Automatic Real rtime trading

[Frank S.]

Hello,

I have a serious problem and would like if there is a work around doable, but first of all NinjaTrader is a perfect tool for automatic electronic trading, very stable and easy to use.

Anyhow, after years of strategy development and finding out what works and what not, I am getting a bit desperate when it comes to build a stable execution system and I wonder if I am the only one having this issues.

Here is my latest problem :

- In the past during the roll over time, the trades were simply delayed and executed a
bit later. Since some days I am getting kicked out of GAIN and trades rejected. It
means that everybody who is evaluating a signal on daily bar and execute
automatically will get kicked out. This is a no go for an automatic system.

Is there any workaround ?

My set up is that Is use Tradestation for signal generation and email notification
for execution which works simply and perfect. What is needed is that NT needs to hold back the trades over Roll Over. I guess that NT maybe should keep the trades alive until Roll Over is finished ?

regards
Frank

[NinjaTrader_Jason]

Hello Frank,

Unfortunately there is no workaround present by default in NinjaTrader. I suggest to modify your strategy code so it will not submit orders during the period that Gain rejects orders.

I assume you do not experience a disconnection when the rollover period occurs, since your strategy was able to submit orders which subsequently reject.

If you experience a disconnection, you can use the options at Control Center-->Tools-->Options-->Strategies-->NinjaScript-tab to determine the behavior of your strategy during a disconnection. Please see the link below for more information.

http://www.ninjatrader.com/support/helpGuides/nt7/strategies_tab.htm

I am not sure what will happen to live orders and positions during this period. Once orders receive an 'Accepted' or 'Working' status, they are located on Gain servers.

http://www.ninjatrader.com/support/forum/showthread.php?p=27076

Please check with Gain what will happen to orders that are located on their server during rollover period.

[Frank S.]

tried before

hello,

let me a bit explain the set up.

- I am using TS and email notification to NT
- NT is very stable and reliable tool for executing the trades.
- The strategies working on dayly level, means the strategy will be evaluated and
executed at bar shift. When the bar shift is on daily level it will be at roll over time.
- So all trades will be rejected :-(
- I tried to delay inside EL but this is not that easy and defined (only a for loop will help)
- When Gain rejects the system jumps out thats the problem, accepted trades will
be hold

So everybody who is dealing seriously with automatic trading using a strategies on daily bars will have the same problem. I cannot believe that I am the only one having this problem ?

regards
Frank

[Frank S.]

I forgot to write. I can warn everybody to use Tradetstation for automatic trading. It is not made for it.You will fall over many "expensive" problems, use NT, much better.

regards
Frank

[NinjaTrader_Jason]

Hello Frank,

I see, thank you for clarifying.

Unfortunately, if orders are rejected that were generated by an automated strategy, the strategy will be terminated. There is no workaround.

Unfortunately, I do not see a different workaround than modifying your code so it will submit orders after this period.

[Frank S.]

Yes, I am wondering if people ever have done serious automated trading and ever thought this through.

An alternative would be an NT feature that avoids that the system jumps out.
Another option is a feature that after rejecting that retries to execute at a defined amount of time.

You see, just the jump out is the problem. It will avoid automated trading on daily bars.
Just take 2 MAs, buy at daily bar crossing and this is even not working automatically anymore.

anyhow, thanks for your understanding. Maybe you can make a feature in the future.

regards
Frank

[NinjaTrader_Jason]

Hello Frank,

Thank you for your feedback. I will forward your suggestions to workaround the system jump out and order rejections to development.

[Frank S.]

Thank you for your support. I am in this automatic trading thing since some years and be always surprised that very basics are lacking. ( I am not in the strategy development part, that's a different page)
So Ninja is a really stable highlight in this puzzle of stable system integration, thats why I have a lifetime license. And it makes me independent of which Broker I go for. If Gain starts to discuss, I reroute my trades to another one. Great.

