Dynamic Strategy Builder through ATI

[whitmark]

I am currently using Ninja Trader ATI via theDLL connection and it works great!

However, it would be very useful if I could dynamically setthe strategy parametersettings through another set of DLL function calls just before I PLACE and order with the strategy reference. Therefore, rather than havingtopre-populateall of the different static strategy templates that I might need, Icoulddyamicallycreate or modify an existing one based on the underlying conditions. Any template error checking would be done when thefunction is called. A valid response from the strategy create or modify function would be my cue to place the order.

I assume thereare no capabilities to do this now through the ATI? Thanks for considering.

Regards,

Whitmark

[NinjaTrader_Dierk]

imported post

What's the value of settings strategy parameter and later submit the strategy instead of doing it all by one DLL call?

[whitmark]

imported post

I see your point. If the strategy parameters get rejected, it gets rejected. I guess I was thinking thatmaking a function with all of the strategy parameters plus the current command elements could be pretty unweildy, but one call would be nice.

Is this in the works?

[NinjaTrader_Dierk]

imported post

Nope, not via ATI. This will get too complex. You probably should take a look at the NinjaTrader Framework, which provides you 100% access to strategies.

http://www.trademagic.net

[whitmark]

imported post

This looks very promising, but I am notclear of the potential implications. I can use the ATI for order management but then manipulate the underlying components directly to create or mod a strategy on the fly? Does it make sense to bypass the ATI and manipulate Ninja objects and methods directly from my Dephi strategy DLLin NeoTicker? Are there any examples of how the framework can be usedaboveand beyond supporting the currentNinjaTrader product?

Regards,

Whitmark

[NinjaTrader_Dierk]

imported post

The framwork is completely independant from the NT retail app: you really need to build your own trading app. You can not use both framework and ATI/NT app at the same time.

Framework tutorial: http://www.trademagic.net/phpBB2/viewtopic.php?t=92

If you "only" want to drive strategies from within Delphi, than I would not deal with that but setup a set of strategies you then could address through DLL/ATI.

[whitmark]

imported post

I thought I would check back to see if you have evolved your thinking or product capabilities on allowing strategies to be dynamically defined in the place command or a separate DLL call prior to being submitted.

I really like the ability tooffload position management handling to Ninja via the ATIfrom my on bar completion system, but I would alsolike the ability tomodify stops, targets, etc, on the fly asmy trading system dictates just prior to placing the trade. However, Idon't want to 1) build my own order interface as you suggest nor 2) create and manage all of the possible setsof Ninja strategies that could be in the hundreds given all the potential combinations. Furthermore, bringing all that position managementinto my trading system defeats the purpose and efficiency of offloading all that tick-by-tick processing in the first place.

You guys are some of the most innovativedevelopers in this space. Surely, there must be a clever way to build a dynamic, just-in-time strategy builderthat can be accessed via a new DLL/ATI? Fwiw, I suspect if you build it, you willget great interest fromblack/gray box developers that are looking to offload this processing intensive function.

Regards,

Whitmark

[NinjaTrader_Dierk]

imported post

NT6 will support custom strategies through NinjaScript. ETA: Fall 06

[aspTrader]

imported post

Hi Dierk,

whitmark turned me on to this thread...

A question I've asked before... but related...

I want to be able to access order information about non-ATI placed orders (native NinjaTrader placed orders) through the ATI.

What do you think?

[whitmark]

imported post

Obviously, I would like to see customizable strategiesextended to other platforms (like NeoTicker) that can leverage Ninja for their order execution platform. I am concerned that in an attempt to make Ninja Scriptmore appealing and its features more exclusive, you are pursuing a strategyto enable certain features(e.g., customizable strategies) thatyou do not intend to pass along to the ATIforother platforms to leverage.In this regard, if you're not planning to upgrade these types ofcustomizable enhancements tothe ATI in favor of direct access via Ninja Script, please give us a heads up to seek out alternatives. Otherwise, it would be most useful if an ATI method could be devised to enable this capability even if it meant submitting Ninja Script commands somehowthrough the interface.

Regards,

Whitmark

[NinjaTrader_Ray]

imported post

We will continue to consider enhancements to our ATI for integration with external applications. Enhancing the ATI to provide functions for on the fly NinjaTrader position strategy creation is an interesting idea that I will add to our listfor future consideration. This is the first request of this nature and the suggestion is highlyappreciated.

Accessing internally generated orders via the ATI is already on our list for future consideration. At this time, there have not been a lot of requests for this feature.

Ray

[whitmark]

imported post

Thanks, Ray, for your consideration. I suspect most who want this capability just roll there own interface and take Ninja out of the loop. But anyone who has done this realizes the burden of handling this process on a tick-by-tick basis in terms of added development effort and computational overhead borne by the trading system.

