How to identify when the future/stock is at auction in a strategy?

[janiodesouza]

I have a scalper strategy, which runs tick-a-tick, however, when the future/stock goes into auction, there is lack of control in the issuance of orders.

How do I identify when the future/stockis at auction?

[bltdavid]

What does "goes into auction" mean?

[NinjaTrader_ChelseaB]

Hello janiodesouza,

I'm not familiar with this term.

Investopedia appears to be describing this as an exchange such as the NYSE.

https://www.investopedia.com/terms/a/auctionmarket.asp

Can you clarify what defines when a stock goes into auction? Are you referring to an IPO?

When you say issuance of orders, are you meaning that you are calling order methods and the orders are being rejected?

[janiodesouza]

The link https://tc.com.br/tc-school/mercado-...ilao-b3-bolsa/ demonstrates as well as the video https://youtu.be/oITo8FEDw24 does.

The opening auction is a moment prior to the formal opening of the stock exchange and is intended to set the consensus price for a particular financial asset.
It takes place before the official opening of futures and stock trading, as well as before the closing of each trading session.


My robot only uses limit orders, and with the market in auction the NT8 gets lost, and is placing millions of orders. And, millions of orders are executed and hit the take profit instantly.

[hedgeplay]

Hi am guessing you will get another reply from the NT team.

Until then something to consider.

1) A pragmatic approach might be to simply use NinjaScript time functions to prevent your strategy from executing any trades for the 1-5 mins before the market opens. More information and a sample from the NT team can be found here.
https://ninjatrader.com/support/help...to_limit_t.htm


2) Another simple approach might be to customize your trading hours template to prevent your strategy from executing at specific times.
https://ninjatrader.com/support/help...urs_window.htm

Some folks have used multiple trading hours templates on several similar data series in their strategies to create windows of time during a 24 hour period where strategies trade and where they do not. Like using the similar US instruments MES for premarket and ES for regular trading hours.

Might check out these overloads and the documentation at this page. https://ninjatrader.com/support/help...ng_changes.htm
AddDataSeries(string instrumentName, BarsPeriod ba rsPeriod, string tradingHoursName)
AddDataSeries(string instrumentName, BarsPeriod ba rsPeriod, string tradingHoursName, bool? isResetOn NewTradingDay)
AddDataSeries(string instrumentName, BarsPeriod ba rsPeriod, int barsToLoad, string tradingHoursName, bool? isResetOnNewTradingDay)

Complex examples for combining multiple trading hours templates exist in posts here in the forum or at Futures.io but my search did not find them.

Here are two free working indicator examples using multiple trading hours template to control timing from FatTails (of LizaradIndicators) posted over at Futures.io
SessionVWAP Daily(amaCurrentDayVWAP) https://futures.io/local_links.php?linkid=1897
Session Pivots Daily (amaPivotsDaily) https://futures.io/local_links.php?linkid=1919

Note: I would expect most people would want to at least start with the simpler example above, example #1 https://ninjatrader.com/support/help...to_limit_t.htm

Good Luck!
HedgePlay

[NinjaTrader_ChelseaB]

Hello janiodesouza,

To clarify, you would like an indication of 1 second before the market opens?


hedgeplay, these are great suggestions. If the goal is to trigger an action 1 second before the open of a trading session, a custom hours template and time filter is also what I suggest.

[janiodesouza]

Thank you very much hedgeplay, yes, I already use schedule control, I used the example code available at https://ninjatraderecosystem.com/use...gy-nt8-update/ .

Chelsea B., answering your question, no.
I actually need to identify when the market is in auction, and, this only the above schedule control is not enough, as the auction can happen at any time, per Circuit Break. And, I want to ensure the safety of the strategy.

How to proceed?

[NinjaTrader_ChelseaB]

Hello janiodesouza,

If this is a market data update and not something that can be detected with logic, unfortunately, this may not be a value that is provided by the data provider.

Below are links to the help guide on the market data updates that are available.

https://ninjatrader.com/support/helpGuides/nt8/marketdataeventargs.htm

https://ninjatrader.com/support/helpGuides/nt8/fundamentaldataeventargs.htm

https://ninjatrader.com/support/helpGuides/nt8/marketdeptheventargs.htm