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Input From Other Traders Not Using NinjaTrader
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Input From Other Traders Not Using NinjaTrader

  #1 (permalink)
Elite Member
Seattle, WA USA
 
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Posts: 19 since Jan 2014
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Input From Other Traders Not Using NinjaTrader

Hi,

I have an account with NT Brokerage, but am having issues with my charting. No, I'm not asking Support, been there, done that. What I am asking is how the data feed with other Brokers are doing. ie I realize there is and has been great volatility in the market. But does this volatility for other Brokers entail each and every bar?

Price will be going one way for a few ticks (NQ), but suddenly jerk the other direction, then maybe jerk back. These wild jerks could entail anywhere from 5 - 20 ticks. Support tells me it's all due to market volatility, but I've had two other Brokers (IB, MBTrading) in the past since 1998 and there had been periods of volatility with them, but never ever experienced this impossible scenario to trade.

I am beginning to wonder if the issue has to do with the Data coming from the Exchange -> Dorman Trading-> then to NT. Plus the fact NT is making it possible for clients to have two platforms up at the same time. Seems to me this would affect data flow.

I would appreciate other traders input regarding your Broker and Data feed.

.

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  #2 (permalink)
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  #3 (permalink)
Learning to use The Force
Indianoplace, IN
 
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I'm with Sierra/CQG; if you can post an example with date/time/chart interval, I'd be glad to pull it up and show you what I've got on this end...

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  #4 (permalink)
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That's very kind of you, thank you! Not sure if charts will be helpful since they don't show the jerkyness of real time.

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I hope this worked.

It did. The Sell time for trade on chart #1 was 8:13:50.


Last edited by Kelsey; March 19th, 2018 at 11:26 PM. Reason: Added time for trade.
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  #5 (permalink)
Elite Member
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BTW, NT Support solution is: No more than 1 Workspace, No more than 2 days to load, no more than three charts with no indicators plus best to use minute charts. Really??? NT didn't use to have these issues. Again, I realize volatility, but I think there is more to this than that.

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  #6 (permalink)
Learning to use The Force
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Not sure man, I did a market replay in Sierra to look at it (tick-by-tick data) and didn't see anything unusual...

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  #7 (permalink)
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charlotte nc
 
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Here is a perspective....

Hi Kelsey,

I am using NinjaTrader but likely in a very different capacity than you so I can help you understand what is likely behind this and what is not behind this.

I have an automated strategy running from a co-located server near my data provider (Continuum / CGQ). I don't use charts or interact with any NT indicators as I have heard that these can slow things down in some cases. All of my trades this week have been filled from entry to exit in less than 1 second and typically around 100 milliseconds using limit orders only for both sides. I have seen the high volatility and have even been caught as recently as today on a trade where 2 price levels got taken out and I got filled as a result. All this being said, here is what I think.

1. Ninjatrader core execution / order routing: This works fine for me, so I don't the issue is here.
2. Broker Risk Checks: I also use NT brokerage and have noticed a lag of about 100 to 200 milliseconds from submitting an order going from initialized to working to accepted. So I think this can explain a bit of the lag you may be seeing. But this is going to be par for the course no matter who you use. The only way to bypass broker risk is to go DMA or if you want a free hack..... you can always re-purpose an order at a new price. Price changes won't hit broker risk, but quantity changes, and new order submittions will. Though you will likely need to be a programmer to take advantage of this, and even then, this will only come into play in certain aspects of HF trading anyway.
3. Data feed: Again I use contiuim / CQG and I print hundreds of thousands of statistics every hour when I trade. I haven't hit any lag, delays or anything even during the last 5 minutes of the US cash sessions. So I think you are fine on the data feed.

This is likely where our common use cases end. Beyond this you have the following that may be culprits.

1. Internet speed (If not co-locating)
2. Using Ninjatrader Charts / Indicators / other tools: These can be real memory hogs, but I don't know how they might impact execution speed
3. Manual order interface: I don't use this, but I imagine the click to order speed may have anywhere from 10 milliseconds to maybe 20 milliseconds especially in a fast moving market, it likely has to figure out where to mark you.
4. The use of market orders: In a fast market, the use of market orders is likely going to be the culprit because believe it or not you are NOT filled instantly here. I believe this is likely going to be the biggest culprit. Similar to the visible limit order queue on the Super DOM there is an invisible market order queue and you may be # 500 out of 1000 that are trying to go long at any point in time. So you are hitting the Ask. If you look at the DOM you may see that there are only 100 to 200 order in the top 5 price levels because higher volatility has made the limit order book week. So when your # 500 gets called finally you get filled 3 + price levels further out than where you initially clicked. I think this is most likely going to be the largest contributing factor.

