can you explain a NinjaTrader bad fill ?

Discussion in 'Order Execution' started by Wallace, Oct 5, 2009.

  1. Who provides the data to NinjaTrader, ZenFire?
    The broker's name is insignificant.
     
    #11     Oct 6, 2009
  2. New to this so don't know if this is going directly to you el pollo or on the forum. My data provider is zenfire. When I first started over 2 years ago, I thought that ninja and zenfire were the same, so I was told. But when the problems surfaced, I was then told that they were diffirent and that is when the blame began, first that it was my computer, my fault, until I finally was able to figure out how to save my charts in saved mode showing these vast discrepancies. Now with that proof, they are blaming each other and the problems have never been fixed. All I can say it is absolutely disgusting the way they have handled it and are totally ignoring it. I like the ninja setup as I trade off the chart not the dome, but till today don't know who is to blame for these errors. If there is another good chart trading platform out there I would like to know, and Tradestation is definitely not one that I would trust to do that either, they are worse than Ninja.
     
    #12     Oct 6, 2009
  3. I have very few issues with NinjaTrader/Zenfire combo.
    STAY away from TradeStation, it is total garbage, trust me.

    As mentioned, if a price does not "tick" it won't plot, which partially 'splains your candle issue...I am 100% sure the demo data is actual data, as I have run two side by side LIVE VS DEMO on seperate machines.

    You are really better off addressing these issues directly with Ninja Trader on their own forum. The Ninja Trader tech guys respond fast, and semi-accurately.

    Sorry I can even attempt to explain why you are getting prints off of data that did not trade!*&??

    http://www.ninjatrader-support2.com/vb/index.php
     
    #13     Oct 6, 2009
  4. They only respond fast when they have the answer. I have been trying to get this fixed since July, 2008, notice I said July, 2008, over a year ago. The last position that they left me with was that it was zenfires problem, zenfire says it is not their problem but ninja, so what does one do. Disgusting and frustrating, it should not be my problem to fix their problems. Hotair is all I am getting.
     
    #14     Oct 6, 2009
  5. Just curious, what are you trading?
     
    #15     Oct 6, 2009
  6. maxpi

    maxpi

    I just got Sierrachart and started playing with the screen trader.. it works ok.. I like the software, it really is quicker and does a few things better than Ninjatrader, like backfill a chart from IB for one thing..
     
    #16     Oct 6, 2009
  7. Make that 32 bit only if you use Zen-Fire ;) As the Zen-Fire / Rithmic connection code is CURRENTLY 32 bit only.... and is loaded into the main process.... the process has to run 32 bit. Sorry ;)

    My own program just started collectingdata yesterday (now THAT part is done).... and for exactly THIS reason I start the conector in an external program with a separate dll.... so that the connection code can be started 32 bit and the main program run 64 bit ;)

    The fill should stand. In a real trade the difference would be it would not be outside the bar as the fill would result in a trade report = the bar expanding.

    Sadly, those are useless. THe main problem is again to blame Ninja. THey should write out raw connection logs. I do so - they get pretty heavy, but I write down the raw data I get from Mirus. Not only to databases, but also to a text file (hourly by exchange). THIS would allow me to perfectly reconstruct what Zen-Fire / Rithmic has reported.

    Given that Rithmi forwards an unfiltered exchange feed with microsecond timestamp.... this would be a solid basis of a NFA dispute. Given that the log files are written outside the charting (i.e. in the connectivity provider wrapper i mentioned).... there is little that can go wrong.

    I work on one. ETA is 6 months if you can bear it ;) Feel free to contact me to discuss what you exactly need (always looking for input). Technical basis is .NET 4.0 and Windows 7 (and yes, I make use of the new UI features there).
     
    #17     Oct 6, 2009
  8. here's NT's forum response to date:
    NinjaTrader_Jason - NinjaTrader Customer Service:
    "NinjaTrader must have received data at such a price for the order to be executed
    at such a price.
    Most likely you received this bad tick in real-time only, thus the price is not reflected
    in a chart loaded with historical data.
    You can enable the real-time tick filter to filter out bad ticks. More information can be
    found at the link below. http://www.ninjatrader-support.com/H...Filtering.html "

    me: 'have you looked at your chart to see if there's any difference ? mine's a 12 Tick chart'
    "Yes, the bad tick is not present in the historical data. But it was received real-time.
    Thus it is not displayed in the chart that displays historical data." ???
     
    #18     Oct 7, 2009
  9. THis makes little sense.

    "Bad Ticks" are extraordinarily rare in electronic automated trading on a regulated market.

    They happen in forex, and more often than not are the result of either a bank making a fast bad entry (does not happen on the exchange) or the broker spinning off the market a little.

    On the exchange, contrary, the data reported is the data traded. Data entry is a non-issue on ES, E6 etc. - there is no pit (and basicall bad ticks MOSTLY were a thing of the pit - people typing in prices ARE going to make errors).

    Anyone else has experience with bad tick data on CME electronic trading? Might interest Rithmic / Zen-Fire - their API's have no way to invalidate ticks so far ;)
     
    #19     Oct 7, 2009
  10. maxpi

    maxpi

    bad ticks can be filtered at the strategy level, don't take a transaction until you get a confirming tick.. that means that your stops have to reside on your computer though.. maybe some brokers offer the "confirming tick" option...
     
    #20     Oct 7, 2009