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Is NT fast enough to autotrade small timeframes?
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Is NT fast enough to autotrade small timeframes?

  #11 (permalink)
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David View Post

So far today, the strat has twice encountered the dreaded "sell or stop limit orders can't be placed above the market" condition. That triggers a rejected order and shuts the strat down, as I've not yet coded in rejection handling routines.

Don't use stop limit orders with the Ninja API.

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  #12 (permalink)
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David View Post
Have you traded Aardvark in a live or papertrade environment yet?

David

I'm trading Aardvark in SIM for now.

I can relate to your problem because I ran into it on a strat that had limit orders placed a bit in advance and got that ugly error message when price moved fast in thin markets shutting the strat down. But since my profit targets were larger than yours, I didn't mind taking a couple of buffer ticks to get a fill. Two ticks wasn't going to be the difference in whether it was profitable or not, since it traded about twice a day.

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traderwerks View Post
Don't use stop limit orders with the Ninja API.

Can you elaborate why not?

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They look good - thanks for the suggestion. Have you used them?

David

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  #15 (permalink)
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David View Post
They look good - thanks for the suggestion. Have you used them?

David

No, but they come highly recommended.

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gulabv View Post
Can you elaborate why not?

If you write the stop in your code and just send the limit order, you will never get that error message. The end result is the same.

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traderwerks View Post
If you write the stop in your code and just send the limit order, you will never get that error message. The end result is the same.

traderwerks - do you mean call setstoploss() function and then enterlimitlong() function for example at a price above the current ask? Could you share a code sample if you don't mind so I understand your statement better. Thanks!

gulabv

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  #18 (permalink)
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gulabv View Post
traderwerks - do you mean call setstoploss() function and then enterlimitlong() function for example at a price above the current ask? Could you share a code sample if you don't mind so I understand your statement better. Thanks!

gulabv

Use the OnMarketData call to get the incoming price and then send the order. Also help ful if you want to trigger off the bid/ask instead of last. There is code on the web if you Google for it.

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David View Post
Interesting idea, thanks Crow. I didn't want to reinvent any wheels, hence using NT for its mtf and inbuilt connectivity and order handling capabilities but I'm starting to wonder if it is just adding another layer of latencies.

I see that you use Java. A friend builds HFT systems in Java with direct connectivity to the exchange APIs running on Linux boxes, and gets stunning performance. Have you got any recommendations for Java libraries?

My broker is Interactive Brokers so they have a great API to exploit.

Thanks

David

I am still in the strategy development phase and I have not yet found a strategy that I feel comfortable enough automating and letting it run on its own. However, I don't use NinjaTrader and built some of my own charting tools based on JFreeChart (java library for graphics, MyDoggy (Java Window Manager), and everything runs inside RapidMiner (#1 open source datamining platform by KDNuggets). It handles real-time data, but I'm mostly using it to look at historical data in search for a profitable strategy. Main reason that I went with a completely custom solution is because I didn't want to be limited with visualization. Secondary is because and I don't know how Ninja handles the data. It makes some great candlestick charts and pretty indicators, but I also use Linux and Ninja doesn't run too well in WINE. That said, I am surprised your friend built an HFT system on Java. I have not had any performance issues with Java, but the garbage collector / virtual machine do add some performance overhead. I really like Java and it's my favorite programming language, haven't really used C# too much (again, Linux), but it's probably very similar.

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IB data question



David View Post
Interesting idea, thanks Crow. I didn't want to reinvent any wheels, hence using NT for its mtf and inbuilt connectivity and order handling capabilities but I'm starting to wonder if it is just adding another layer of latencies....
My broker is Interactive Brokers so they have a great API to exploit.

Thanks

David

Since IB data is 'filtered data', I would recommend an unfiltered data provider before you proceed much further in your systems development.

TJ

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