Can NT do that?

[Largo]

Hi everybody,

I'm looking for platform for automated trading futures instruments through Interactive Brokers.

Please confirm if NTallows:
1. Restoring strategy state after restarting platform: information about pending orders submitted before must be available as well as about filled orders.
2. Obtain yesterdaty close price for futures (ie. S&P 500 e-mini) from IB (settlement price, seen in TWS by adding "Close" column to the instrument list).

[NinjaTrader_Austin]

Largo,

1) NinjaTrader is capable of almost anything you can imagine through the use of custom-coded C# scripting. Unfortunately, out of the box, NinjaTrader doesn't "remember" the states of orders after a shutdown. Although it would be a long and complicated process, it is possible to code a database connector that can track and store fills, executions, and order status.

2) It is definitely possible to retrieve yesterday's close price. You could use the PriorDayOHLC() indicator and just read the close plot.

[Largo]

Thank you Austin.

ad.1 restoring strategy state is vital thing. How can I know if I today already submitted pending orders? can I read from IB list of pending orders? And can I recognize each one by, for example, order comment?

ad.2 I'm not sure if official settlement price is taken from OHLC - it's price from exchange (it's close?) but futures is traded 24/5 (S&P500 @ GLOBEX)

[NinjaTrader_Austin]

Largo, our yet-to-be-released NinjaTrader 7 will include account synchronization features designed to keep your account and strategies working together. Unfortunately the synchronization does not look at orders. Also, it can't recognize orders by order comments. Since NinjaScript is based off of Microsoft's C# language, it would be possible to have these features coded into a strategy, but it would be a complex process. So in short, NinjaTrader can do what you wish, but not out of the box and not without an in-depth project to code up a complete external order management system and database.

Regarding #2, it is possible to specify certain session templates that restrict the time so it would be possible to extract the 4:15pm close price through some manipulation.

Let us know if you have any other questions.

[BobTN]

Search for the SessionPivots indicator in the forum. It calculates the actual close value for several different contracts.

I don't know if anyone has calculated the settlement price. I believe settlement is the volume weighted average price for the last minute of trading. Does anyone know how to calculate that value?