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The Truth: NinjaTrader
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The Truth: NinjaTrader

  #701 (permalink)
Elite Member
Brisbane, Australia
 
Futures Experience: Advanced
Platform: Ninja, MT4
Favorite Futures: FX
 
Posts: 31 since Sep 2010
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ThatManFromTexas View Post
@MXASJ

My thoughts exactly!

Thx for helpful comment, already is.

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  #702 (permalink)
Elite Member
Denver, CO
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage
Favorite Futures: ES
 
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brightredmegaphone View Post
I thought I would put this in the thread, and email I sent to NT Support requesting details of their MD (or President of whoever). Talk about nails down to the quick...aaaaaarrgh!

"I did all this; stopped 42 live strategies, set the old database as OLD.sdf, restarted, set all the strategies again; now I'm back to a problem I have had before, that is GBPJPY currencies showing up as incorrect in the >Trade Performance as it is not set to the correct pip amount. So, my reporting will be wrong for another day or another month or whatever it is. So, since running live strategies for 4 months I have not been able to pull off 1 single accurate report in that time. Either the DB needs repairing, or the currency reporting is out by so many pips so a loss shows up as $59000 instead of $590 or something. Instead I have to go back to my broker every week & ask him to print off reports - which he can only provide me in pdf format cos he can't get any actual data reports to give me. So I have to highlight the pdf material & paste it page by page into Word, and then transfer that into Excel to get an accurate report.

I manage a $15m currency fund that is fully AFSL licensed, that is completely automated in MT4. Every week I save off reports & email them to my accountant who provides me a complete audit in half an hour, which I then send to unit holders. In 2 years this thing has never missed a beat, not one cent difference between my brokers account & what MT4 tells me. Just to give you an idea, I run many of my strategies on minute charts too, so there are thousands of trades every single month.

Contrast that with the $30k account I run on NT7 (same broker) where I test strategies in NT7 & set them live but never really understand how they perform. So I now am employing a full-time developer to get my strategies that work to be re-coded from NT7 to MT4. If only I could get NT7 to work in a simple and timely fashion, & do the things it is supposed to do I would use it. For my fund. Full time.

But it's still not right.

Do you have an address of your President, or Managing Director or whatever you call them over there so I can write him a letter please? I feel he should know about these sorts of things, unless he is genuinely not interested."

Without understanding the context of the issue, off the top of my head, you could have problems with PnL on a non USD pair since we have to retrieve the rates at the time of trade execution in order to attempt to properly calculate the PnL. If the rate data is not available, then PnL will be off. This is not an answer to your situation, just off the top of my head information. If you can provide me a ticket #, I can look into this more closely. Also, NinjaTrader is much different in operation than MT4. MT4 serves as the broker's matching engine and thus takes full responsibility for a closed loop system. NinjaTrader in contrast sits on the outside of the system the broker uses to generate statements. If you need to generate statements for clients I would use the data provided by your broker since there should be no question that this data matches your account.

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  #703 (permalink)
Trading Apprentice
Munich
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Anything with Volume
 
Posts: 7 since Mar 2011
Thanks: 0 given, 3 received


Is there any meaningful alternative to ninjatrader ?

I was trying to develop an own tradingframework based on java with calculations done in c++ for my pair trading approach , but its hell of a lot work. It seems that Ninja is simply to slow programm wise to handle any decent calculation amount in realtime ....

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  #704 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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Wtuinvest View Post
Is there any meaningful alternative to ninjatrader ?

I was trying to develop an own tradingframework based on java with calculations done in c++ for my pair trading approach , but its hell of a lot work. It seems that Ninja is simply to slow programm wise to handle any decent calculation amount in realtime ....

I would not generalize that NinjaTrader is slow. Of course, if you trade ES and perform complex calculations on every incoming tick, this will not work. But you have three options to control speed and avoid freezing

-> only perform calculations on bar close, and not intra-bar
-> use filters within the algorithm, when to perform calculations and when not to perform them
-> pay attention to non-standard plots as they will be triggered with every tick, which is not filtered out by the display update interval

I have no problems with speed, as only some of my indicators are in CalculateOnBarClose = false mode.

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  #705 (permalink)
Elite Member
Bala, PA, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus, IB
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Fat Tails View Post
...
-> pay attention to non-standard plots as they will be triggered with every tick, which is not filtered out by the display update interval
...

