CQG Data and AMP FILLS...Questions

[vern13]

I have asked my broker the following questions already, but I am curious about what other traders and actual ninja programmers think: Any input is much appreciated.


1) I am currently using CQG data (AMP is my broker) with NinjaTrader direct (version 7, not the latest update) and a static superdom for order entry. I have been experiencing the CQG data feed "losing primary order connection" over the last few days..this is indicated by the connection window turning orange (lower lefthand corner of the control panel).
a) Is there anything that I can do on my end to rectify these frequent disconnects (about 3 times daily) or is the problem from the Datafeed itself?

b) What exacly occurs when I place an entry order on my DOM? Is my order placed in the queue at the exchange for execution or is the order simulated on my computer, then executed when price hits my entry?

c) I use stop limit entry orders and limit orders to enter the market. After I am filled at entry I then manually put in a stop below or above market depending on whether it is a long or a short. In order to do this, I press down on the middle mouse button (scroll wheel)...is this order a stop-limit order like my entry, or is it a stop-market order?

d) My fills have been subpar as a whole...today on a gold (GC) trade I was filled 10 ticks below my stop out point. That is a new alltime worst for me and I have been trading for 2 years now with a variety of brokers and platforms......has anyone else had this problem of terrible fills with AMP/CQG?

e) Is there anything that I can do from my end to improve my fills, or are the fills themselves only as good as my broker's market access?

Any input from anyone is much appreciated.

Thank You in advance

[NinjaTrader_Kyle]

Hello vern13,

Thanks for your post.

1 A.) We realize that lost connections can be frustrating. A connection state between NinjaTrader and your broker/market data vendor is not dictated by NinjaTrader. The NinjaTrader application only reports the connection state as it is reported by the API you are connected through. NinjaTrader behaves like a radio receiver in that it receives signals from the connected server. If the signals are not coming through, the underlying broker/market data vendor API reports this to the NinjaTrader application which in turn reports this back to you. Once a loss of connection is reported, NinjaTrader or the underlying API will continuously try to re-establish a connection.Common reasons that contribute to connection stability are:

• ISP issues
• Hardware firewall changing IP addresses frequently
• Dynamic IP addresses changing frequently intraday. Usually this happens once a week buy you may want to check with your ISP. If they do change daily, requesting a static IP address may help.
• Broker/market data servers may be experiencing temporary downtime

1 B.) This depends on whether the order is placed in a brokerage account or the Sim101 account. Sim101 orders are held locally.


1 C.) By default, this click would place a stop limit order.


1 D.) Are you looking at a fill in a brokerage account or in the Sim101 account?

[vern13]

Hello vern13,

Thanks for your post.

1 A.) We realize that lost connections can be frustrating. A connection state between NinjaTrader and your broker/market data vendor is not dictated by NinjaTrader. The NinjaTrader application only reports the connection state as it is reported by the API you are connected through. NinjaTrader behaves like a radio receiver in that it receives signals from the connected server. If the signals are not coming through, the underlying broker/market data vendor API reports this to the NinjaTrader application which in turn reports this back to you. Once a loss of connection is reported, NinjaTrader or the underlying API will continuously try to re-establish a connection.Common reasons that contribute to connection stability are:

• ISP issues
• Hardware firewall changing IP addresses frequently
• Dynamic IP addresses changing frequently intraday. Usually this happens once a week buy you may want to check with your ISP. If they do change daily, requesting a static IP address may help.
• Broker/market data servers may be experiencing temporary downtime

1 B.) This depends on whether the order is placed in a brokerage account or the Sim101 account. Sim101 orders are held locally.


1 C.) By default, this click would place a stop limit order.


1 D.) Are you looking at a fill in a brokerage account or in the Sim101 account?

The fill in question was concerning a live brokerage account not the sim 101 account.

My question would be the following: If I placed a stop limit order as my stop, with an offset of 2 ticks maximum, how could I be filled at a 10 tick differential? Using a stop limit order, my stop should have been rejected.

So, on a live brokerage account, what exactly takes place when I place an order on my DOM? Is the order sent to the exchange and put in the queue for execution, or is it held locally until triggered and then sent to the exchange for execution?

Thank you in advance

[NinjaTrader_Kyle]

Hi vern13,

Thanks for getting back to me.

