Real Trading event: Extreme fast markets

[pstrusi]

Hi NT,

Let's say I have a simple intraday strategy working with market orders, so far it should be the fastest strategy configuration to operate. The Strategy is working and it's about to be released an important economic report, such as: Jobless Claims, which it's one of the most important events cause it triggers a massive, extreme and fast incoming data, at this point I wonder which would be really the queue NT's capacity to process this brutal period, here some questions:

- Can a pretty simple strategy with market orders hold this brutal trading time?
- If NT's queue is not enough and collapses: what would happen to the strategy?

The strategy named has could managed strong trading events but less intense than Jobless Claims. So I'd like to hear an opinion based in real facts.

Thanks in advance

[NinjaTrader_PatrickH]

Hello pstrusi,

Thank you for your post.

- Can a pretty simple strategy with market orders hold this brutal trading time?
- If NT's queue is not enough and collapses: what would happen to the strategy?

It is circumstantial if a simple strategy could handle such an event. In general, a simple strategy running alone in NinjaTrader should fair well in an intense data event.
However, how is simple defined? Do we have any other charts, indicators, strategies, Market Analyzers, Workspaces, etc. running?

The queue does not collapse it processes the events in order. So if it is taking some time to process then it needs more time to process the large amount of data.

[pstrusi]

Hello pstrusi,

Thank you for your post.

It is circumstantial if a simple strategy could handle such an event. In general, a simple strategy running alone in NinjaTrader should fair well in an intense data event.
However, how is simple defined? Do we have any other charts, indicators, strategies, Market Analyzers, Workspaces, etc. running?

The queue does not collapse it processes the events in order. So if it is taking some time to process then it needs more time to process the large amount of data.

Let's say the Strategy runs only depending on just one indicator, but under such extreme incoming data, this indicator could triggers according and often market orders....so, in your experience ( NT support team ) could it be possible that a simple strategy could collapse, disable and let dangerous opened positions in your broker?

[NinjaTrader_PatrickH]

Hello pstrusi,

Thank you for your response.

Strategies would not break and begin submitting incorrect orders. What could occur is the program locks up and the strategy is unable to monitor for the conditions and thus not submit, modify, or cancel orders.

[pstrusi]

Hello pstrusi,

Thank you for your response.

Strategies would not break and begin submitting incorrect orders. What could occur is the program locks up and the strategy is unable to monitor for the conditions and thus not submit, modify, or cancel orders.

Locks up? This is new to me, so this leads me to a couple of questions:

- Is this possible "Lock-up" temporary ?

- What conditions might trigger that lock-up?

By the way this Thursday will be a "Jobless Claims" report, so a big chance to see an extreme market.

Looking forward for your answer

[NinjaTrader_PatrickH]

A lock up or freeze of an application is generally accompanied by a message from the Windows Operating System. This could occur if you have code that is caught in a memory leak or loop.

A lock up or freeze would not be expected on a "simple" strategy.

[pstrusi]

For whom might care about extreme and volatile fast markets:

Despite you have a simple indicator strategy triggering market orders, STILL it's pretty easy to get overfilled situations, which is dangerous if not attended immediately cause it could left opened positions in your broker.

[sledge]

For whom might care about extreme and volatile fast markets:

Despite you have a simple indicator strategy triggering market orders, STILL it's pretty easy to get overfilled situations, which is dangerous if not attended immediately cause it could left opened positions in your broker.

Depends on your coding ?

Submitting 1 market order for 1 contract should never fill 2. Is this what you are experiencing?

[pstrusi]

Depends on your coding ?

Submitting 1 market order for 1 contract should never fill 2. Is this what you are experiencing?

It seems that a mess with quick changing positions and being unable cancel Set..( profit/loss ) orders.

Yes, this can be addressed by a better coding, but I wanted to try how fast can it change positions with a simple indicator, market orders and far-away Stops.

[GuppyDRV]

Memory

If you are running a strategy that locks up NT would and increase in RAM memory have any impact?

Thanks,

GuppyDRV

[pstrusi]

If you are running a strategy that locks up NT would and increase in RAM memory have any impact?

Thanks,

GuppyDRV

NT support team will answer better this question, but in my experience it'd be: depending in the reason for the "Lock"; obviously if it's coding related no RAM increase would solve it, such all of them creating an Overfill situation. RAM could help you if you're running several strategies for different instruments. Let's wait for a more complete technical answer instead

[NinjaTrader_PatrickH]

If you are running a strategy that locks up NT would and increase in RAM memory have any impact?

Thanks,

GuppyDRV

Any improvements to the hardware will improve the overall performance of your PC.