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Ninjatrader with continuum data feed delay
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Ninjatrader with continuum data feed delay

  #1 (permalink)
Trading Apprentice
Australia
 
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Favorite Futures: Oil
 
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Ninjatrader with continuum data feed delay

Hi guys, I'm using Ninjatrader with Continuum data feed, what I've noticed is sometimes when I move my entry on stop too close to current price, the exchange reject the change ( price is higher than the stop entry in case going long ), but after the change was rejected, the chart is not showing this, current high of bar is still below, and just a second after there is a jump in the price. So there is a delay.
Any advise to lower this delay?
Could it be connected to the voice notification advising the action?
Has anybody experience this before?
Regards

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  #2 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
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cmest View Post
Hi guys, I'm using Ninjatrader with Continuum data feed, what I've noticed is sometimes when I move my entry on stop too close to current price, the exchange reject the change ( price is higher than the stop entry in case going long ), but after the change was rejected, the chart is not showing this, current high of bar is still below, and just a second after there is a jump in the price. So there is a delay.
Any advise to lower this delay?
Could it be connected to the voice notification advising the action?
Has anybody experience this before?
Regards

Can you give more detail of how you are using NT7? Is this on the DOM with an ATM, a strategy you built, etc?

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  #3 (permalink)
Trading Apprentice
Australia
 
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Platform: Ninjatrader
Favorite Futures: Oil
 
Posts: 3 since Mar 2015
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NJAMC View Post
Can you give more detail of how you are using NT7? Is this on the DOM with an ATM, a strategy you built, etc?

Hi NJAMC, I trade from the chart, with a simple ATM that will trigger an stop loss, and a profit target. Trade from the chart, if going short, place a sell on stop first, then adjust the entry by click and move the order, all done within the chart.
Cheers

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  #4 (permalink)
Elite Member
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cmest View Post
Hi NJAMC, I trade from the chart, with a simple ATM that will trigger an stop loss, and a profit target. Trade from the chart, if going short, place a sell on stop first, then adjust the entry by click and move the order, all done within the chart.
Cheers

Hi @cmest,

I haven't set up anything like you have described, but I can tell you that moving Stops around is likely to get rejected in a fast moving market. There are sometime fast movements on the L2 data you can't see and certainly can't avoid, so you could be playing the stop above the current ask, briefly and not knowing it since it is only there for a few milliseconds.

I don't think you have a delay problem that you can fix unless you move closer to the exchange, it is likely something you need to live with if it is a delay. Generally, I use Unmanaged orders under a strategy to catch these errors and re-adjust my entry/exit. You are better off if you are getting that close with a stop to EXIT rather than let the stop get hit and loose more in slippage. Just my thought, not sure what is capable with the ATMs...

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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  #5 (permalink)
Trading Apprentice
Australia
 
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Posts: 3 since Mar 2015
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Thank you NJAMC, will have to find a workaround it.
Cheers

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  #6 (permalink)
Elite Member
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Hello,

I want to ask please how this can be done. Im not a programmer, just working little scripts also outside the wizard. What you mean please with "...getting that close with a stop to EXIT"

Thank you!
Tony



NJAMC View Post
Hi @cmest,

I haven't set up anything like you have described, but I can tell you that moving Stops around is likely to get rejected in a fast moving market. There are sometime fast movements on the L2 data you can't see and certainly can't avoid, so you could be playing the stop above the current ask, briefly and not knowing it since it is only there for a few milliseconds.

I don't think you have a delay problem that you can fix unless you move closer to the exchange, it is likely something you need to live with if it is a delay. Generally, I use Unmanaged orders under a strategy to catch these errors and re-adjust my entry/exit. You are better off if you are getting that close with a stop to EXIT rather than let the stop get hit and loose more in slippage. Just my thought, not sure what is capable with the ATMs...


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  #7 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
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Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received


tony2604 View Post
Hello,

I want to ask please how this can be done. Im not a programmer, just working little scripts also outside the wizard. What you mean please with "...getting that close with a stop to EXIT"

Thank you!
Tony

@tony2604,

The total context here is foggy for me as this was a few years ago, but after rereading the thread I might say this: "If you are moving your stop around and getting close to the current BID/ASK position, you should likely just exit the trade (Close the position). This probably means you are not in a great trade and should get out and wait for a better entry. Moving your stop for any reason, like trailing stop or just stop loss is likely to save you money if you exit rather than waiting for the stop to get hit when the market might be going against you and you are only a few ticks away from BID/ASK."

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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