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Ninja Strategy- Real Time Errors


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Ninja Strategy- Real Time Errors

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  #1 (permalink)
 waza1960 
NSW Australia
 
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I have a Ninja Strategy which Backtests perfectly but returns errors when traded live in Sim . Any help would be appreciated in finding the necessary adjustments which need to be made to the Strategy.
This is NT's reply about the problem

Quoting 
I checked your log and trace files. One of your strategy orders (sell short) is filled at 6:00 AM. Subsequently a trail stop and a profit target order are submitted. Unfortunately the profit target order is rejected. The limit price of the order is greater than the current ask price. Unfortunately buy limit orders submitted at a price greater than the ask price are not accepted.

11/15/2011 6:00:00 AM|1|32|Order=xxxxxxxxxxxxxxxxxxxxxxxxxxxxName='Profit target' New state=Rejected Instrument='$EURUSD' Action=BuyToCover Limit price=1.35772 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=OrderRejected Native error='Limit price can't be greater than current ask.'

11/15/2011 6:00:00 AM|0|32|Gain Live, Limit price can't be greater than current ask. affected Order: BuyToCover 1 Limit @ 1.35772


You will need to ensure your strategy will not submit buy limit orders at such prices. The same applies for sell limit orders - they cannot be submitted at prices smaller than the bid price. You experience such a rejection at 2:00 PM.
As per the screenshots you sent, another buy limit order was submitted higher than the current ask. What ask price did you receive when the order was submitted?

If you need any assistance with your strategy code, please post a message on our support forum. It is monitored by support people with programming experience.


Please find some screenshots of the strategy code I don't wish to disclose the full code at this time any help would be appreciated

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waza1960 View Post
I have a Ninja Strategy which Backtests perfectly but returns errors when traded live in Sim . Any help would be appreciated in finding the necessary adjustments which need to be made to the Strategy.
This is NT's reply about the problem

Please find some screenshots of the strategy code I don't wish to disclose the full code at this time any help would be appreciated


GAIN (FOREX.com) buy limit orders above the ask and sell limit below the bid are not valid and will be rejected. NinjaTrader's simulator takes into account this GAIN specific limitation. During a backtest, there is no associated brokerage account so these orders are valid. You should replace these orders with market orders.

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 Fat Tails 
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NinjaTrader View Post
GAIN (FOREX.com) buy limit orders above the ask and sell limit below the bid are not valid and will be rejected. NinjaTrader's simulator takes into account this GAIN specific limitation. During a backtest, there is no associated brokerage account so these orders are valid. You should replace these orders with market orders.

@NinjaTrader:

Marketable limit orders are used to control slippage. I understand that it is possible to use this order type with real accounts and for backtests, and that the limitation only applies to the simulator and to some broker accounts, if required by the broker.

Please correct me if I did not understand it correctly.

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Fat Tails View Post
@ NinjaTrader:

Marketable limit orders are used to control slippage. I understand that it is possible to use this order type with real accounts and for backtests, and that the limitation only applies to the simulator and to some broker accounts, if required by the broker.

Please correct me if I did not understand it correctly.

As of 11/21/2011 the limitation only applies to:

- GAIN live account
- NinjaTrader simulator when connected to GAIN

We will be releasing support for FXCM very soon and once it is released, the limitations above will also apply to them.

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