Indicator Lag during period of High market activity

[habibalex]

I need to stress test my indicators to see which ones are causing lag during high market activity. How would I go about doing this in nt8?

[NinjaTrader_ChrisL]

Hello habibalex, thanks for your note.

You can monitor each indicator and bar type that is running from the NinjaScript Utilization Tool. You can run the Playback connection and find spots of high volatility to stress test the indicators.

Please let me know if you have any further questions.

[habibalex]

those don't show me when my indicators are lagging unfortunately i need something more robust. is there a way i can spoof data into the playback files?

[pjsmith]

Fwiw, I don't find playback a reliable way to do this. You. Need to find a volatile mkt and test in realtime. Cl or nq during news! Or a trump tweet is good! Not convinient, but the only way to reproduce some of the issues I've seen... Playback on my machine simply does not do the same thing...

[habibalex]

unfortunately that is not a good way to test as its not easily reproducible. i really would like some way to test this properly. Is there a way to spoof the connection and push data into ninja that way? I would like to create known test data and verify the output.

NTDirect.Client.dll has some of the functionality, but doesn't have any level2 MarketDepth info. Is there a way to send that data as well using NTDirect.Client.dll? If not how do I accomplish this?

[NinjaTrader_ChrisL]

Hello habibalex, thanks for your reply.

Currently, it's not supported to stream additional ticks for this type of stress testing. The dll interface has LastPlayback, BidPlayback, and AskPlayback methods and this is for synchronizing the playback of a custom application to NinjaTrader, so it seems possible from an external application, but I have never seen one that does this so I can not confirm this.

Best regards.

[habibalex]

ChrisL, how does the ninjatrader team do their testing if this does not exist?

Also, I made a program that uses NinjaTrader.Client.dll to connect an external connection and the ES 09-19 Level1 data from Thursday when I experienced the lag around 9/12 7:10AM PST to 7:15AM PST. I am not experiencing any lag using the external connection. So I really need a way to add the level 2 data into the mix to see what is going on. I think adding the level2 data to the external connection is fairly simple unless I am mistaken.

[habibalex]

NinjaTrader_ChrisL I didn't hear back from you. I noticed extreme lag yesterday again. My charts were almost 3 minutes behind live data and then after about 5 minutes it finally caught back up. I really need to test the level2 data to determine where lag is coming from. It's not coming from my level1 feed from my tests above. How do I do this?

[NinjaTrader_ChrisL]

Hi habibalex, thanks for your reply.

I confirmed with our colleague that you can indeed push data through the NinjaTrader dll interface for stress testing. There is an example on how to use the dll interface here:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100199-orders-are-not-displayed-in-chart

[habibalex]

NinjaTrader_ChrisL Thanks for the fast response. Level 2 refers to Market Depth, and it would trigger the OnMarketDepth function in an indicator. What you've sent me is a link to Orders placed, ie: initiating or closing a position. I need a way to test the OnMarketDepth function in ninjatrader to stress test my indicators.

[NinjaTrader_ChrisL]

Hi habibalex, thanks for your patience.

The dll interface can only set bid/ask and last data for the playback connection it will not allow setting level 2 data. I will submit a feature request to add this to our dll interface.

[habibalex]

Hi Chris, I know that it can only do level 1 currently (last, inside bid, inside ask). It needs to be able to do level 2 also otherwise we have no way of accurately testing order flow indicators. My question is how does the ninjatrader team test this functionality. I would request they open that up to developers so we can properly test our indicators.

[NinjaTrader_ChrisL]

Hello habibalex, thanks for your reply.

NinjaTrader's development team does have tools for testing market rushes and level 2 data but those tools are not publicly available. I will submit a feature request to release these tools for developers. I'll have a feature tracking ID shortly.

Kind regards.

[habibalex]

ChrisL i still experience lag. Has there been any update to this? For example at 7:15:04 PST today ninja started lagging and was about 30 seconds behind. It wasn't even much an event. I don't experience any lag during market replay and using ntdirect.dll pushing level 1 data. I really need the level2 ability to test this.

[NinjaTrader_ChrisL]

Hi habibalex, I'm not sure if I ever received the feature tracking ID. Give me a while to look for this. Ultimately, the only way of getting around performance issues like this is to address and optimize the code itself