What do you mean by this statement?

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  #706 (permalink)
Elite Member
Bala, PA, USA
 
Futures Experience: Intermediate
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Broker/Data: Mirus, IB
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The past week, my NT install has been really slow, taking 5 or 6 minutes to startup, and taking 2 to 3 minutes to load charts, and bring up menus, etc. every thing seemed to be bringing up the hour glass. Looking around, I saw that my database file was around 300Mb, but at initial install it was around 4Mb, so I performed an NT database backup, deleted the database file, restarted NT, and performed a database restore. Now the application is operating normally again, with acceptable performance.

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  #707 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
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monpere View Post
What do you mean by this statement?

If you set your indicator to CalculateOnBarClose = true,

-> OnBarUpDate() will only be called once the bar is completed
-> but the Plot() method of every indicator of every visible chart in your active workspace will be called every 200 milliseconds, if that is the chart display update interval that you selected (I use the default value of 0.5 sec)

Some indicators use custom plots that perform extensive calculations within the Plot() method. I have observed that this can slow down NinjaTrader considerably. It is best practice to try as much as possible to have a slim Plot() method.

Maybe there is some room for improvement here. If an indicator is in CalculateOnBarClose = true mode, it would be best to store the result of the Plot() method in a cache to avoid recalculating for nothing. But I am not sure, if the architecture of NinjaTrader will allow for this modification.

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  #708 (permalink)
Elite Member
Bala, PA, USA
 
Futures Experience: Intermediate
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Fat Tails View Post
If you set your indicator to CalculateOnBarClose = true,

-> OnBarUpDate() will only be called once the bar is completed
-> but the Plot() method of every indicator of every visible chart in your active workspace will be called every 200 milliseconds, if that is the chart display update interval that you selected (I use the default value of 0.5 sec)

Some indicators use custom plots that perform extensive calculations within the Plot() method. I have observed that this can slow down NinjaTrader considerably. It is best practice to try as much as possible to have a slim Plot() method.

Maybe there is some room for improvement here. If an indicator is in CalculateOnBarClose = true mode, it would be best to store the result of the Plot() method in a cache to avoid recalculating for nothing. But I am not sure, if the architecture of NinjaTrader will allow for this modification.

Ok, got it. When I have an indicator I want to calculate only on bar close, I store the CurrentBar number and only perform the calculation when the CurrentBar number changes. That way, no matter what CalculateOnBarClose is set to, the calculation only happens once.

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  #709 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
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monpere View Post
Ok, got it. When I have an indicator I want to calculate only on bar close, I store the CurrentBar number and only perform the calculation when the CurrentBar number changes. That way, no matter what CalculateOnBarClose is set to, the calculation only happens once.

Every indicator can be set to CalculateOnBarClose = true, so you do not need to code anything. However, for the Plot Override Method() you can either

-> filter before performing calculations (check for new current bar or values that need to change)
-> check at the beginning of Plot Override() whether a new bar has been called

The second exercise is not so easy, because you need to store the lastBarPainted and firstBarPainted in a cache for checking. Also you need to store the paths for all plots of the indicator, as you need to retrieve them, when Plot Override() is executed without calculations.

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  #710 (permalink)
Elite Member
Paris
 
Futures Experience: None
Platform: NinjaTrader
 
Posts: 1,173 since Oct 2009
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If you need huge processing power you can always put up an OpenCL assembly an use a decent graphics card.

That should give you the few MFlops you need ;-)

OpenCL Benchmark

intel i7 980 @ 4.4 Ghz vs Nvidia GTX 480

CPU
----------------------------------------
Global Memory: 18.4
Local Memory: 77.3
Int32 Ops: 30.0
Float Ops: 12.3
Double Ops: 46.6
Common Mathematics (Float): 56.5
Common Mathematics (Double): 118.6

Image Processing: 0.0
Cryption: 53.8
Total: 413.5


GeForce GTX 480
----------------------------------------
Global Memory: 153.6
Local Memory: 149.8
Int32 Ops: 357.9
Float Ops: 178.5
Double Ops: 243.5
Common Mathematics (Float): 807.4
Common Mathematics (Double): 1100.8

Image Processing: 0.0
Cryption: 234.8
Total: 3226.3

Of course this will not solve repaint problems in the Plot() method !

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