Having the ability to offload position management while customizing the strategy settings is the best of both worlds and a goalof anotherwell known trading platform that islookingtoprogrammatically defineposition management strategies just prior to theirexecution on the DOM. If you build it, and market it, they will come

Regards,

Whitmark

[aspTrader]

imported post

ninjatrader wrote:

Accessing internally generated orders via the ATI is already on our list for future consideration. At this time, there have not been a lot of requests for this feature.

Among traders who use another world-class platform (if not having as many users as others) that interfaces to Ninja Trader I imagine that whitmark and I are among the most enthusiastic about the use of Ninja Trader with it.

I find myself bragging up the benefits of using that platform with Ninja Trader once a week on average.

What we want are capabilities that allow us to generate orders (and Ninja Trader strategies) in that other platform and then manage the position in Ninja Trader or generate orders in Ninja Trader and manage the position in that other platform.

You must already have the methods for strategy creation and exhaustive order list retrieval. We just want access to those methods.

[whitmark]

imported post

I've begun my quest to find a way to enable my trading systemstodeploy customized/trade specific position management parameters (e.g.,issue, quantity, stop, profit target, breakeven,auto trail) through an APIand without the need topre-populate all possible parameter combinations as currentlyrequiredNinjaTraderunder the current ATI. Icould handleposition managementin my NeoTicker system,but for reasons mentioned before,would much prefer to offload this task to a specialized application such as NinjaTrader that also enable discretionary oversight via a world-class DOMinterface. I also find the ability to push data via the external data feed and forward test using the Sim101 account an extremely useful feature for system testing.

In this market space of order execution platforms, there areserveral providershave great DOM interfaces for discretionary trading yet API functionality that limits the amount of customization that canbe easily drivenout by a trading system. On the other hand,there are other providers withoutstanding system automation flexibility (e.g., TWS, TradeBolt) but offer lackluster discretionary trading user interfaces and functionality.Of course,when I was first turned onto Ninja, it had superior functionality for both usage types and was relatively cost effective too.

Asmy requirements have expanded to incompass trade specific position management parameters, I would like to gain a betterunderstanding of where Ninjafits into my future development and order execution plans.The advent of Ninja Script and the hint at script-onlyorder execution functionality, is causing me to rethink how best to utilize my most favored trading tool. In this thread, it was disclosed that Ninja R6 would support customized strategies through Ninja Script and that similar functionality was only now being consideredfor the ATI due to the lack of interest until now. Given the likelihood thatcustomizable strategy parameters are not in thenear future (except forNinja Script developers) I wanted to get your thoughts regarding the feasibility/pros/cons ofthe use case options outlined below in the context of trading systems developed and executed from anexternalplatform likeNeoTicker.

1) With R6, have the external source trading program write and execute the necessary Ninja Script statements to submit the desired strategy on NinjaTrader.

2) Use the IB TWS API to submit entry, stop, and target OCO orders and rely on NinjaTrader to detect the open orders/positions to enable discretionary oversight and modification.

3) Deploy other TradeMagic components that are enabled via a DLL call to submit customized strategiesthat would enable the concurrent use of the NinjaTraderto manage the open position/orders.

4) None of the above, it can only be readily accomplished through an ATI enhancement if/when it is made available.

Yourinsights on these options will be very helpful to me and other like minded NinjaTrader customers that rely on NeoTicker as their preferred system development platform of choice.


Regards,

Whitmark

[NinjaTrader_Ray]

imported post

We are weeks away from releasing NT6 which will have full automated system development, backtesting, optimization and execution capabilities through NinjaScript. There are several ways one can utilize these capabilities forautomated system development.

1. Use our convenience methods for order management (simple approach) which is driven by incoming bar data
2. Take full control and responsibility for self order management that can be driven by a number of methods that are called when certain events are called such as OnBarUpdate, OnMarketData, OnPositionUpdate, OnExecutionUpdate, OnMarketDepth, OnOrderStatus etc...

Option #2 is designed for programmers since a lot more care must be taken to ensure all potential real-time trading exceptions are handled. Except for the OnBarUpdate method, other methods are not called during backtest so this mustalso be taken into consideration.

We will also have a multitude of forward testing capabilities including real-time data executing against our simulation engine, market replay and one of my favorites, Simulated Data Feed that allows youto control the market trend to force test your system to ensure system integrity in a simulated real-time user controlled environment.

Within the above context:

1) Thereis no official way to have an external application drive NinjaScript.

2) This is viable however, this requires that you write your own trading application. I would suggest just using NinjaScript which offers you the full extension of the .NET framework through C# to write your trading logic. It would be a lot faster and the code indpendant of TWS. You can target any of the 7+ broker technologies we support by letting the NinjaTrader application be responsible for connectivity.

3) Not an option.

4) Either option 2 or continue with your current approach of interfacing through our ATI.

Ray