1.) As the execution of orders in a brokerage account is something which occurs outside of NinjaTrader, you'll need to check in with your broker for a better understanding of why/how the order was filled at the price it was.

2.) Where orders reside depends on the state of the order which changes throughout the lifespan of an order. In the case of CQG: Orders in a state "Accepted" or "Working" are at the exchange. If the exchange does not support a specific order type, the order will be active on the CQG servers.

Order state can be viewed within the 'Orders' tab of the Control Center window.

[Mike_32]

I had this strange fill problem once, are you sure the data on the chart the price is the same as the bid/ask?
I had some database problem once, not sure how it happened.
But the price on the chart was reading far away from the actual bid/ask and when I put a stop or limit on chart trader.
It would get executed instantly like I put the wrong order or get executed far away from the chart price.
To rectify this I totally uninstalled and reinstalled NT, then it didn't do it.
I still do not know what it was.

However today on NT with CQG/AMP, at 10:30:41, connection was lost.
Then at 10:32:14 connection to historical data server was closed forcibly by remote host.
Then at 10:34:16 connection was re established, and connected to historical data server.
Yet all my charts stopped at 10:32:14 and never reloaded the data.
So something is wrong with this NT/CQG thing if you ask me, its not reliable at all.

[NinjaTrader_Kyle]

Hello Mike_32,

Thanks for writing in to report your issues.

Please contact us with a note to Support [AT] NinjaTrader [DOT] com.

In the message, please include a link to this forum thread and a copy of today's trace file.
You'll find that file in the Documents > NinjaTrader 7 > Trace folder.
The file I need would be named 'trace.20120301.txt'.

[vern13]

I had this strange fill problem once, are you sure the data on the chart the price is the same as the bid/ask?
I had some database problem once, not sure how it happened.
But the price on the chart was reading far away from the actual bid/ask and when I put a stop or limit on chart trader.
It would get executed instantly like I put the wrong order or get executed far away from the chart price.
To rectify this I totally uninstalled and reinstalled NT, then it didn't do it.
I still do not know what it was.

However today on NT with CQG/AMP, at 10:30:41, connection was lost.
Then at 10:32:14 connection to historical data server was closed forcibly by remote host.
Then at 10:34:16 connection was re established, and connected to historical data server.
Yet all my charts stopped at 10:32:14 and never reloaded the data.
So something is wrong with this NT/CQG thing if you ask me, its not reliable at all.

The fills have been better the passed 2 sessions....I went back and researched the trade I made and how much volume came into the market near my stop out point and it was large....it looks to me that someone came in and swept 300 lots. The problem is this: I should have been in line for the fill...if not filled then my order should have been rejected.

I have yet to be given an acceptable explanation from my broker on what exactly happens when I place an order on my DOM. That being said, I have used CQG Integrated Client platform in the past, and it is the best data with executions that I have ever seen...truly institutional data. Of course, the whole setup will cost over 1k to run per month.

I do like ninja trader alot, and appreciate all of the help that these forums and thier customer service provide. I would like to express my gratitude to all that have helped me in my transition to ninja trader.

[tradingGary]

Mike_32,

I had a similar problem where all of my charts stopped updating even though my connection was green, and I couldn't get them to refresh until I opened the super dom. It was very frustrating. I had NT and CQG troubleshoot this issue and CQG said that at some point the feed connection disconnected and did not reconnect. Weird.... I have been having lots of issue since I switched from Zen fire... really thinking switching back now.. CQG said they will fix this issue in the next api.

[yongthanyee]

Ninjatrader-CQG Trader API Bridge Connector

Hi all,

Asian brokerage using the CGQ platform cannot adopt the Ninjatrader-CQG platform as it is an exclusive arrangement to AMP Futures. Hence they only offered CGQ Trader/IC that can come with the CQG Trader API. I think that CGQ data feed is really good for real time and historical backfill.

Hence, I posed this question to the forum to our trader community to find out whether there is an available Ninjatrader-CQG Trader API Bridge out there.

I just boot up Ninja and then get data feed and place orders through CQG Trader api directly to the broker platform and not via amp connection. This NT-CQG Trader API Bridge basically give you access to all other exchanges with other brokers especially in Asia that are not carried under the CQG-Ninjatrader exchanges under AMP Futures.