MBTrading Execution Events: Tell Me More

[Serac]

Wow. Having finally bought my NT license, I have been surprised how different order execution is for live MBTrading connections compared to the internal NT Sim101 account. I know there is the big warning dialog box explaining the differences when you set up a live account on NT. These differences never really stuck in my head. Until now. Now I have more questions:

1. If placing a trade via an automated strategy in the Strategy tab, will the current trade be displayed in this tab (position, profit/loss, quantity, etc)? Right now, I see that my strategy entered a position correctly when it was supposed to. But, the info for that strategy in the Stategies tab says it is flat. The Positions tab clearly shows that I am not flat. What gives? Will my strategy correctly exit? Can I change something so that I can see the status in the Strategy tab?

2. My strategy uses what is described in the NT documentation as "Advanced Order Handling" (not unmanaged, however). Several times, NT passed an error from what I think was the MBTrading API, complaining about something to the effect of "Order name musn't be empty" (thought it was humorous to use "musn't" in an error message). This seemed to hang NT. I can attach the NT log file when I am back to my NT computer later today. If I move my position tracking from OnBarUpdate to OnOrderUpdate, will this (perhaps) fix the problem?

3. What else can I expect, and what can I change so that things work as expected? The warning message from NT saying "Since NinjaTrader relies on execution events to come prior to position events, you will experience limitations with tracking positions from the Strategies tab of the Control Center and trying to rely on the standard sequence of events (order execution before position) in NinjaScript." Sounds like the NT/MBTrading pair is unpredictable and unsuitable with automated trading. Can you explain more about what "experience limitations" means? This sounds likea big deal. I need to know more.

4. I expect an automated strategy to develop a signal, place an order, monitor the order until it is filled (and possibly canceling the order if price slips away), and then strategically update a stoploss and exit a position. And I want to be able to see the status of that order on the Strategy tab (at least, if I am flat or not flat). And I want to do this predictably and reliably. Can I do this with NT and MBTrading?

Thanks!

[NinjaTrader_Lance]

1. If placing a trade via an automated strategy in the Strategy tab, will the current trade be displayed in this tab (position, profit/loss, quantity, etc)? Right now, I see that my strategy entered a position correctly when it was supposed to. But, the info for that strategy in the Stategies tab says it is flat. The Positions tab clearly shows that I am not flat. What gives? Will my strategy correctly exit? Can I change something so that I can see the status in the Strategy tab?

There are 4 different combination of strategy settings that can allow you to sync or not sync your account and strategy position. You have to keep in mind that strategy position may not always be the same as the account position as external orders from other strategies or manually placed trades can affect this.

For in depth details on this please read: http://www.ninjatrader.com/support/h..._account_p.htm
and: http://www.ninjatrader.com/support/h..._positions.htm

2. My strategy uses what is described in the NT documentation as "Advanced Order Handling" (not unmanaged, however). Several times, NT passed an error from what I think was the MBTrading API, complaining about something to the effect of "Order name musn't be empty" (thought it was humorous to use "musn't" in an error message). This seemed to hang NT. I can attach the NT log file when I am back to my NT computer later today. If I move my position tracking from OnBarUpdate to OnOrderUpdate, will this (perhaps) fix the problem?

It's hard to say without debugging the code. I would suggest using trace orders and print statements around where you are doing your order tracking.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?traceorders.htm

3. What else can I expect, and what can I change so that things work as expected? The warning message from NT saying "Since NinjaTrader relies on execution events to come prior to position events, you will experience limitations with tracking positions from the Strategies tab of the Control Center and trying to rely on the standard sequence of events (order execution before position) in NinjaScript." Sounds like the NT/MBTrading pair is unpredictable and unsuitable with automated trading. Can you explain more about what "experience limitations" means? This sounds likea big deal. I need to know more.

When creating a strategy you just have to keep in mind that MBT sends position updates before the execution event and thus if you're tracking in this fashion you would need to code the MBT strategy differently.

4. I expect an automated strategy to develop a signal, place an order, monitor the order until it is filled (and possibly canceling the order if price slips away), and then strategically update a stoploss and exit a position. And I want to be able to see the status of that order on the Strategy tab (at least, if I am flat or not flat). And I want to do this predictably and reliably. Can I do this with NT and MBTrading?

You can however you would need to code it assuming the execution update comes after the position update

Let me know if I can be of further assistance.

[Serac]

Thanks, Lance.

I'll probably have some follow up questions once I jump into debugging the order tracking witha live connection. That may take time since I can't sim the connection...