Hope this helps.

Best of Luck!

Ian


Kelsey View Post
Hi,

I have an account with NT Brokerage, but am having issues with my charting. No, I'm not asking Support, been there, done that. What I am asking is how the data feed with other Brokers are doing. ie I realize there is and has been great volatility in the market. But does this volatility for other Brokers entail each and every bar?

Price will be going one way for a few ticks (NQ), but suddenly jerk the other direction, then maybe jerk back. These wild jerks could entail anywhere from 5 - 20 ticks. Support tells me it's all due to market volatility, but I've had two other Brokers (IB, MBTrading) in the past since 1998 and there had been periods of volatility with them, but never ever experienced this impossible scenario to trade.

I am beginning to wonder if the issue has to do with the Data coming from the Exchange -> Dorman Trading-> then to NT. Plus the fact NT is making it possible for clients to have two platforms up at the same time. Seems to me this would affect data flow.

I would appreciate other traders input regarding your Broker and Data feed.

.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #8 (permalink)
Elite Member
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Rrrracer View Post
Not sure man, I did a market replay in Sierra to look at it (tick-by-tick data) and didn't see anything unusual...

Interesting. Thanks for checking it out. I'm assuming you didn't see the fast price movement in seconds as Ian described. He did a better job of describing price movement that I've been concerned about than I did.

Thanks again!

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  #9 (permalink)
Elite Member
Seattle, WA USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Ninja Trader Brokerage
Favorite Futures: YM, NQ
 
Posts: 19 since Jan 2014
Thanks: 64 given, 5 received

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



iantg View Post
Hi Kelsey,

I am using NinjaTrader but likely in a very different capacity than you so I can help you understand what is likely behind this and what is not behind this.

I have an automated strategy running from a co-located server near my data provider (Continuum / CGQ). I don't use charts or interact with any NT indicators as I have heard that these can slow things down in some cases. All of my trades this week have been filled from entry to exit in less than 1 second and typically around 100 milliseconds using limit orders only for both sides. I have seen the high volatility and have even been caught as recently as today on a trade where 2 price levels got taken out and I got filled as a result. All this being said, here is what I think.

1. Ninjatrader core execution / order routing: This works fine for me, so I don't the issue is here.
2. Broker Risk Checks: I also use NT brokerage and have noticed a lag of about 100 to 200 milliseconds from submitting an order going from initialized to working to accepted. So I think this can explain a bit of the lag you may be seeing. But this is going to be par for the course no matter who you use. The only way to bypass broker risk is to go DMA or if you want a free hack..... you can always re-purpose an order at a new price. Price changes won't hit broker risk, but quantity changes, and new order submittions will. Though you will likely need to be a programmer to take advantage of this, and even then, this will only come into play in certain aspects of HF trading anyway.
3. Data feed: Again I use contiuim / CQG and I print hundreds of thousands of statistics every hour when I trade. I haven't hit any lag, delays or anything even during the last 5 minutes of the US cash sessions. So I think you are fine on the data feed.

This is likely where our common use cases end. Beyond this you have the following that may be culprits.

1. Internet speed (If not co-locating)
2. Using Ninjatrader Charts / Indicators / other tools: These can be real memory hogs, but I don't know how they might impact execution speed
3. Manual order interface: I don't use this, but I imagine the click to order speed may have anywhere from 10 milliseconds to maybe 20 milliseconds especially in a fast moving market, it likely has to figure out where to mark you.
4. The use of market orders: In a fast market, the use of market orders is likely going to be the culprit because believe it or not you are NOT filled instantly here. I believe this is likely going to be the biggest culprit. Similar to the visible limit order queue on the Super DOM there is an invisible market order queue and you may be # 500 out of 1000 that are trying to go long at any point in time. So you are hitting the Ask. If you look at the DOM you may see that there are only 100 to 200 order in the top 5 price levels because higher volatility has made the limit order book week. So when your # 500 gets called finally you get filled 3 + price levels further out than where you initially clicked. I think this is most likely going to be the largest contributing factor.

Hope this helps.

Best of Luck!

Ian


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  #10 (permalink)
Trading Apprentice
Somewhere, TX
 
Futures Experience: Intermediate
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Kelsey View Post
BTW, NT Support solution is: No more than 1 Workspace, No more than 2 days to load, no more than three charts with no indicators plus best to use minute charts. Really??? NT didn't use to have these issues. Again, I realize volatility, but I think there is more to this than that.

Is that really what support told you?
That sounds totally inadequate for me.

iantg did provide a great analysis. Thanks iantg.

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