maximum frequency?

[Vasia.Pupkin]

there is an old post at this forum:

If you system really changes the prices of orders on every bid/ask change, it will surely be shut down by your broker after some time.

My system creates/changes orders much more seldom. I has saved Time[0] everytime when EnterShortLimit is called. Usually there is one EnterShortLimit per several seconds (sometimes per several minutes). However, sometimes the changes can be pretty frequent - even several calls per second.

About 1/3rd of the orders are cancelled, others are filled (and they have their own stop loss & take profits).

Here is the times when EnterShortLimit was called (I replaced hours numbers with HH):

HH:59:15
HH:59:23
HH:59:25
HH:59:33
HH:59:34
HH:59:42
HH:59:44
HH:59:50
HH:59:51
HH:59:53
HH:59:54
HH:59:55
HH:59:57
HH:59:58
HH:59:59
HH:00:00
HH:00:00
HH:00:00
HH:00:00
HH:00:00
HH:00:02
HH:00:03
HH:00:03
HH:00:05
HH:00:18
HH:00:52
HH:00:54
HH:01:04

questions:

1. does it look more or less realistic or too frequent for ninjatrader & ninjatraderbrokerage?
2. what sort of network latency should I have between the computer with my ninjatrader instance and ninjatraderbrokerage's server for this system?


another post (somebody asked a question - how frequently orders can be changed):

there is no limitation on frequency. We have run regression tests that made 40+ changes per second. Keep in mind, changes are internally queued and only submitted to the broker once the prior change has reached a status where we cen send the next change etc...

it looks like my order changes that are up to several times per second (but much less than 40) should be fine intheory.

Am I right?

Last post:

the replay comes pretty close as long as you're not trying to do anything fancy, like buy the bid and sell the ask at a high frequency.

I do not buy the bid and sell the ask, however, some of my limit orders are close to bid/asks (it can be as close as 1 tick).

and the frequencies are usually 1 time per several seconds (or minutes) or sometimes even several times per second.

Instrument - ES.

questions:

1. is it ok or too fancy for the Market Replay? (e.g. can I trust the market replay when test this system?)
2. what is wrong for market reply with buying the bid and selling the ask at a high frequency?

[NinjaTrader_PatrickH]

Hello Vasia.Pupkin,

Thank you for your post.

For your frequency questions:
1. This should not be too frequent.
2. The less latency the better. You reduce latency with an improved internet service or even decreasing the distance between your PC, the brokerage servers, and the exchange.

For Market Replay:
1. What you are attempting is not to fancy for Market Replay.
2. There should not be an issue in buying or selling at a price in high frequency.

Please let me know if I may be of further assistance.