CME Pre-Open Market

[GLFX005]

Hello Ninjatrader staff,

Am I able to submit Limit orders to the pre-open market session on CME Futures (ES, NQ) with Ninjatrader Brokerage?
If yes, how can I submit Limit orders to this period? What are some of the differences that comes with submitting orders to the pre-open market session?
And do Limit orders that were placed during regular trading hours carry over into the pre-open market session?

I am looking forward to your reply.

[NinjaTrader_Jason]

Hello GLFX005,

Can you please send us an email at "brokeragesupport[AT]ninjatrader[DOT]com" regarding these questions. The NinjaTrader brokerage team does not use the support forum, so please send any brokerage related question to this email address.

You can submit orders in the NinjaTrader platform in order entry windows (SuperDOM, ChartTrader, etc) as long as realtime data is received. Charts receive realtime data as per the trading hours template selected in the Data Series menu of the chart. If set to <Use instrument settings>, it will use the trading hours template setup for the instrument. You can check this at Control Center-->Tools-->Instruments. Double click the instrument to see what trading hours template is used.

You can view start and end times of trading hours templates at Control Center-->Tools-->Trading Hours.

[GLFX005]

Hello Jason, thank you for your reply.

I've sent my questions to the brokerage email address and have a few additional questions.

1. The CME US Index ETH trading hours template does not include the pre-open market session lasting from 16:45 to 17:00 CT. So are Limit orders submitted during regular trading hours carried over to the pre-open market session? Or do I have to modify the trading hours template and resubmit my orders to be specifically valid during the pre-open market session?

[NinjaTrader_Jason]

They remain active as long as the orders are submitted with TIF set to GTC (or GTD where the order remains active until the end of a trading session for the specified date). You can find the TIF setting in each NinjaTrader order entry window. More information can be found at the link below.

https://ninjatrader.com/support/helpGuides/nt8/?tif_selector.htm

[GLFX005]

Hello Jason, thank you for your reply.

I have observed a strange phenomenon when trading in simulation on the ES Futures contract, I will briefly try to explain the scenario.

As you may know, the ES Futures contract has a one hour break between each session that starts at 16:00 CT and ends at 17:00 CT. During this one hour break there is a pre-open trading session that lasts from 16:45 CT to 17:00 CT where sometimes the spread will be inverted (crossed market, when the Ask is below the Bid). This happens because traders want to increase their chances to get filled at the opening of the market.

The problem that occurs is that when trading in simulation, with a real-time data feed from CQG, the Limit orders that were submitted during regular trading hours (before 16:00 CT) are actually getting filled when this crossed market scenario occurs during the pre-open trading session. This should not be allowed because no trades are matched on the exchange during this the pre-open trading session.

At first I thought this might be because of using a wrong trading hours template that doesn't follow the rules of the contract, but I am using the default CME US Index Futures ETH trading hours template.

Any ideas on why the simulation engine doesn't adhere to the exchange rules?

I am looking forward to your reply.

[NinjaTrader_Jason]

The Sim101 account is an internal account of the NinjaTrader platform. If realtime data is received that would allow the order to be executed, it can execute. Unfortunately it does not follow these exchange rules.

[GLFX005]

Hello Jason,

To me it feels disingenuous towards the users of Ninjatrader to offer demo trading that can not simulate real life conditions by allowing Limit orders to be filled during the pre-open trading session. This flaw causes some major differences between live and simulation environments with trades on the simulation engine getting filled at vastly better prices than ever would've happened in reality. I do sincerely suggest that this issue is dealt with so that users like me are not getting baited by unrealistic and falsely promising results from trading in a simulation environment. It gets very tiring after years of finding great strategies, only to find out that some error in the Ninjatrader platform itself was behind the great results.

Thank you for your time.

[NinjaTrader_Jason]

I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.

Thanks in advance for your patience.