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A very simple strategy, which is not supposed to make money, but to measure the delay in this process :
- order send
- order received by the exchange
- order cancelled
- cancel receive and acknoledge by NinjaTrader
An short limit order is sent X ticks above the ask, to avoid a fill, N times.
Each order is cancelled when his status is "working".
A readable results is shown when the strategy is cancelled.
By default it will send 5 orders, at ask price + 30 ticks.
Warning : do not use it live with volatile instruments during volatile times !
Avoid CL/GC for example, and avoid news period.
I would be extremely interested in having some feedback, with different brokers and locations.
The process, after having simply clicked on "buy limit" is complex, and a lot of parameters are involved, but with enough samples we may get an idea of who is fast and who is not that fast (I already have some thoughts ).
Success requires no deodorant! (Sun Tzu)
The following 15 users say Thank You to sam028 for this post:
@sam028 this is a great idea. I am going to give it a try when I get a chance and will report my results. Hopefully others will do the same as this could be very useful data for comparison.
"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
I don't use NT so I'm not sure what your video is showing. Am i right in believing that it is showing the time required to send a cancel request and get a cancel confirm from the exchange on the 5 orders had an average time of 0.729 seconds and a range of 0.55 to 0.92 seconds?
Just FYI, the figures shown in the video not very relevant, as I used my IB paper account, and the machine where the test was done is very busy with 2 extremely heavy/not optimised bots (I'm not the author !!! ).
I will asked some of my dear SpeedyTradingServers users/clients/friends to run it few times, as I may have all NinjaTrader supported brokers/data feed, it could give a good picture of execution times.
Success requires no deodorant! (Sun Tzu)
The following user says Thank You to sam028 for this post:
Ran the test and seen orders go through but don't know how to view the time results like your video. Looked under strategies and orders but must be missing something. Sorry I trade discretionary, not familiar : ) Please advise
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