Nevertheless, where it could be optimized is in the impact of automated trading, means :

- I do not want to sit infront of my PC all the time, when I do automatic trading and babysit. That's
the point of it. Risk is on my side of course. But the system must run run run and if not, telling me.

- So what happens when its crash for whatever reasons ? When the system stops and wait for
feedback, it might overun some stop losses. A very expensive problem, which I found out with TS
several times.

- Network round Trip times which impacts slippages for orders or execution success on limit orders.
For a scalping strategy a major problem. It would be great when I can monitor this, per minute or
hour, maybe in combination with strategy.

- As stated before, when the order gets rejected, it should mean, keep the rest alive and notify me.
But do not stop the system, thats the Supergau.

- Even NT is a very stable tool, it relies on the underlying software and server. Automatic trading
means the system must somehow notify me when the server itself is not working anymore.
A great feature would be that maybe a server at your side is pinging my NT software every hour
if it is still there and if not sending an email to my.


Please do see this as suggestions, I have a very long list on this.

regards
Frank

[NinjaTrader_Jason]

Hello Frank,

Please note that we do not recommend to leave your automated strategies unattended. We are dealing with electronics, so you never known what might happen. If any error is to occur, you need to be able to access the PC to take immediate action.

If NinjaTrader crashes and shuts down, your strategy will stop trading. However, orders will still be present at the broker/exchange providing they had an 'Accepted' or 'Working' status.

I will forward your suggestion to support the display of 'network round trip times'. The order rejection suggestion has been forwarded already.

Unfortunately, I am not sure if I follow your last suggestion. Please note that automated strategies that run in NinjaTrader are not located on a server - they run on your PC.

[Frank S.]

Hey,

yes, I am aware of it. You cannot overtake the liability for such actions since it is very complicated with many parameter. But hey, we are talking about algorithms on computer, which is automated trading. But what you can do is overtaking the notification when it is not working or keep the system alive that it is rejected or not running over stop losses as stated before. A small applet on my mobile or PC which connects to my NT platform, asking every 5 minutes if its alive, did you make any activities are you feeling good etc would be great.
This is exactly what TS people are not understanding with their 10 years old software architecture and concepts. The world goes virtual and babysit technology is from the last century.
Making profitable strategies is not a big deal, the problem is to let it run stable with 6 sigma.

My risk, my trading, my money, but I want to know when it is not running smoothly.

Any support on this will give you an edge towards your competition.

regards
Frank

[NinjaTrader_Jason]

Hello Frank,

You can workaround the fact that strategies are terminated on order rejections using RealtimeErrorHandling. Please see the link below for more information.

http://www.ninjatrader.com/support/helpGuides/nt7/realtimeerrorhandling.htm

[Frank S.]

Thanks a lot. Is it possible to include this into my Ccurrent SetUp or do I have to re-program all my strategies to Ninja ?

regards
Frank

[NinjaTrader_Jason]

You will need to program your strategies to NinjaTrader so you can use RealtimeErrorHandling within the strategy code.

[PEPBOSCH]

automated trading order execution

Hi , I am trying to understand how ninjatrader platform executes the orders in automatic trading. Are the orders executed when the signal appears or at the end of the bar?
example: automatic trading in 60 minute chart , I get a buy signal at the half (ex.30minute) of the 60minute bar, When will the buy order be executed? at next available offer or 30 minutes later when the close of the 60 minute bar? Which are differences on order execution between backtesting , demo live trading and real live trading?
thank you

[NinjaTrader_Jason]

Hello PEPBOSCH,

It depends on the 'Calculate on bar close' setting. If set to False, the strategy will be calculated on each incoming tick, so the strategy can submit orders intra-bar.

If set to True, the strategy is calculated at the close of each price bar. As per your example, it would submit the order 30 minutes later.

Please see the link below that explains differences between backtesting, Market Replay and live trading.

http://ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm