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Ask Me Anything (AMA) with NinjaTrader Client Services
Not at this time but I have forwarded this to my product management team.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
Posts: 1,394 since May 2011
Thanks Given: 1,719
Thanks Received: 1,019
Market-On-Close (M)C) is defined as occurring as close to the end of market as possible. May I request information about howfuture markets handle MOC by knowing the exact timing? I.E...
NQ often trades up or down quickly at in both directions at the close.
Do you have any insight into why or how this up & down can occur all within 1 second for 15 to 50 ticks?
Do the other markets also complete MOC so quickly?
The concept of the ‘close’ was blurred when electronic trading became the primary venue for trading as the hours were extended. Some traders still view the close as 4:15 ET (equities) while others use the final closing time of 5pm ET as the official close. Intraday margin is often limited to specific hours as well making the ‘close’ for many traders the time when full margin is required. The timing of the intraday margin period varies by firm but is often 10 to 15 minutes prior to the end of the trading session (which would be 4:45 PM to 4:50 PM ET for many markets).
The volatility being described that occurred at 3:50 PM ET does not line up with any known MOC logic employed by common trading platforms.
If a firm is balancing their portfolio at 3:50 PM each day, it would cause the price action seen though I would not categorize it as a Market on Close. 3:50 PM ET is not close enough to any of the closing times to be considered a MOC. It is a full 10 minutes before the cash close, 25 minutes before the ‘pit close’, and 70 minutes before the final close.
Someone or something is driving the markets at that time however it is not due to industry standard MOC logic. The volatility is more likely tied to automated systems or strategies that are balancing their portfolios but there is no way to know for sure.
FYI: MOC is no longer an exchange supported order qualifier meaning it is supported individually by trading platforms. Most will allow the trader to enter the time variable to exit the position since there is no generally agreed upon ‘close’.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
Any chance you and your team would consider upgrading the DOM with features such that it resembles the functionality of Jigsaw and Sierra Charts?
Basically additional columns where you can see most recent orders transacted at the bid or offer is what I personally would consider the most important.
For example, if the inside bid/offer is 99,50/99,75, a column could display that after this price became the inside market, 500 contracts have traded at the bid and 250 at the offer. With the current DOM you can't see this unless you're very good at mental arithmetics and can see what's added to the histogram. The only thing you can see now is the resting bids/offers which are continuously changing and not reflecting what's actually transacted.
I think Jigsaw offers the option to clear these columns by pushing a button. Alternatively after some user selected period, i.e., clear after 10-100 seconds. I also think in Jigsaw it clears after moving away from this price (with a filter of 2,5 seconds).
The volume histogram was a huge improvement in NT8, but some more additional detail would be so much better. And it would save us loyal customers not having to buy additional software.
Thanks for reaching out. My team is looking at enhancing the existing Volume column to provide more flexibility in how a trader might want to visualize the data. Stay tuned.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
i've seen there are MIT order options if using NinjaTrader8. It seems to be a new order type. Please can you outline where (Local, NT Server, CQG Server) the order is managed when using the CQG data feed and FDAX/EUREX?
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
I wrote my own a little while ago that basically does just that. If @NinjaTrader included this as part of NT8 I am sure it would be more functional than mine. I am sure they will start to level up NT8 moving forward.
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