Phantom trade

[NinjaTrader_PatrickH]

Hello Brianstocks,

Thank you for your update.

So we can say it only occurs on Market Replay. I will continue to investigate.

[Briansstocks]

Patrick,

It only happens like 1 time a week or sometimes 2 times with Market replay, I have even had it run almost a 3 week test with market replay before it happened.

[Valyo]

SB 10-15 test with strange price

Hello Patrick,

Brian sent me a screenshot with a test with SB 10-15. I tested the strategy on my laptop and got the same strange price. I attach screenshots.

The problem is again with first bar of session.

Valentin

[Valyo]

SB 10-15 test with strange price - screenshot with executions

SB 10-15 test with strange price - screenshot with executions.

[NinjaTrader_PatrickH]

Thank you for your updates and additional information.

[Briansstocks]

Patrick,

We have not heard anything about this problem from you in 2 weeks. This problem was brought to every ones attention on 6/20. This is not an expectable level of support for a 1000$ piece of software. What needs to be done to escalate this to the point of something getting done about it?

I am not the only one having this issue. http://ninjatrader.com/support/forum...t=77003&page=2
Not exactly the same issue but similar.

This is happening on DX, SI, CT, CC, KC and 1 or 2 more that I have run across. I will include another screenshot but this method has gotten us nowhere so far.

Is this just a market replay issue or is this a danger if the running live with live orders and data?

Regards
Brian

[sledge]

There are executions with price 91.655:


It is before the output with execution at 91.655, but timestamp is 6/23/2015 7:05:00 PM and it is after the timestamp of the execution 6/23/2015 7:00:00 PM.

The next output is when Session Loss Limit is reached:

But the order is executed at price 102:

I was able to reproduce your 91.655/102.00 issues on 6/23 DX 09-15 as seen in your chart below.

My recorded data from Rithmic DOES NOT have this issue.

Once I downloaded replay for 6/23, DX 09-15, it started to happen.

[Briansstocks]

Sledge,

I have a hard time with the data being provided by NT's market replay being the issue.

Firstly that would mean that this issue has been known for 2 months now at minimum and unless I missed an E-Mail from Ninja Trader nothing is being done about it.

50,000 customers or how ever many it actually is that paid 1000$ for a program that advertised this feature are owed an explanation and should be informed what is being done to resolve it.

Secondly if this is a data problem advertised and provided by NT there is another serious flaw in NT that is not being addressed. The chart does not show this bad data. The Data box confirms the high and low price that the chart shows. While I haven't cross checked the data on every phantom trade I have confirmed the chart and Data box shows the exact high and low prices for the time frame of the phantom trade is exactly the same thing as what is shown on my TD Ameritrade data not connected to NT.

The chart and data box should show whatever data is provided to them weather the data is flawed or not.

Thirdly, once downloaded the data doesn't change. When Valentin suspected the problem was something on my end he provided me data. I ran the same test with the data he provided. The first time through the test worked like it was supposed to. I thought somehow the problem was on my end also until I ran the same test on the same data and came up with a different result and the phantom trade came back. Patrick also reported he recreated 1 Phanton trade but others he could not recreate on the same data.

I'm not a programmer and could be completely wrong but this does not appear to be a data problem to me. It appears to be a Market replay issue to me. It would require an update to everybody not just me.

[NinjaTrader_PatrickH]

Hello Briansstocks,

Thank you for your patience.

I appreciate your additional comments and information. This is due to the data downloaded, you will notice in sledge's response his recorded data does not show the incorrect fills. When the Bid and/or Ask data is incorrect for the Market Replay data you can see this occur.

I have reported the dates you have seen as well as the recent dates. If you see additional dates please let us know.

If you have any additional comments or questions please let me know.

[NinjaTrader_PatrickH]

When downloading Market Replay data are you connected to HSD2?

You can check this on the Log tab of the Control Center when you go to File > Utilities > Download Replay Data.

For example, the line will read the following:

Connecting to NinjaTrader data server (HDS2.NinjaTrader.com/31654)

[Briansstocks]

Patrick,

I am being connected to HDS2.NinjaTrader.com/31654

Feel free to run tests on DX, CT, CC, KC, SI from 6-21 through 7-31 and you will see plenty of phantom trades, Settings wont matter.

So the official NT stance is that for at least the last 2 months NT has been providing flawed data through its Market Replay connection?

Sledges comments and attempts to help are very much appreciated but from my end do not explain the problem to me. Using the same data I should not get different results than anyone else or sometimes get different results running the same test on the same data that I already have on my computer.

If I knew how to create data that Market Replay could read it should not mater how ridiculous the data is, It should still display whatever data it reads on the chart. If the Market Replay is getting a 1000 point non existing tick it should display a very long wick on a candlestick on the chart. If it does not display this faulty data then there is a problem with displaying the data on the chart also. If that was happening I would of known instantly there was a problem with the data and reported it immediately.

I don't care if I am wrong if the issue is fixed. The DOW went down a few weeks ago from a data problem, in less then a day the problem was fixed. I have had a few data issues with other brokers and the problem was fixed in minutes. There is no excuse to have this problem for 2 months now.

A data problem can only happen from the provider to NT which I'm sure would have legal recourses from NT's legal department and be corrected in minutes if the provider was notified or NT's Server which NT's people have full control of.

[NinjaTrader_PatrickH]

Hello Briansstocks,

Thank you for your response.

When the incorrect data is found it is reported. There may be a delay in replacing the data or the data may not be available to replace. In this case, I was unable to reproduce the erroneous fills that you saw over several tests.

I appreciate the additional information here, because now I have a smaller range to work in.

[senrab]

Phantom Trade

Ah the Phantom - he's been around a long time. I've experienced phantom trades in Replay, SIM and now unfortunately again in the live market. I trade on a VM in Chicago using Rithmic. I doubt that either is to blame. I use a coding template that has worked successfully for the past 2 years for a number of strats. Now a new strat that worked for a while has experienced phantoms in the last week. Ouch! I've yet to read anything that offers a final solution; still looking. Sympathies to all in the same boat.

[Briansstocks]

Hello Senrab,

Thanks for chiming in. I was being let to believe that I was the only one experiencing this problem and it was a surprise to everyone. Obviously the truth is not being told around here.

I always experience the Phantom trade when a new session begins. So after the 4:15 market ends the 1900 start is when I experience it. Is this the same for you?

I don't want to pry into your trading strategy but does your strategy submit limit orders? My theory is the phantom trade is complete BS and NT not fixing it is basically fraud but the phantom trade can not happen in a live market for me because my strategy submits market orders so no chance of a 1000 tick fill that does not exist. Am I wrong?

[sledge]

Hello Senrab,

T My theory is the phantom trade is complete BS and NT not fixing it is basically fraud but the phantom trade can not happen in a live market for me because my strategy submits market orders so no chance of a 1000 tick fill that does not exist. Am I wrong?

Market orders can fill anywhere technically.