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Input From Other Traders Not Using NinjaTrader

  #11 (permalink)
 iantg 
charlotte nc
 
Experience: Advanced
Platform: My Own System
Broker: Optimus
Trading: Emini (ES, YM, NQ, ect.)
Posts: 408 since Jan 2015
Thanks Given: 90
Thanks Received: 1,147

Hi Kelsey,

For the record CGQ = Continuum. It's just a re-brand. I wasn't grandfathered or anything like that. You can use Continuum right now if you would like. I co-locate with a server that from what I understand is in the same building as Continuum's servers, so I can get their feed as fast as possible.

I think you can use limit orders, stop orders, or stop limit orders from charts or the basic entry screen as well. So you could look at the DOM if you would like to see the depth out there, but submit your orders from something that won't cost extra. I am not sure how you are trading, but their are some options that won't add incremental cost.

If I had to venture a guess I think you are likely seeing this as your total Lag chain:

1. 10 - 20 millisecond lag: Mouse Click > Application > Order being Submitted
2. 10- 200 millisecond lag: internet to broker: (Depending on how close you are to your broker. For CME there are some in the northeast, and some in Chicago, so co-locating might make sense if you are not close to your broker.
3. 50-200 millisecond lag: Broker Risk: Everyone has to go through this to get your order routed to the exchange
4. 100 Millseconds - 5 seconds lag: Market Order queue relative to the limit order queue. If the market order queue is larger than the current limit order price level queue then more than 1 price level will be cleared before your order comes up.

In a lot of cases recently on the ES, I believe that the market order queue has been anywhere from 2x to 5x larger than any single price level in the limit order queue, so if you submit a market order, it you will be marked as # x out of let's say 700 trying to go short on the Bid. The top 3 levels of the limit order queue are respectively 100, 200, 200 ,200... So in this scenario by the time you get your fill, you will have hopped 4 price levels. This doesn't happen often historically, but I have seen it a good bit here and there since Feb 2018.

If you have gotten burned by this phenomena recently, then I recommend using stop, limit, or stoplimit order types since these will protect you from exactly this type of behavior. You give up the guarantee of a fill, but the trade off is protection from getting filled at the expense of instantly being on the wrong side of a trade.

Regarding brokers, I use Phillips, (NTs other broker option). If you want a quantifiable metric to measure your broker by, just look at your log files and check the time stamps between your order states. If you are moving from initialized > Working > Accepted in 10 -20 milliseconds per each state, then this is okay. But if you catch half a second to a second this might be a concern. I have heard that some brokers also have their own trading businesses, but I don't think that small retail players should be worried on very popular exchanges. Cherry picking orders may be an issue on more obscure exchanges / instruments, but if you are playing with the more popular ones I don't think there is anything to worry about.

Best of luck!

Ian




Kelsey View Post
Hi Ian,

Thanks for your very in-depth perspective.

I think maybe - based on other Threads I've read - you had CGQ before NT changed to limited data providers and you were lucky to be grandfathered in where you could still use them. That there is a plus I would think to be able to still use CGO. Lucky you especially since I'm not sure how good Dorman Trading really is especially knowing they will trade against me.

Your description of what you are going through with orders is exactly what I've been concerned about. However, your explanations of causes sound logical. Call me a pessimist, but I'd rather have input from another trader over Support if I'm questioning what they're telling me. Too often, in other cases, not NT, businesses tend to shift blame somewhere else.

Your #4. Yes, I have been using Market orders plus using the PT platform rather than Super Dom. Tomorrow I'll practice using the Super Dom with Limit orders and see how I do. I've avoided the Super Dom because the prices bouncing around blew me away.

Yes, your in-depth descriptions are very helpful! Thanks again!
Kelsey


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  #12 (permalink)
 Kelsey 
Charlotte, NC USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM
Frequency: Every few days
Duration: Minutes
Posts: 32 since Jan 2014
Thanks Given: 110
Thanks Received: 16


4trading View Post
Is that really what support told you?
That sounds totally inadequate for me.

iantg did provide a great analysis. Thanks iantg.

Yes, that is what Patrick told me while on Remote Call. I thought it quite inadequate too. He gave the example of too much water that can't all get into the pipe. He was referring to speed of the market, but I was left wondering if traders being able to have two NT platforms up at the same time isn't causing what I'm referring to. However, it seems Ian isn't having the same problems. Go figure, huh. About ready to just give up trading here. Small account and can't take all those hits even though I try to just do my set-up.

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  #13 (permalink)
 Kelsey 
Charlotte, NC USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja Trader Brokerage
Trading: YM
Frequency: Every few days
Duration: Minutes
Posts: 32 since Jan 2014
Thanks Given: 110
Thanks Received: 16


Hi Ian,

Thanks for another in-depth answer. I looked at my Log as you suggested and the trades are going through a second after the submitting order. I'll try using limit orders, stop orders, or stop limit orders once I get used to SuperDom because it would be faster than off my NT platform. I haven't purchased NT so can't trade off the charts. Won't trade until I earn the money to buy it.

Kelsey.




iantg View Post
Hi Kelsey,

....

Regarding brokers, I use Phillips, (NTs other broker option). If you want a quantifiable metric to measure your broker by, just look at your log files and check the time stamps between your order states. If you are moving from initialized > Working > Accepted in 10 -20 milliseconds per each state, then this is okay. But if you catch half a second to a second this might be a concern. I have heard that some brokers also have their own trading businesses, but I don't think that small retail players should be worried on very popular exchanges. Cherry picking orders may be an issue on more obscure exchanges / instruments, but if you are playing with the more popular ones I don't think there is anything to worry about.

Best of luck!

Ian


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Last Updated on March 26, 2018


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