I'm with Sam on this one... take latency out of the game. There are two ways to do that... build/buy the software/hardware infrastructure to compete with the pros in the sub 200ms space (and yes, microseconds is the new thing), or change your trading style to handle fills in a higher time frame. The latter is a heck of a lot cheaper.
Latency arb is an arms race you don't want to play. "Better fills" is a realistic objective and is on my 2010 list.
I'll post the code in the "Pimp My Strat" thread, but a new thought was to log the Ask(Bid) price everytime a Buy(Sell) signal was generated by a strategy, and then end-of-day do some basic transaction cost analysis by exporting the log to Excel.
This is correct. Originally they were going to limit it to 500 ms, but a lot of people complained so they compromised with 100 ms. You could in theory build an indicator that would update the chart with every tick however.
Not sure about the DOM - I think it still updates with raw ticks. However, as of the last info I have, the time and sales will be limited to a refresh rate of 250 ms, which means you won't see bursts of trades scrolling by as you could in NT 6.5. If you don't like that, go to their message boards and complain... but Ray is pretty stubborn, so I wouldn't expect a lot from them. NinjaTrader is terrible at listening to their customers.
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But it will be still possible to you NT 6.5 instead of 7 ?
Or they will modify 6.5 settings to comply with 7 ?
250 ms for T&S will "kill" it, no sense to watch T&S with refresh rate 250 ms - market will not be seen.
+ I've learnt that in reality often official refresh rate should be multiplied by about 1.2-1.5
Is there any reliable alternative to Ninja in your opinion ?
TT is a bit expensive not for me and the main it not works on Vista
I would recommend anyone to check out InvestorRT. I am not a programmer but my experience with this software is that it is much more efficient in how it handles data than Ninja. Loads faster - does not bog down. (Especially high volume contracts like ES ). Of course It won't make you a better trader but we already know that. InvestorRT is also the programmer for MarketDelta software. THey also have a good link for daily posted charts www.charthub.com N.B. I have no relationship with this company.
I've come to the point that even though Ninja does some really stupid things(like breaking the tape in 7), there are aspects to it that do not have a realistic alternative. Everyone's trading needs are so different its probly not realistic to expect one company to be able to make what amounts to your personal dream software. To me at some point its much less frustrating to simply start thinking in terms of multiple data feeds/software/computers and taking bits and pieces of what you need from what a piece of software's strengths are as opposed to waiting for the company to fix weakness.
great for charting, not so reliable for live trading
I think Ninjatrader is a fantastic charting platform, and it has a growing wealth of free and paid third party indicators which make it especially attractive for charting.
However, I couldn't see trading with it live at this point because of the frequent crashes and database problems I'm experiencing.
It might be workable for live trading if the DOM was running on its own machine with no charts open on that machine at all. I can't see myself trusting it to run live strategies that use indicators, though. The chance of it crashing is just far too high.
The limitation for the refresh rate is in the software, not the feed... therefore, if you still run NT 6.5 you should be able to see unfiltered trades on your time and sales. The best solution is to run a separate copy of NT 6.5 in a virtual machine, which is what I do.
Ninjatrader basically made this decision because they don't want some people to set their time and sales to a refresh rate that degrades performance on their computer and then go complaining to tech support about it. (The fact that these guys should be able to program a time and sales ticker without completely chewing up the CPU is another matter, but I digress...)
In any case, they decided to just disable the option to show unfiltered trades for everybody, instead of allowing it and surrounding it with a big warning popup, as they properly should have done. Ray (the president of NT) is incredibly stubborn and pig-headed about stuff like this, you essentially have to beat him over the head with a baseball bat to get him to change his mind about anything on the performance front. The only reason they even made the charts able to refresh at anything less than 500 ms is because just about everybody on their message boards complained about it. They also weren't going to have templates available the same way as they currently exist in 6.5 until a bunch of people complained about that too. (Initially they said it was impossible, then miraculously it got added in the next beta release after multiple comments were made about it.) Since less people will probably complain about this refresh issue with time and sales, I wouldn't expect to see it changed. Just run a separate copy of NT 6.5, or you can code up an indicator that displays scrolling trades on every received tick if you want.
I have attached an indicator that someone on their message boards coded up which displays time and sales data on every tick if added to an NT 7 chart. You can test it out to see if it works... I haven't tried it myself.
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