NinjaTrader brokerage - strategy disconnections over weekend

[visounds]

Hi,
I have a number of strategies which I am running live with NT8, using an FXCM account/connection. Every weekend when markets close, the account disconnects and the strategy is unable to reconnect on Monday morning causeing multiple issues on managed positions. I am considering using NinjaTrader brokerage services but only if this is not an issue with NT Brokerage, can you confirm if it is likely to be the same over weekends? i.e. will account and subsequently strategy disconnections still occur?

[NinjaTrader_PatrickG]

It is possible that you would be disconnected from any feed which has a weekend maintenance period. NinjaTrader Brokerage, which would use CQG or Rithmic-based connections for futures, has the same maintenance period as FXCM (potential for weekend maintenance).

[visounds]

Is there any plans to improve the synchronisation between the platform and data providers to at least minimise strategies having issues with this?
It seems to be a problem of 7 years. With all the strategy development going on?
For instance on my strategy, even forcing "synchronisation" gets the position of the strategy to the account but any pending entry orders created by the strategy from the previous week are not re-connected to be managed by the strategy when synched after disconnection.

[NinjaTrader_Jim]

Hello visounds,

The behavior for strategy entry and exit orders to be cancelled upon disable would be configured by the Tools > Options > Strategies menu. If you use ImmediatelySubmit, the strategy will calculate historical data, determine which orders would be active, check to see if the criteria matches existing orders, and if they match the criteria for what the strategy has calculated historically, it will continue managing these orders.

Synchronize Account options will synchronize the account position to the strategy position. (Not to be confused with having the strategy synchronize its position to the Account Position.)

ImmediatelySubmit would be advised to have the strategy resume an existing position and orders when the strategy is re-enabled.

Start Behaviors - https://ninjatrader.com/support/help..._positions.htm

We are considering adding functionality to have NinjaTrader automatically reconnect when there is a broker side disconnection. We are also tracking interest to have strategies automatically enable with this feature request. SFT-2395

We collect interest in feature requests before determining if the feature should be implemented. For that reason we cannot offer an ETA or promise of fulfillment. Upon implementation, the number for the ticket ID can be publicly found in the Release Notes page of the help guide. I will provide a link below.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm

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

[visounds]

Hi Jim,

I am still very much confused....

I have read the links you provided... I cannot understand the practical impacts of the two options;
Immediately submit
Immediately submit, synchronize account

I am looking for the for the most practical situation, i.e.;
Strategy places many pending orders.
Some orders are filled and when filled have stop loss and target orders.

Over the weekend, from what I gather, the broker disconnects, and the only way to re-connect is to click on disconnect and then re-connect. So then I have to ENABLE each of the strategies that were running, it would cause losses on the account if say 10-20 current positions were cancelled and then submitted once the strategy re-calculatues the positions after enabling again after re-conneciton.

[visounds]

Jim I just did a test on “immediately submit”, that isn’t a solution. If the strategy creates stop loss orders and targets when a pending order is executed, those stop lossy orders and targets aren’t created on “immediately submit”, only the strategy BUY or SELL position is submitted.

unless I am mistaken, if I want the strategy positions to be managed with the stop loss orders and targets that my strategy creates when orders are executed, then with Ninja Traders current functions of not automatically re-connecting, I have to close the connection to re-connect, re enable each strategy, close the active positions (since all active stop loss and target management is lost in the close down and re-enabling of the strategies, then only re-enable with “wait till flat”.

Not very suitable for an strategy to not be able to continue working over a weekend just because it can’t automatically re-connect.

please help me if you think there is a way around this.

[NinjaTrader_Jim]

Hello visounds,

Generally, we could use the SampleOnOrderUpdate strategy to test disabling and enabling the strategy when there are orders pending to see that the orders are resumed when using ImmediatelySubmit. However, I am not seeing the behavior I would expect when performing this test.

I am investigating this further and will follow up with more details.

[visounds]

Hi Jim,
Any update here?
i am anxious to no let this be something that could be under review and never be resolved, the re-connection request from other forum members has been on NT’s list since 20111/2012 so I am feeling that perhaps it isn’t going to be resolved and may need to look at alternative platforms.

[NinjaTrader_Jim]

Hello visounds,

I'll need to work out a specific example to submit to our QA and Development team for review that demonstrates issues I have seen when using ImmediatelySubmit. The behavior I am not expecting to see is that I sometimes see orders that are currently pending getting cancelled when the strategy is re-enabled.

What I expect to see is that when a strategy is disabled, orders will remain pending. When the strategy is re-enabled, ImmediatelySubmit has the strategy compare the orders calculated from that run of historical data compared to the live working orders. The orders should simply be resumed by the strategy, and the strategy picks up where it left off.

As for the auto-reconnect behavior, it is in our feature request system with ticket ID SFT-2395. Interest is tracked before implementation is considered. Other factors are involved including how complex it would be to implement, etc. Other than this detail, I can't give any additional comment.

Please allow some time for me to work with QA and Development to properly report the behavior I am seeing with ImmediatelySubmit. I'm confident that once any issues here are sorted out, this approach to re-enable your strategies and have them resume will be your way forward.

[NinjaTrader_Jim]

Hello visounds,

The issue I was running into was related to a scenario with historical fill processing where if Exit orders and Enter orders are processed on the same bar, the entry order will be stuck in a working state and cannot be resumed. If the strategy uses Set methods along for profit target and stop loss, or uses OCO handling with the Unmanaged Approach this corner case scenario with historical fill processing can be avoided.

I have attached a demonstration and a script that you can use to test disabling and enabling the strategy to see that orders will remain active, or that the pending orders will be cancelled and the historical orders will be submitted in place if the orders cannot be matched. (Historical fill processing can create different fill prices than realtime order fills. If targets and stops are placed a certain distance from the average fill price, then the historical orders may have a different price than the realtime orders. If the prices are different, then the live orders will be cancelled and the historical orders are submitted.)

Demo - https://drive.google.com/file/d/1Fdn...w?usp=drivesdk

ImmediatelySubmit is intended to be used when you know the strategy and the account are where you want it when you enable the strategy.

Jim I just did a test on “immediately submit”, that isn’t a solution. If the strategy creates stop loss orders and targets when a pending order is executed, those stop lossy orders and targets aren’t created on “immediately submit”, only the strategy BUY or SELL position is submitted.

In the demo above, we can see that the entered order creates a position, and the profit target and stop loss are re-captured by the strategy after disabling and re-enabling. If you, for example, have a limit order for an entry submitted by the strategy, and that order fills when the strategy is disabled, the actual account will not have the target and stop submitted. If we reconnect to our broker, our chart downloads historical data and the strategy is enabled again, the strategy would then detect that the limit order it has submitted would have been filled, and then the target and stop would then be placed.

Please let me know if you have any other questions on using this Start Behavior.