Feedback:
In January, I moved my trading account to NinjaTrader Brokerage. NTB accounts have two Data Feeds to choose from, Rithmic and Continuum. Rithmic is faster but costs a little more per trade. When NTB people were asked "What is the difference between Continnum and Rithmic?" Replies were variations of “I get asked that a lot. Not sure.”, “They are about the same”, or “I don’t know”. This unanswered question lead me to find the answer for myself.
Most NT Indicators work with the OnBarUpdate method. A second method, OnMarketData, is available to examine data from the Data Feed as it arrives. As a warm-up I wrote the Indicator LEDOnMarketDataLast, http://www.ninjatrader.com/support/f...d=4&linkid=651 , which gives visual confirmation that an Instrument's trade information data is being received from the Data Feed. It is possible that there is a connection to a Data Feed but no data is being sent.
Having a better understanding of the OnMarketData method, I wrote Indicator DataFeedMonitor, http://www.ninjatrader.com/support/f...d=4&linkid=652 . See first post in thread http://www.ninjatrader.com/support/f...ad.php?t=71861 for my initial conclusion on Continuum vs Rithmic.
This lead to the question "Continuum delivers data over TCP. Rithmic's implementation delivers data over UDP. Does Rithmic suffer more lost records because it uses UDP?" I added a Lost Trade Warning to DataFeedMonitor to check this. See "Lost Trade Warning" in http://www.ninjatrader.com/support/f...d=4&linkid=652 . During testing I did encounter Lost Trades. Data can be lost anywhere from the exchange to the OnMarketData method. It is impossible to determine where the data was being lost but from when they occurred, I speculated that NT's single thread design and running at Normal Process Priority was the most likely cause.
So, I added code to my Indicators LEDOnMarketDataLast, LEDOnMarketDataBidAsk, and DataFeedMonitor to set NT's Process Priority to High in their OnStartUp method. If any one of these Indicators is used in a Workspace Chart then NT will run at High Priority until NT is shut down. For those who do not want to run my Indicators, I wrote SetNinjaTradersPriorityHigh http://www.ninjatrader.com/support/f...d=4&linkid=656 . There is a Priority above High but it should never be used for an application.
Running with NT Priority High reduced the number of Lost Trades significantly, even though I am running NT on a very fast computer at about 15-20% computer utilization.
Suggestion:
Update NT7 and NT8 to on startup elevate its Process Priority from Normal to High, giving it preference over other applications that are running. This will improve NT responsiveness and reduce lost Data Feed records.
My shared Indicators DataFeedMonitor, LEDOnMarketDataLast, LEDOnMarketDataBidAsk and SetNinjaTradersPriorityHigh, see http://www.ninjatrader.com/support/f...ad.php?t=71963 , all currently set NT's Process Priority to High and I have seen no adverse effects from doing this.
Indicator DataFeedMonitor will warn of lost Data Feed records and has a Priority parm so NT can be tested with different Priorities to see its effect on Data integrity and performance.
In January, I moved my trading account to NinjaTrader Brokerage. NTB accounts have two Data Feeds to choose from, Rithmic and Continuum. Rithmic is faster but costs a little more per trade. When NTB people were asked "What is the difference between Continnum and Rithmic?" Replies were variations of “I get asked that a lot. Not sure.”, “They are about the same”, or “I don’t know”. This unanswered question lead me to find the answer for myself.
Most NT Indicators work with the OnBarUpdate method. A second method, OnMarketData, is available to examine data from the Data Feed as it arrives. As a warm-up I wrote the Indicator LEDOnMarketDataLast, http://www.ninjatrader.com/support/f...d=4&linkid=651 , which gives visual confirmation that an Instrument's trade information data is being received from the Data Feed. It is possible that there is a connection to a Data Feed but no data is being sent.
Having a better understanding of the OnMarketData method, I wrote Indicator DataFeedMonitor, http://www.ninjatrader.com/support/f...d=4&linkid=652 . See first post in thread http://www.ninjatrader.com/support/f...ad.php?t=71861 for my initial conclusion on Continuum vs Rithmic.
This lead to the question "Continuum delivers data over TCP. Rithmic's implementation delivers data over UDP. Does Rithmic suffer more lost records because it uses UDP?" I added a Lost Trade Warning to DataFeedMonitor to check this. See "Lost Trade Warning" in http://www.ninjatrader.com/support/f...d=4&linkid=652 . During testing I did encounter Lost Trades. Data can be lost anywhere from the exchange to the OnMarketData method. It is impossible to determine where the data was being lost but from when they occurred, I speculated that NT's single thread design and running at Normal Process Priority was the most likely cause.
So, I added code to my Indicators LEDOnMarketDataLast, LEDOnMarketDataBidAsk, and DataFeedMonitor to set NT's Process Priority to High in their OnStartUp method. If any one of these Indicators is used in a Workspace Chart then NT will run at High Priority until NT is shut down. For those who do not want to run my Indicators, I wrote SetNinjaTradersPriorityHigh http://www.ninjatrader.com/support/f...d=4&linkid=656 . There is a Priority above High but it should never be used for an application.
Running with NT Priority High reduced the number of Lost Trades significantly, even though I am running NT on a very fast computer at about 15-20% computer utilization.
Suggestion:
Update NT7 and NT8 to on startup elevate its Process Priority from Normal to High, giving it preference over other applications that are running. This will improve NT responsiveness and reduce lost Data Feed records.
My shared Indicators DataFeedMonitor, LEDOnMarketDataLast, LEDOnMarketDataBidAsk and SetNinjaTradersPriorityHigh, see http://www.ninjatrader.com/support/f...ad.php?t=71963 , all currently set NT's Process Priority to High and I have seen no adverse effects from doing this.
Indicator DataFeedMonitor will warn of lost Data Feed records and has a Priority parm so NT can be tested with different Priorities to see its effect on Data integrity and performance.
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