Fast Market ATM issue

[Pipskateer]

I am noticing that my ATM managed SL does not get adjusted properly when the market moves quickly ahead of my ATM trailing step frequency setting. The mechanics of that I can partly understand. The part I do NOT understand is why the ATM doesn't eventually update the SL after price action/volume slows down. I would think at some point the ATM would be able to catch up, especially if price moves a tick or two after the price burst. I would assume the ATM would self-adjust if price moved even further in my favor than the previous "burst" that blew past my initial settings, but instead I just close the trade or manually move up my SL and don't wait to find out.

I'll give you an example...
Let's say you have an ATM with two steps on the trail stop. Step 1 is to move the SL to BE+1 at 4 ticks profit. Step 2 kicks in at 6 ticks profit, moving the SL up tightly to 1 tick behind price with a trail frequency of 1. The problem is...if price suddenly bursts through to perhaps 10 ticks profit, I have seen my SL fail to move at ALL, leaving me with 10 ticks of unrealized profit and my FULL SL UNCHANGED which should have been moved to +9 ticks...or at the very least +5 ticks at the activation of step 2.

As bad as that situation is, a 2nd issue compounds the problem. Once price has slowed down a bit and backs up on me a couple ticks, the ATM still seems completely stunned and is no longer "in touch" with current price action... WHY isn't the ATM function able to recover and at least do SOMETHING at that point?? There should be some internal functionality where the ATM is refreshed or updated upon the next possible tick to at least bring the targets and SL in line with current price.

So, all in all I love the NT ATM functionality, but I have two very definite complaints that I HOPE will be (or has been) addressed in NT7.

1. The fact that the ATM functions can be rendered useless by a fast moving market scenario is a MAJOR PROBLEM.
2. The fact that the ATM functions cannot recover and refresh themselves AFTER a fast moving market scenario is yet another MAJOR PROBLEM that makes the first problem even worse.

Thanks for listening. If there is something I can do as a user that will help mitigate or eliminate this problem, please let me know.

[NinjaTrader_ChristopherJ]

Hello Pipskateer,

Thank you for your post.

Does the behavior persists if you reduce the resource request of NinjaTrader?

Check if you are running workspaces in the background (these will request data & resources as well) and close them. Can you please restart NinjaTrader and go to File-->Workspaces and check what workspaces are listed below 'Save Workspace As'. The workspace with the checkmark is the workspace opened on your monitor. Any additional workspaces listed, are opened in the background.

Select a workspace without a checkmark and subsequently go to File-->Workspaces-->Close Workspace. Repeat this process until only one workspace is opened.

Close some charts, SuperDOM's or other NinjaTrader windows. Reduce the amount of indicators in your chart or set 'Calculate on bar close' to True.

Reduce the amount of historical data in your charts by configuring the Format Data Series window.

More tips can be found at the following link.

http://www.ninjatrader-support.com/HelpGuideV6/PerformanceTips1.html

[Pipskateer]

Hi Christopher,

Yes, I've gone through the resource reduction tips several times before. I never have more than one workspace open at any time. I currently have some DOM's open to record additional market replay data, but I've noticed ATM problem before I added them. I normally have only 3 charts and 2 T&S windows open. One chart has only a volume indy, another has a stoch and a horizontal S/R level indy. The last chart has some trend lines, no stoch, and a few more horizontal S/R lines. The longest look-back period I have is 10 days, the other two charts are 3 days and 1 day. I would hardly consider this a resource-heavy setup.

The part that really bothers me is the fact that the ATM seems to get "stunned" by the fast price action and can't readjust even after price slows down. I've watched several trades do this and I keep thinking at some point the ATM is going to re-engage and move the SL, but I have to close the trade or move the stop manually.

Does the ATM function update on a per tick basis? What is preventing the ATM from adjusting the SL after the triggering event has passed?

[NinjaTrader_ChristopherJ]

This is going to based off the average entry price and will move when the parameter is equal to or greater. If you have a second PC can you please let me know if the issue can be replicated on the other PC as well during volitile markets.

[Pipskateer]

This is going to based off the average entry price and will move when the parameter is equal to or greater. If you have a second PC can you please let me know if the issue can be replicated on the other PC as well during volitile markets.

No, unfortunately I do not have an alternate computer available at this time. Apparently no one else has experienced this?

How often or at what rate does this ATM function get updated? If the ATM gets "bypassed" briefly by price action, when would you reasonably expect the ATM to recover and make an adjustment? Would that be on the next tick? Next second? Next 250ms?

I've seen this happen several times and I know for a fact that several seconds have passed after the ATM fails to adjust the SL with no subsequent response or recovery by the ATM. In those cases, I simply adjusted the stop myself of closed the trade to protect the profit. Are you saying that the ATM routines are designed to "refresh" and self-correct such a problem? If so, it is clearly not happening in my case. Perhaps I can replicate the issue on some replay data and make a video of it.

[NinjaTrader_ChristopherJ]

No, I have never heard of this issue in the past. The ATM Strategy will updated based of the current tick as apposed to a specific time interval.

Please close all your open workspaces by going to the Control Panel-->File-->Workspaces-->Close Workspace

After you have closed all workspaces please create a new workspace by going to the Control Center-->File-->Workspaces-->New Workspace

Within the new workspace please open a new SuperDOM and let me know if the issue persists.

[Pipskateer]

Just an update...

