Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Explain TraceOrders "Ignored" & Replay Speed Impact on Fills

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Explain TraceOrders "Ignored" & Replay Speed Impact on Fills

    I'm using CalculateOnBarClose = false. I am issuing all orders with a Limit order and only reissuing the orders on the FirstTicOfBar unless there is a change in the target or entry price.

    Question - I thought that unchanged orders should be re-issued every bar but only on the FirstTicOfBar (CalculateOnBarClose = false) but I'm seeing "Ignored" trace entries with a reason of "There already is a matching order in place". Please clarify when duplicate orders should be re-issued for both CalculateOnBaClose = false and true.

    Question - I notice if I use different REPLAY speeds with the same data I get different fills on Limit orders. Specifically, the faster the replay the more slippage I sometimes get in my favor - as much as 3 tics. Is this expected?

    Question - Are the REPLAY files stored in a format that can be copied or exported to another computer? If so, where are they stored?

    Thanks

    #2
    1) You should always re-issue orders (calling order methods) on call to OnBarUpdate() if you want them to be live. Internally, they are ignored if required. If an order is not re-issued on on the first tick of a bar when CalculateOnBarClose == false, then it will be cancelled.

    2) Expected since the simulator operates in real-time not fast forward time.

    3) Yes. My Documents\NinjaTrader 6\db\data
    RayNinjaTrader Customer Service

    Comment

    Latest Posts

    Collapse

    Topics Statistics Last Post
    Started by traderqz, Today, 12:06 AM
    4 responses
    7 views
    0 likes
    Last Post traderqz  
    Started by Mongo, Today, 11:05 AM
    0 responses
    2 views
    0 likes
    Last Post Mongo
    by Mongo
     
    Started by Tim-c, Today, 10:58 AM
    0 responses
    1 view
    0 likes
    Last Post Tim-c
    by Tim-c
     
    Started by traderqz, Yesterday, 09:06 AM
    3 responses
    23 views
    0 likes
    Last Post NinjaTrader_ThomasC  
    Started by f.saeidi, Today, 10:19 AM
    1 response
    5 views
    0 likes
    Last Post NinjaTrader_BrandonH  
    Working...
    X