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Bad Fills - NT8 and IB


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Bad Fills - NT8 and IB

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  #1 (permalink)
 UpTik 
Lansing Michigan/USA
 
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Hello fellow traders.
Iím 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 IBís TWS and Gateway (build 978.2c, as required by NT). Rithmic is my data provider. Iím 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. Iíve had hours of assistance from NTís 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

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  #2 (permalink)
 sam028 
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UpTik View Post
Hello fellow traders.
Iím 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 IBís TWS and Gateway (build 978.2c, as required by NT). Rithmic is my data provider. Iím 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. Iíve had hours of assistance from NTís 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

Check the Ninja trace files: when (with the millisecond timestamp) was executed the trades?

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  #3 (permalink)
 UpTik 
Lansing Michigan/USA
 
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Hello sam028.
I sent the trace file and the log to NinjaTrader support and they didn't see any problems. Also, NinjaTrader's executions in the Control Panel perfectly matched each trade reported in TWS. So, the exact second two contracts were purchased at 13,900, three were purchased at 13,013.50. I usually expect to see slippage, but 54 ticks?????

Thanks,
UpTik

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 UpTik 
Lansing Michigan/USA
 
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I tried to attach a screenshot, but I'm not sure I did it correctly :-(




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  #5 (permalink)
 askerix 
Switzerland
 
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have you tried entering with a stop-limit order, it seems you enter at market? you can (pre-)set the limit to the for you max acceptable slippage in the properties of chartrader, or just use the buy-Ask or buy-bid button in chart trader which also creates an limit order at the ask/bid which should avoid such bad fills.

hth
askerix

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 UpTik 
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Hello askerix.

Thank you for for your suggestions. I'm waiting to hear back from Interactive Brokers' API Department. When I described over the phone what was happening, the support tech claimed he'd never seen anything like this. My uneducated guess is IB's API, (using TWS or Gateway), cannot handle ATM Strategy orders from NT8. If I place an order with no stops or targets, everything is fine. But when I select an ATM Strategy, even if its for one contract, I get that bogus fill. As I previously wrote, the bogus fills are not random. The ones I've monitored are usually 54 ticks from the expected entry price. It seems to me that's a coding glitch.

I've attached another screen shot that shows a bad fill when a trade was stopped out. In this instance, 4 contracts closed at the limit price, but one closed 55 ticks lower.

Thanks again for taking the time to write.

UpTik

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 askerix 
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sorry no clue, but please keep us posted about the explanation from IB!

just one more - you trade against the IB Demo account? otherwise there must be a wick for the candle visible up to your bad fill

cheers

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 UpTik 
Lansing Michigan/USA
 
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askerix,
Nothing would please me more than to report that the problem has been solved
There is no long wick because all five contracts should have been stopped out at 13,806.25. NT simply put the lower price marker where IB indicated that contract was filled.

Have a great day!!

UpTik

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 ABCTG   is a Vendor
 
 
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UpTik,

this could be caused by a bad tick in the data. You can check this by adding two additional charts and let them run side by side to your main chart - same resolution etc. just set one to bid and the other to ask data (you might even gain more information by using 1 tick charts, but this can be harder to analyze later). If you experience another of these fills, check the corresponding bid and ask chart bars. If you see a spike there, enabling the bad tick filter for realtime data in NT might help you.

I have seen a similar situation during my testing once, although in that case the simulated trading was solely based on the data feed and NT's simulated account and not connected to IB.

Edit: Seeing that you are observing the same fill prices in the TWS logs it seems the bad tick filtering in NT might not help here.

Regards,

ABCTG

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 UpTik 
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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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 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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 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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 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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Mozart2112
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UpTik View Post
Hello fellow traders.
Iím 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 IBís TWS and Gateway (build 978.2c, as required by NT). Rithmic is my data provider. Iím 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. Iíve had hours of assistance from NTís 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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 UpTik 
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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 traderís 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 executionónot 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 exchangeís 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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 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 traderís 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 executionónot 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 exchangeís 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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 UpTik 
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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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 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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