custom bars

[lawrence124]

Hi, i'm wondering, if i want 1 minutes bars...but not like the standard 15:00:00-15:01:00 kind but the 15:00:30-15:01:30 style, is it possible to do that?? ie, I want to start a new bar when the seconds say "30"

moreover, I notice, ninjatrader will break cutloss order depending on bid/ask size at that moment, but, possible to configure it as 1 market order only? as, IB only let me has 15max working orders while that kind of cut loss may result in more than 15 smaller orders

Thanks

[NinjaTrader_PatrickH]

Hello lawrence124,

Thank you for your post.

The Bars are built based on when they close, with a minute bar they open on a minute and the Session Template and Session Manager only allow up to the minute granularity. So we could not set a Session to start at 9:30:30 for example.

For the cutloss, I believe you are referring to partial fills. Is this correct?

[lawrence124]

correct, how to avoid the partial fill ?? say, i just want to fill all outstanding position with 1 market order??

[koganam]

correct, how to avoid the partial fill ?? say, i just want to fill all outstanding position with 1 market order??

The exchange fills your orders. You have no control over Market Orders. They will fill at whatever price is best at the time that they fill, not the time that you submit them. If you want a specific price, use a Limit Order and assume the risk of not getting filled.

[lawrence124]

thank you for your reply, the reason why i have that question is that, when i check the order logs in ninjatrader, it broke the stop order of 200k euro order into 20 orders, which was about 10k each, it was during fast market and i believe the broker only show 10k for the best bid/ask, thus, ninjatrader tried to fill me with those sizes. I think normally, it would be 1 order of 200k euro instead of 20x10k euro

I maybe wrong and that's why I'm asking, thanks

[NinjaTrader_Kyle]

Hello lawrence124,

So that I may review this execution please contact me by email at PlatformSupport [AT] NinjaTrader [DOT] com.

In your message, please include the following:
1.) A link to this forum thread.
2.) A copy of your order log for the day this took place:
Order logs are found in the Documents > NinjaTrader 7 > Log folder. Log files are named by date in a 'log.YYYYMMDD.txt' format.
3.) The time that the order was executed so that I may identify it within the log.

[koganam]

thank you for your reply, the reason why i have that question is that, when i check the order logs in ninjatrader, it broke the stop order of 200k euro order into 20 orders, which was about 10k each, it was during fast market and i believe the broker only show 10k for the best bid/ask, thus, ninjatrader tried to fill me with those sizes. I think normally, it would be 1 order of 200k euro instead of 20x10k euro

I maybe wrong and that's why I'm asking, thanks

Even if you submit it as one order of 200k, you still have no control over how the order will fill. You can only submit the order: how it fills depends on the market conditions. That acknowledgement is the reason that there is reporting and processing for partial fills.

[lawrence124]

Even if you submit it as one order of 200k, you still have no control over how the order will fill. You can only submit the order: how it fills depends on the market conditions. That acknowledgement is the reason that there is reporting and processing for partial fills.

yes, but the problem is, ninjatrader thought those 20 orders were filled but IB only allow 15 outstanding orders on the same contract (euro for this case), so, 5x10k wasn't filled...was trying to solve that problem...any idea ??

[koganam]

yes, but the problem is, ninjatrader thought those 20 orders were filled but IB only allow 15 outstanding orders on the same contract (euro for this case), so, 5x10k wasn't filled...was trying to solve that problem...any idea ??

On all platforms that I use, if you submit one order, it is treated as one order, no matter how many partial fills there may be. It is not the broker's business to split your single order into multiple orders before submitting them, and frankly, neither should you have to.

If your broker really expects what you are describing, the only idea I have is to find a different broker. Sorry. I can think of nothing else. I really find it hard to believe that any broker expects you to split orders to a specific maximum size, and then limits the number of orders that you can submit, which, essentially is placing a procedural cap that is different from your margin cap.