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Bad Fills - NT8 and IB


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Bad Fills - NT8 and IB

  #11 (permalink)
 ABCTG   is a Vendor
 
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UpTik,

since you experience the fills at IB I would chart their bid/ask data in NT (preferably with the bad tick filtering disabled in NT since you want to observe any bad ticks).

Regards,

ABCTG


UpTik View Post
Hello ABCTG.
The Bid and Ask charts is a good idea. But I would think that if my Rithmic tick data was bad, I'd be getting spikes in my NT charts. That never happens. These 50+ tick aberrations only occur when IB reports the entry and stop-out prices for a trade. I've been paper trading this morning. So far, I haven't gotten these extreme fills with my ATM strategy trading only one contract. I'll test this throughout the day to see if it holds up. If it does, that would suggest IB's API can't handle a multiple-contract ATM Strategy.
I'll keep everyone posted!

Thanks for your help.

UpTik


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  #12 (permalink)
 
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 sam028 
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I don't think it's linked to the ATM. On IB point of view the orders linked to an ATM are just "normal" orders...
It doesn't looks to be related to Rithmic, nor Ninja itself, but only on IB side.
Weird anyway.

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  #13 (permalink)
 askerix 
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as long as you only see this while paper trading (also against the IB Paper account) - those fills will never be visible in any datafeed and I would account that to the paper trading engine from IB (which wouldn't make one more confident to trade live with them.. )
Have you seen this behaviour in a live account setup? - then you _must_ see the, from IB reported, fill in the T&S from the Rithmic-feed.

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  #14 (permalink)
Mozart2112
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UpTik View Post
Hello fellow traders.
I’m having technical problems that involve NinjaTrader 8 and Interactive Brokers. I realize there are other posts regarding these companies. They mostly involve connectivity problems, whereas my issue is poor entry fills. But please feel free to move this to an open discussion.
I recently connected the latest version of NT 8 and IB’s TWS and Gateway (build 978.2c, as required by NT). Rithmic is my data provider. I’m using a five-lot ATM with trailing stops and tiered targets. Ever since I started paper trading, the entries have been wildly erratic. In the typical long scenario, 3 contracts might be filled at 13,900 (MNQ) and two filled at 13,013.50. Yes, 54 ticks higher! Flip this the other way for shorts. The only consistency is the number 54. The discrepancy is always 54 ticks. I’ve had hours of assistance from NT’s support, including 2 TeamViewer sessions. After they determined it was not on their side, I reached out to IB. So, has anyone experienced anything like this, or know someone who has?

Thanks.
UpTik

is your strategy setup to execute at market? If so maybe you should use limit

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  #15 (permalink)
 UpTik 
Lansing Michigan/USA
 
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Hello Mozart2112.
I just got off the phone with IB's API Department. He told me to read Article 252 on their website, which reads as follows:

"A paper trading account is a simulated account trading in a simulated market. IBKR programmatically simulates, to the best possible abilities, actual market conditions. However, it is not a real market and prices cannot exactly match. IBKR is simulating not only the trader’s functionality and the market, but also the role of the exchange. In a real, live account, the order would be sent to the exchange, and the exchange would be doing the execution—not IBKR. The exchange has an anonymous book and orders are matched anonymously. With the simulated account IBKR is trying to simulate the role that in the real markets is played by the exchange. While these fills may or may not be within the bounds of the live market at the time, in no way is it indicative of what would happen in the real market. Again, IBKR is simulating the exchange’s role in the live market, and in that market the onus for order matching/filling is on the exchange."

He tried to assure me that the bad fills I was getting would not happen with live trades. I reminded him that these "bad fills" are not the usual 2 to 3 tick slippage, but ALWAYS exceed 50 ticks. He stated that that wouldn't be unusual in a paper trading scenario. I asked him if a take his advice and make some live trades, would Interactive Brokers reimburse me for a $1,000 loss if my entry fills are 54 ticks apart. He replied that that would not happen. So I'm trying to work up the courage to pull the trigger. I think I'll experiment with an instrument that barely moves.

As you suggest, I'll experiment with limit orders for my entries.

BTW, I love your music. Especially Moonlight Sonata and Fur Elyse.

Be well, Maestro!

Edit: Wow, don't know what I was thinking. I learned in 7th grade it was Beethoven, not Mozart, who composed Moonlight sonata and Fur Elyse. Where's that red-faced Emoji when you need it???

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  #16 (permalink)
 
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 Sandpaddict 
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UpTik View Post
Hello Mozart2112.
I just got off the phone with IB's API Department. He told me to read Article 252 on their website, which reads as follows:

"A paper trading account is a simulated account trading in a simulated market. IBKR programmatically simulates, to the best possible abilities, actual market conditions. However, it is not a real market and prices cannot exactly match. IBKR is simulating not only the trader’s functionality and the market, but also the role of the exchange. In a real, live account, the order would be sent to the exchange, and the exchange would be doing the execution—not IBKR. The exchange has an anonymous book and orders are matched anonymously. With the simulated account IBKR is trying to simulate the role that in the real markets is played by the exchange. While these fills may or may not be within the bounds of the live market at the time, in no way is it indicative of what would happen in the real market. Again, IBKR is simulating the exchange’s role in the live market, and in that market the onus for order matching/filling is on the exchange."

He tried to assure me that the bad fills I was getting would not happen with live trades. I reminded him that these "bad fills" are not the usual 2 to 3 tick slippage, but ALWAYS exceed 50 ticks. He stated that that wouldn't be unusual in a paper trading scenario. I asked him if a take his advice and make some live trades, would Interactive Brokers reimburse me for a $1,000 loss if my entry fills are 54 ticks apart. He replied that that would not happen. So I'm trying to work up the courage to pull the trigger. I think I'll experiment with an instrument that barely moves.

As you suggest, I'll experiment with limit orders for my entries.

BTW, I love your music. Especially Moonlight Sonata and Fur Elyse.

Be well, Maestro!

I can attest to that fills are fine live but wonky on sim. I'm surprised you get that much slippage on sim.

I don't ever take any sim values as true anyway.

I trade the micro S&P through IB and if I place a limit order I get filled at that price just fine. If I use market orders I get the expected spread and pay the one 1 tick. But usually never more than that. (Baring exceptional moves)

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  #17 (permalink)
 UpTik 
Lansing Michigan/USA
 
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Hi Sandpaddict.
I wouldn't be so alarmed if the fill difference wasn't 54 ticks. And it hardly varies. The only thing that varies is how many contracts fill at the expected price and how many fill at the bogus price.
After my last post, I had another long conversation with David in IB's support department. We uploaded my API log and some screenshots of these bad entries and error messages. He's sending this info to the API department so they can go over it.
To be continued!

It's nice the live fills are better than sim.

Thanks for commenting.

UpTik

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  #18 (permalink)
 
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 Sandpaddict 
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UpTik View Post
Hi Sandpaddict.
I wouldn't be so alarmed if the fill difference wasn't 54 ticks. And it hardly varies. The only thing that varies is how many contracts fill at the expected price and how many fill at the bogus price.
After my last post, I had another long conversation with David in IB's support department. We uploaded my API log and some screenshots of these bad entries and error messages. He's sending this info to the API department so they can go over it.
To be continued!

It's nice the live fills are better than sim.

Thanks for commenting.

UpTik

Oh wow yes something sounds wrong. At least they are working on.

Good luck

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