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Automated Order Fill

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    Automated Order Fill

    I have a strategy that I have backtested and I'm looking to use in real-time. I am currently using kinetick (end of day) as a data feed. As it stands, I have a strategy running across multiple instruments and I would like to know when a buy order will be submitted automatically based on the strategy. During the backtesting it says that the orders are submitted at 4:00 pm. Is the data from kinetick updated at 4:00 pm and is there time to get the order in then? Or does the order get pushed to the morning (when the price may be different)?

    My variables:

    Calculate on bar close: True
    Exit on close: False
    Exit on close seconds: 30
    Sync account position: True

    #2
    Hello Kujarn,

    The Kinetick End of Day (Free) connection does not provide real-time data and does not provide intra-day data. This means that the daily bar will not close when the session closes as this would require real-time data to drive.

    When NinjaTrader is running with Calculate on bar close (COBC) as true, orders are placed after the bar closes using logic calculated from that bar.

    Below is a link to the help guide on Calculate on bar close.
    http://www.ninjatrader.com/support/h...onbarclose.htm

    This means that any orders that are triggered from that bar are submitted after the bar closes as the new bar opens. As the order is placed as the new bar opens and the timestamp of the order is within the time of the next bar, the order will show on the next bar.

    If the strategy were running with COBC as false, or if the script has intra-bar granularity and submitted orders on a smaller timeframe, this would cause the timestamp of the order to be within the bar it is triggered on as the order may be submitted intra-bar. This order would show on the same bar as the bar that triggered the order submission. Though this would not be possible with the Kinetick End of Day (Free) connection, which does not provide intra-day or real-time data.

    This is outlined in the help guide Discrepancies: Real-Time vs Backtest.
    http://www.ninjatrader.com/support/h...ime_vs_bac.htm

    Please let me know if this does not resolve your inquiry.
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Automated Order Filling

      Thank you for the quick reply Chelsea. So I've setup the Kinetick real-time data feed with level I data. I am currently connected to NinjaTrader Continuum with Kinetick as backup. I now have COBC set to false. If I understand your response, this will cause an order to possibly be filled intrabar (intraday in this case) correct?

      Thanks

      Comment


        #4
        Hello Kujarn,

        That is correct, a real-time feed from NinjaTrader Continuum would provide real-time data to allow for intra-bar actions.

        You will not need to set Kinetick as the backup data feed for NinjaTrader Continuum as this will not work with the End of Day.
        Chelsea B.NinjaTrader Customer Service

        Comment

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