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Ninja can't catch limit orders through TWS
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Ninja can't catch limit orders through TWS

  #11 (permalink)
Elite Member
Dallas, TX
 
Futures Experience: Beginner
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gulabv's Avatar
 
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Sam - are you referring to the physical delivery of oil barrels to your door step on expiry of the contract

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  #12 (permalink)
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gulabv View Post
Fat Tails - can you elaborate why it is not possible to trade CL with NT 6.5 ???

The API of IB and NinjaTrader 6.5 use different definitions for the contract month. The API transmits the month of the expiry date, and NinjaTrader 6.5 interprets this as the nominal contract month. This works for most of the futures contracts, but not for all contracts.

ES 03-11 expires in the beginning of March, so the last trading date is in March and the nominal contract month is March as well. No problem here.

However CL 02-11 expires in the end of January, so the last trading date is in January and the nominal contract month is February. This causes a problem. You can try this, open the NinjaTrader 6.5. DOM and open a position for CL 02-11. Then close the position via the close button and look what happens. Also make sure that you have a chart open to see the results.

For NT 7.0 there is a workaround via the symbol mapping. The IB symbol should be CL||||1 instead of CL. You need these symbols for all futures contracts that expire prior to the contract month. Examples are most of the energy contracts and sugar.

gasoline RB||||1, heating oil HO||||1, WTI crude CL||||1, Brent crude COIL||||1, natural gas NG||||1 and sugar SB||||1

For these futures you need to test first, whether your orders will be executed in the selected contract month or another one.

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  #13 (permalink)
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Thanks FT is this issue specific to IB or all data vendors (ZenFire, Rithmic) ?

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  #14 (permalink)
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gulabv View Post
Thanks FT is this issue specific to IB or all data vendors (ZenFire, Rithmic) ?

I'm not FT, and it's the great FT himself found this issue (if my memory still good), so I'm maybe wrong, but it was a specific Ninja/TWS issue, the other vendors where not involved.

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  #15 (permalink)
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sam028 View Post
I'm not FT, and it's the great FT himself found this issue (if my memory still good), so I'm maybe wrong, but it was a specific Ninja/TWS issue, the other vendors where not involved.

Yes, it is a specific issue between Interactive Brokers and NinjaTrader. It lasted for years, as none of the warlords wanted to take responsibility.

The issue was finally solved by NinjaTrader developpers with the introduction of NT 7.0.

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  #16 (permalink)
Trading Apprentice
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Fat Tails View Post
(1) Do you use NT 6.5. or NT 7.0? It is not possible to trade CL via NT 6.5.

(2) What are the exact symbol settings that you have selected for CL in the instrument manager?

(3) I think you are not talking about limit orders, but about stop limit orders. If you use a stop limit order with a small offset, this can easily happen, as CL is a very volatile instrument. The solution would be to use stop market orders to enter or exit positions instead of stop limit orders. You can select this under the DOM properties (last line). The market order will be executed as market order with protection. This means, that it is effectively a stop limit order. which uses the no-bust range as the offset.

OK thank you for this. It works...or it looks like it works. I replaced stop limits with stop market... I use NT 7 so there should not be a problem. I have a CL 02-11 right now in my Instrument Mger.

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  #17 (permalink)
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trigon View Post
OK thank you for this. It works...or it looks like it works. I replaced stop limits with stop market... I use NT 7 so there should not be a problem. I have a CL 02-11 right now in my Instrument Mger.

Just check the symbol mapping for CL in the instrument manager. Should be CL||||1 for Interactive Brokers. Otherwise you will run into trouble.

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  #18 (permalink)
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Ok I will try that and let you know. :-)

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  #19 (permalink)
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trigon's Avatar
 
Posts: 24 since Dec 2010
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Well, I checked it and its OK. Already correctly mapped in newest version of NT. There is mapping for IB - it says CL||||1. Thank you for everything. :-)

If anyone want to know more about this here is a thread from Fat Tails explaining everything (hope you don't mind I posted it here):

https://futures.io/platforms-indicators/689-auto-trading-cl-crude-oil-futures-co...nteractivebrokers-2.html

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