Order processing time in milliseconds: Doubts

[pstrusi]

Hi Ninjas,

I've been developing an intraday trading algorithm that only works with Bar range charts, mainly Range=1 or 2 ticks of width, in highly liquid markets such as EURUSD and ES. The broker I work with is Interactivebrokers, which data, connection and speed seems to be good enough to my needs. Doing backtesting I have very decent results, but I'm pretty aware that when you go "live" with an intraday Algo, many unpleasant surprises may come along, such as:

- If you use market orders, the bid/ask spread will affect performance, because in backtesting you always filled your orders at the price that triggers the order, ignoring the actual spread, which in the most cases will be against you.

- In this very frequent Range Bar charts, very often ( in volatile times ) many bars could be easily drawn in the same moment ( could different ticks ), where a non HFT Algo like mine couldn't operate correctly at that speed.

Now, let's suppose that we're in a normal session, I'd like to know approximately, how long will an Algo 's order take to be processed ?

I know it may depend on many variables, such as: your pc processor, internet speed connection, geographical distance...etc , BUT in average, what do you think in average, that an order will need in milliseconds to be processed

Actually I've done a similar question in this post:

http://www.ninjatrader.com/support/forum/showthread.php?t=62722&highlight=milliseconds+order

Thanks for this help, is vital to my goals.

[arbuthnot]

Thanks, pstrusi, for this post. The strategy I plan to work with uses Renko bars and I'm concerned about what happens when several or many bars are printed almost simultaneously.

Looking forward to seeing NinjaTrader's reply.

[NinjaTrader_PatrickH]

Hello pstrusi,

Thank you for your post.

We do not have any statistics to measure an average on order would to take to process. This would be no different from an automated strategy than a manually placed order. If you are curious on order update times you can check with your broker for more information. The items you suggested as common factors are true, and would need to be considered.

[pstrusi]

Would it be a good suggestion that NT could have a little field to measure it? Perhaps not for everybody this could be useful, but definitively it 'd be helpful for many.

Thanks anyway

[NinjaTrader_PatrickH]

Hello pstrusi,

Thank you for your response.

You could develop it in your strategy using the OnOrderUpdate() method and check the OrderState.

• OnOrderUpdate(): http://www.ninjatrader.com/support/h...rderupdate.htm
• IOrder methods and properties: http://www.ninjatrader.com/support/h...nt7/iorder.htm

[pstrusi]

Hi Patrick

Yes, I use OnOrderUpdate to check changes of status...etc but I was just thinking for many users that are not deep programmers. I've been able to manage this type of programming but for the majority is not easy; that's why I was doing the suggestion. Obviously to consider this will be depend on NT team.

Thanks anyway

[NinjaTrader_PatrickH]

Hello pstrusi,

Thank you for your suggestion.

I will forward it to our development team.