Phantom trade

[Briansstocks]

Sledge,

The reason I am under the impression a market order can not be filled at a price 1000 ticks away from what the current market price is would be because brokers are requires to execute your market order at the best current price they can. A fill out of market would be a crime and easily proven to the SEC. No brokerage would be that stupid.

If an order was sent due to NT malfunctioning it would be filled at the market price. While I can see that happening it would just hit your stop or trade trigger what ever that may be. So I can see the bad trade but not anything on the line of the 1000 tick phantom trades I am seeing in Market Replay.

[sledge]

I need to do more testing on my end. But,

http://www.sec.gov/answers/mktord.htm

[Briansstocks]

Sledge,

I'm curious how you could test more on this.

When a market order is submitted there is of course a lag from my computer to the broker, then a lag from the broker to the exchange. This is probably around a second. I'm aware that if a price is changing rapidly there could be a good bit of slippage. Once the order is submitted at market you are in order for the next available trade. So sure there could be theoretically many orders in front of you in an extreme case but in general none of us is dealing with any volumes that would create any real problems short of a nuclear bomb attack on something.

I know I am correct on this but I am not 100% sure on what damage NT could cause by being a program that is so unreliable I can't even believe they are still in business.

[senrab]

Hello Briansstocks

Until now I hadn't had a phantom trade for a least 2 years but my experience with phantoms goes back several years. In those days I was using the Wizard but once I swapped to direct coding I thought I'd got rid of the problem. They occurred in inexplicable ways and I can't remember all the details but I don't recall them being on start of market. The most common was an exit immediately triggering a new trade in the opposite direction. I trade CL exclusively. I don't know if different instruments throw up different phantoms. On the positive side: I made changes to the coding of the offending strat yesterday and ran it in SIM. It traded correctly. I'll now put it on live. Once I feel it's proving to be OK I'll keep you posted. I use Limit Orders.

[Briansstocks]

I have never experienced a phantom trade with CL, I have run a lot of test on CL though. The phantom trades do seem to vary in size depending on the instrument though.

[Briansstocks]

Senrab,

I'm not a programmer so probably won't be able to understand what you saw and how you fixed the Phantom trade problem but is that information something you would be willing to share to help the rest of us. No one seems to be sharing any information on the issue. The programmer I hired and Patrick and Sledge would understand any coding modifications you made though. Any specifics would be greatly appreciated by all.

Regards
Brian

[Briansstocks]

I may of found out why the phantom trades happen. If I am not going to be notified on what is going on to resolve this problem who can I contact to get the help needed to get something done about this. This has been an open issue for 3 months now.

Attached is 2 screenshots. 1 of a market open with the data box showing upon session open the bar reads 1705. This may not seem like an issue even though it is actually the 1700 bar. The volumes and prices are the same during the bar as my TDAmeritrade account. This doesn't seem like it matters and probably would not matter what time it says the bar is until it is the end of the session.

The screenshot of the end of the session shows what I believe is causing the phantom trades. The 1315 bar displayed on the NT chart is actually the 1310 bar on my TDAmeritrade account. The Volume and prices are the same. What I believe the problem is causing the phantom trade is the actual 1315 bar is never displayed. During this time you can see the price going up and down but no bar is ever created.

To the best of my knowledge the strategy's work off the chart. To me it stands to reason that when the market open and what it reeds off the chart does not match the actual closing prices according to the chart it causes the phantom trade. Every time I have had the phantom trade it was at the session open.

[Briansstocks]

Here is a screenshot of my TD ameritrade chart showing the session close. I could now make it so it would show you the prices and volumes were the same but you can clearly see there is a 1315 bar on the chart that NT never displays.

[NinjaTrader_PatrickH]

Hello Briansstocks,

Thank you for your patience.

I know you have been frustrated with this as well as some other users. I can reproduce almost exactly what you detailed in each example of the trade way off from the bar in replay. While this is present in NinjaTrader 7, I can confirm it is not present in NinjaTrader 8. As you detailed it, this is a bug in the Market Replay and ExitOnClose.

This has been reported to development and we will look out for any additional occurrences.

[Briansstocks]

Patrick

This problem has probably been known for a lot longer than I have been complaining about it. What is the resolution for it?

You may want to run your test again on CC, CT,KC,DX,TF, and I forgot the other one but when you set up your chart change the default session template to 24/7 and look at the different results you will get. This might be helpful to whoever is responsible for resolving this issue.

I do not use exit on close for strategy tests.

Ninja trader 8 is in beta and I can not find a download link for it.

I have read that I wont be able to just upload my script to Ninja Trader 8 without having modifications done to the code. Is this true?

I'm having a very tough time with being sold a product that doesn't work, it's been known it doesn't work and hasn't been resolved. Market replay is basically a player and can't be that hard to fix.

My option are sit around and wait for either the problem getting solved in Ninja Trader 7, Waiting for the release of Ninja Trader 8, and if what I have read is true, I get to hire another programmer to make the strategy compatible with the new version?

The options I see available to me are not acceptable. Are there options available to me that I am unaware of?

[NinjaTrader_PatrickH]

Hello,

Thank you for your update.

You can send us a note to platformsupport[at]ninjatrader[dot]com requesting that we add you to the beta list and when a version is available for you to test you will receive an e-mail.

You are correct that the strategy code will need to be formatted for use with NinjaTrader 8. You will have access to the Help Guide for NinjaTrader 8 which details the changes and you can always ask support.