I've now confirmed that two other people are experiencing this very same ATM behavior. Since I last posted, my laptop has suffered a motherboard failure and have a replacement computer on the way. It will be a much faster and more powerful unit than my 2GB dual core laptop. Before my laptop died, I was able to catch part of the ATM failure on video, but I want to get some more complete examples of it so we can correctly identify the problem. I'm also interested to see if this behavior still occurs on a high performance machine (AMD Phenom II X4 w/8GB DDR3 ). Will post again later with more info...

[Pipskateer]

Christopher,

I captured this short video of the ATM failure on 3/10 demo trading GC gold on a Zenfire data feed. This is a brand new installation of NT 6.5.1000.14 on a new machine with all newly created charts, templates, and workspaces since my last posting. The machine is running Win 7 Ultimate 64 bit OS with an AMD Phenom II x4 quad core CPU and 8GB DDR3 RAM. Internet connectivity is hard wired from the computer to the cable modem using all Cat5e cables. It's a 1 gigabit connection, starting from the 1GB ethernet card through a 1GB switch, 1GB Linksys router port, and then to the cable modem. All my download speed tests are well over 6mbit even though the ISP connection is only rated for 5mbit. There is no packet loss on my network.

There are two trades on the clip, the first one works fine and the ATM performs as it should and as it usually does. However, the 2nd one clearly shows the ATM as completely unresponsive to a 9 tick profit burst in my favor. The ATM settings are as follows:

Initial SL = -6 ticks
Initial TP = +10 ticks

NO Auto Breakeven
Step 1: 6-1-2 (stop moves from -6 to -4)
Step 2: 2-1-3 (stop moves from -4 to +1 then +2)
Step 3: 1-1-5 (stop moves from +2 to follow 1 tick behind price until stopped or 10 tick TP achieved)
NO Vol Trigger

This trade was nine ticks in profit and due to the ATM malfunction, it quickly turned into a 6 tick loser. This should not happen as the ATM had plenty of time to recover from the fast market and at least move the stop to protect SOME profits. Any explanation for this behavior? Assuming this is a gap in programming, can it be fixed on subsequent releases of NT 6.5 and for sure, NT7?

Thank you!

[NinjaTrader_Ben]

Hello,

I will have someone reply to you on Monday. Thank you for your patience.

[NinjaTrader_ChristopherJ]

Hello Pipskateer,


Unfortunately, NinjaTrader 6.5 does not support 64 bit operating systems.

We will be unable to provide support until you run NinjaTrader on a computer that meets the minimum system requirements.

Minimum PC Requirements

• Minimum PC Requirements
• Windows XP, Windows Vista, Windows 7 or Windows Server 2003 Operating System *
• Minimum screen resolution of 1024 x 768
• Minimum P4 Processor or higher
• 1GB RAM or higher on XP and 2GB or higher on Vista and Windows 7
• Microsoft .NET Framework 2.0 (pre-installed on most PCs)

* 64 Bit OS is not currently supported

NinjaTrader 7, our next version of NinjaTrader will support 64 bit operating systems. NinjaTrader 7 is in the later stages of beta testing and is scheduled to be released soon. There is no release date for NinjaTrader 7 yet. Please visit the below link for information on NinjaTrader 7 features and release information:

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

[Pipskateer]

Well, that's nice, but doesn't address the problem. This problem fully existed with WinXP Pro 32 bit, as that is the operating I was using until the first week of March. My original computer was a Toshiba laptop with 2GB RAM and a dual core processor running WinXP Pro. When it died, I replaced it with the 64 bit machine, which finally allowed me the opportunity to catch the problem on video.

The fact that I am running Win 7 64 bit now only proves the issue persists across multiple platforms and that it was not directly related to my hardware or operating system. Now, can you please readdress the issue from a WinXP standpoint?

Thank you!

Just an update...

I've now confirmed that two other people are experiencing this very same ATM behavior. Since I last posted, my laptop has suffered a motherboard failure and have a replacement computer on the way. It will be a much faster and more powerful unit than my 2GB dual core laptop. Before my laptop died, I was able to catch part of the ATM failure on video, but I want to get some more complete examples of it so we can correctly identify the problem. I'm also interested to see if this behavior still occurs on a high performance machine (AMD Phenom II X4 w/8GB DDR3 ). Will post again later with more info...

[NinjaTrader_ChristopherJ]

Hello Pipskateer,

Please send a note to Support [AT] NinjaTrader [DOT] com with "ATTN: Chris" in the subject line.

In the message, please include the following:
1.) A link to this forum thread.
2.) Your trace and log files for the date this video was created.

You will find the file here: My Documents > NinjaTrader 6.5 > Trace > trace.YYYYMMDD.txt
Log file will be located by going to Documents->NinjaTrader 6.5->Log->log.YYYYMMDD.txt

[Pipskateer]

Done, thanks Chris.

[Pipskateer]

Hi Christopher,

Any progress/diagnosis on this issue yet? I had three more trades today which hit +10, +8, and +8 ticks profit respectively.... Had to close them manually for +3, BE, and +3 ticks. The ATM was set to move the SL up right behind the price by one tick. This is a potential loss of +6, +4, and +4 directly due to ATM non-response, assuming price action would not have hit the stop during correct ATM function. I ended the day +2 ticks profit when it likely would have been +16 ticks...glad it was just demo...

See my trade log for trades #4, #7, and #9.

[NinjaTrader_ChristopherJ]

Hello Pipskateer,

Please attach your log and trace file from yesterday so I can look into the orders.

Trace file will be located by going to Documents->NinjaTrader 6.5->Trace-> trace.20100329.txt

Log file will be located by going to Documents->NinjaTrader 6.5->Log->log.20100329.txt