Custom FillType like NT7

[dnoff]

I am trying to migrate existing Gap based strategies from NT 7 to NT 8. I currently use custom fill types for siumlating "fill at Open" (sith slippage) for backtesting within NT 7. I was assuming something similar was/would be available in NT 8, but do not currently see that in the platform.

Is this available?

It not, what the alternatives to simulate this?

[NinjaTrader_JessicaP]

Hello dnoff,


I have submitted a feature request to the product management team for the following feature :

This customer would like an equivalent to NinjaTrader 7's fill types from the bin\Custom\Type folder in NinjaTrader 8

I will follow up with more information as soon as it's available. If the feature requests already exists, a vote will be added to it.

In the meantime, while they are not a replacement, I would like to encourage you to look into creating new to NinjaTrader 8 custom Bar Types and Chart Styles, and using these together in a second time series, to give you a greater degree of control over exactly how orders are filled.

http://ninjatrader.com/support/helpGuides/nt8/en-us/bars_type.htm

http://ninjatrader.com/support/helpGuides/nt8/en-us/chartstyletype.htm

Please let us know if there are any other ways we can help.

[dnoff]

Just seeing if there is any status update on this?

[NinjaTrader_JessicaP]

Hello dnoff,

This feature is being reviewed by the product management team and has been assigned the following unique tracking ID


SFT-2255


Please let us know if there is any other way we can help.

[dnoff]

A few months on, wanted to check and see any progress on the custom fill types? This is still a blocker to me to be able to move a set of developers onto the new platform (and buy new licenses).

[NinjaTrader_JessicaP]

Thank you for your continued interest. SFT-2255 has not been implemented at this time. Our release notes page will be updated should this make it into a future copy of Ninja.

http://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm

In the meantime I would like to make you aware of the high fill resolution feature.

http://ninjatrader.com/support/helpGuides/nt8/en-us/?understanding_historical_fill_.htm

While the name says "high" fill resolution, any granularity under your current bars is allowed. For instance, if you are running 1 minute bars, you can set up your backtests so that trades are only processed once every 30 seconds, which in turn can simulate lossy or laggy market conditions.

[Brillo]

FillType NT8

I would also like to see this feature in NT8. The NT8 fill logic doesn't make sense.

I attached a screen shot of a strategy that buys a the open.

An example trade of NVAX on 11/10/2005 using Kinetick daily bars.

Top chart is NT7 with custom fill type ( that fixes NT7 default fill type problem with buying opening gaps below limit price ) AND NT8 version.

Bottom chart, the NT8 version thinks the order would have filled 5 cents higher than the NT7 version. Why? The strategy submitted and order to buy at the open. The open was 5 cents lower. This is on daily bars, no slippage and on a chart ( w/out order fill resolution of strategy analyzer ). From where does NT8 come up with a 5 cents difference?

[cls71]

Hello,

is this feature planned to be implemented in the short term?

Thanks

[NinjaTrader_Jesse]

Hello,

Thank you for the post.

I can see that we have taken this in as a feature request but I am unable to say if this would or would not be implemented in the future. I currently see this has not been implemented.

In the case that something does change, we note this in the changelog along with a relevant id. If this change was spawned from a feature request you would be able to locate that change by the ID from post #6 or SFT-2255.

https://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm

Please let me know if I may be of additional assistance.

[Light]

Fill Type errors with custom bar type

Guys, my trading partners and I, and those who use our bar type (white labeled for other companies) also require a custom fill algorithm for our custom bars. Those who use our bar type are able to back-test accurately in NT7 only because we can customize the fill algorithm. If the fill algorithm in NT8 is same as those in NT7, then we won't be able to accurately back-test in NT8 at all, giving us another reason to stay with 7. So I would strongly urge you to re-employ custom fill algorithms in NT8 in the way they are allowed NT7. That option should go hand-in-hand with custom bar types. In NT8, not allowing custom fill algorithms makes the improvements in custom bar types unusable for us and our customers, and I suspect for others as well. Without them, we will be confined to using NT7 for as long as it's available.

Thank you for your help.

Light

[dnoff]

Thanks for rhe reply light. Like you I am staying with NT 7 until this is addressed. Cannot back test accurately without unfortunately as you note and custom bar types don’t help with simulation of fills in backtestong.

Ninja trader any update on this??? It has been almost a year.

[dnoff]

Thought I follow-up and see if there are any updates on this? I have not seen this feature make it NT 8 yet unless I have missed something.

It is almost 2 years so would really like see progress/dates/etc. on this.

[NinjaTrader_Jim]

Hello dnoff,

We track feature request interest in votes and then our Product Management team makes a decision to move forward with an implementation. Because of this, we cannot offer an ETA or promise of fulfillment. There is another feature request specifically for opening up the fill engine so it can be fully customized which would also address the concerns brought up here as the engine would be open for modification. That ticket, SFT-1137, has a bit more traction than SFT-2244, so I have added votes for those in this thread. This counts dnoff, Light, cls71, and Brillo.

Let me know if there is anything else we can do to help.

[Light]

Thanks Jim and dnoff. Any progress on this feature? A custom fill type is critical for back-testing on custom bar types. My trading partners and I use custom bar types exclusively, and the lack of this capability is the largest barrier preventing us from switching from NT7 to NT8. In my opinion, this would be a major improvement to custom bar types in NT8, because it would allow strategies on them to be back-tested accurately.

Thanks again,

Light

[NinjaTrader_Jim]

Hello Light,

SFT-1137 (Opening up Fill Engine/Customizing Fill Engine Behavior ) is still being tracked for consideration. I do not have any additional information on having this request fullfilled other than it is still being tracked. We have counted 36 votes so far.

Let me know if there is anything else we can do to help.