will be implemented with next release.

[whitmark]

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Dierk, thats great!Thank you.

In the same vein, I've noticed that minute-based TIF arguments utilized viaATI are also clocked based. I was hopingfrom mytrading system I could send an order with strategy calland monitor the marketposition until 1)the order is not filled and is cancelled via a minute based TIF or 2) order is filled and completely managed bythe called Ninja strategy. I am finding that the minute-based TIF orders are not executing properly onaccelerated replay so I assume they arereferencing the computer clock vs market replay time. Thanks for your consideration on this.

Regards,

Whitmark

[NinjaTrader_Dierk]

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I'm a bit lost "on minute-based TIF orders" order. What do you mean? "DAY" and "GTC" are not minute based. Can you please provide a sample on how place "minute-based TIF orders"?

Thanks

[whitmark]

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It was my understanding from the following post that you could supply a whole number in place of the "DAY" or "GTC"using the API command function (not DOM) and the order would cancel if not filled after the specified number of minutes. Looks like it works in computer clock time, but not market replay time.

http://ninjatrader.mywowbb.com/view_...;highlight=TIF

Regards,

Whitmark

[NinjaTrader_Dierk]

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This is true for NT4 but not NT5, where this feature is not (yet) implemented.

[whitmark]

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Hmm . . . I'll have to take a closer look to see whats happening with my unfilled orders as I thought it was working. None the less,short-term time-based cancelling of unfilled entry orders representsa one-off housekeepingchorethat would be unnecessary if the NT4 functionality was restated. Enabling the ability to place "set it and forget it" entry order commands with the appropriate filled strategyand unfilled TIFactions would be very helpful for automated operations.I suspect that is why it was included in NT4 in the first place. Looking forward to its return. Thanks.

Regards,

Whitmark

[whitmark]

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Any update or timing regardingthese enhancements that are under consideration from this thread?

1) Data basedvs computer clock timestames for historical data playback and proper posting forcontrol center reporting

2) Reinstatement of minute based TIF orders (at least on ATI) that are data vs computer clock based for historical data playback

Thanks,

Whitmark

[NinjaTrader_Dierk]

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1) Works with NT5R7
2) On the list

[whitmark]

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I was hoping for an update on whereminute based"TIF" parameters are prioritized given the comment fromDierk early this year.

As I have noted before, the Ninja ATI is great for offloading order and position management to free up your trading platform from theseintensive tasks,however, the exception to this is the cancelling ofstale entry limit orders that have nottriggered. Theintensivechore within my trading platform of having to inspect eachorderto determine which is stale and therefore has to be cancelled, would be alleviated if theminute-based TIF was made available as it was in NT4, if only in the ATI.

In my attempt to rely on Ninjato take me out of a trade once an order is placed in a"set it and forget it" manner, the lack of this feature is aserious shortcoming to the ATI capabilities that require unessessary workarounds tomanage and is a curious ommission since it's introductionNT4. If there are otherautomated means to cancel stale limit orders within NT5, please let me know.

Thanks for your consideration.

Regards,

Whitmark

[NinjaTrader_Ray]

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Hi Whitmark,

We do see the value of it which is why it's on our list but it has not been committed for development yet.

Ray