Dynamic fill, bid/ask

[dave1992]

Hello,

Could I please have a bit more insight about dynamic fill (more than the real time v backtest page)

The situation I have is this. I have two strategies, call them sim and real, using a sim account and a live account - identical otherwise. Both are running simultaneously, against a live feed.

Each strat submits a limit order to buy at price 1.2207. Both strats log the bid/ask as 1.2206/1.2207

The sim strat gets filled very quickly at 1.2206, the real strat straight after, at 1.2207.

Does the fill algorithm potentially get new bid/asks before filling? Is the only explanation for this that the sim strat saw a new ask of 1.2206 and filled at that, and by the time the trade was filled on the exchange, that new ask price had gone and been replaced by another ask of 1.2207 ?


thanks
Dave

[NinjaTrader_Jason]

Hello Dave,

The difference in this setup is that one order is submitted to your broker and exchange, while the other order remains in the software since it is submitted to the sim101 account. So you explanation would be correct. Because the live order had to be routed to your broker and exchange, price was changed to 1.2207 before it arrived and subsequenty filled at this price.

[dave1992]

Hi Jason,

Thanks for the reply. I must say, I didn't find it likely that the ask would have changed twice in this way for the sim strat, so I checked the ask prices in Ninja, and the ask was constant at 1.2207 until a second after both trades, and, furthermore, it didn't return to 1.2207 until four seconds later.

So, I don't think this explanation works. I don't suppose having the fill alg set to liberal makes any difference when running real time?

[NinjaTrader_Jason]

Please note that NinjaTrader uses the last traded price to execute orders. NinjaTrader must received a last traded price of 1.2206 to execute the order in the sim101 account at that price. The live order is executed according to market dynamics at the exchange.

The Fill Type only refers to filling orders on the histoircal data portion of the chart. It does not affect real-time orders.

[dave1992]

In that case my explanation couldn't be correct - why would you say it is?

I checked the data, and it does have a traded price of 1.2206 during the filling period.

Why on earth would the dynamic filling algorithm not use bid/ask and their volumes instead of last price? Does it even know if you ask for quantity = 5 whether bid or ask have volume sufficient?

thanks
Dave

[NinjaTrader_Jason]

Please disregard my previous response - first paragraph. I got confused with different functionality.

Most likely you received a quick ask price of 1.2206 and got filled in the sim101 account. Your live order did not execute at the exact same queue point as the simulation order, since it had to be routed to your broker/exchange.

[dave1992]

Oh, OK.

Please go back and read my second post - There was no ask of 1.2206 at the time.

thanks
Dave

[NinjaTrader_Jason]

NinjaTrader must have received such a price for the order to be executed at that price.

Could it be NinjaTrader received an ask price of 1.2206 only for a split second, which was used to execute the simulation order. Price went back to 1.2207 and caused your live order to execute at this price?

[dave1992]

No, unless Ninja's list of ask prices is not the complete list of ask prices received, and if that is the case, what is the list? Look for yourself if you like - 6E 09-10 trade time 09:24:27 (London time)

[NinjaTrader_Jason]

To what connectivity provider did you connect in NinjaTrader at this time?

Also, am I correct you view the prices in a chart?

[NinjaTrader_Jason]

When I check a chart loaded with historical data from our historical data server, the 2:25 minute bar (9:25 AM London time) contains data from 1.2214 down to 1.2185.

[dave1992]

Hi Jason,

It's Mirus/ZenFire. I'm looking at the prices in Historical data manager edit tab.

What do you see if you look at the asks for those few seconds? The minute bar doesn't really prove anything does it?

thanks
Dave

[NinjaTrader_Jason]

Yes, it was only an indication, since I was not aware of what connectivity provider you used.

I see no 1.2206 ask price in the Historical Data Manager at 9:25:27 AM (2:24:27 AM), however 1.2206 is listed for the next second. I suspect the order must has been executed using those prices.

[dave1992]

That doesn't really make sense, for the following reasons:

1. The trade is timestamped 24:27. How could it have a timestamp for an ask timestamped following second?
2. The sim strat logged its messages first, and triggered on execution first. It's a fair bet that it really executed first. If that's the case, by the time the real trade is executed the ask must be 2206, since it stays there for the next four seconds. But the real trade is executed at 2207.

The simplest explanation for the trades should be the best here. They execute at the times they say, and there's some other reason why the sim one can trade at 2206.

Is it guaranteed that the sim will execute at an ask here? If so, something is wrong - either the ask list or the time sync in ninja between price times and trade times.

[NinjaTrader_Jason]

1. I suspect your PC clock was slightly out of synch. Please note that Zen-Fire's real-time data is natively time stamped.

2. I see an ask price of 1.2207 listed for 2:24:28 AM as well.