Converting to Market Orders

[PHOLAN]

I know if you use the Tradestation integration via SMTP, you have a setting that converts to market orders if the NT order did not get filled.

Is there a setting that will do the same for orders submitted via the DLL?
For example, I submit an order via the DLL API and if it does not get filled, is there a way taht it can automatically be converted to a market one?

[NinjaTrader_Dierk]

>> Is there a setting that will do the same for orders submitted via the DLL?
Unfortunately not

[PHOLAN]

Dierk,

Is there a way that I can help continue developing that interface for you guys? I don't think that I can use it with the current lack of functionality.

From a trader standpoint, this is what is required in order to make it a true trading API.

1.- Grid to show Order Names, same in the the Positions window
2.- All the Buy/Sell functions should have an additional parameter, to turn the orders to Market after a specified number of seconds after the price has been crossed.
3.- Add a function to cancel all ACTIVE Orders for a specified instrument per account.
4.- Add a function to retrieve the total number of Active Orders for a specified instrument per account.

I can live without the last one but, all the others are essential to creating a trading interface.

Please forward this to the appropriate person

P

[NinjaTrader_Ray]

We appreciate the offer but we are are not taking on external developers at this time.

[PHOLAN]

In that case, how much would it cost to have that added and what time frame am I looking at.

If unfeasible, I will need to consider other options.

P

[NinjaTrader_Ray]

We make available enough functions for you to code your own functions to do what you want with your 4 requirements.

Unfortunately we do not provide option to custom code for a fee individual requests. Thanks for the offer though.

[PHOLAN]

Negative Ray,

How can you say that? How do you convert a order generated by a dll into a market order without waiting for the next bar closing.

For example, my order does not get filled, my next execution in tradestation is 5 minutes later. At that time I would check if my High has crossed my entry price for example and then delete the entry order and enter at market.

If your chart is a 5 min chart, you can not expect to convert the order to market after 5 mins. Thats unreasonable

[NinjaTrader_Ray]

I would run my strategy tick by tick (I am assuming that is possible, if not, then you are correct), monitor price, then when appropriate, modify the limit order to a price that will fill instantly. This is what we do when possible in our own software. Its faster since you don't have to cancel, wait for confirmation, then send a market order which must go through brokers risk system again. Modifying existing limit is milliseconds quicker.

[PHOLAN]

Ray,

What you are suggesting, along with the other functions is easy to do if you have a tick by tick interface but, implementin what you are suggesting in Tradestation is not only not practical but also extremely taxing.

Now you understand why I consider the API unusable in it's current form. What you are suggesting belongs on the NT side and not on Tradestation.

[PHOLAN]

Dierk, Ray,

I'm attempting to write an external .NET proxy application. I'm pretty far along but, one issue is holding me back.

I need to receive the Tick data from NT so that I can convert unfilled orders to Market Orders, as we discussed below.

I am subscribing to the MarketData and getting the price when I issue the MarketData command. However, I do need to get the data stream on a continuous basis without missing ticks.

I tried to inplement an event async event hadler, but apparently, it's not supported. How do I go about it without writing a resource consuming loop that it's prone to miss ticks? In other words, I need a subroutine to be called when NT receives a new tick update.

Here is what I have tried that does not work

[SIZE=2][SIZE=2][COLOR=#0000ff]Imports[/COLOR][/SIZE][SIZE=2] NinjaTrader[/SIZE]
[SIZE=2][COLOR=#0000ff]Public[/COLOR][/SIZE][SIZE=2][COLOR=#0000ff]Class[/COLOR][/SIZE][SIZE=2] Tray[/SIZE]
[/SIZE][SIZE=2][COLOR=#0000ff]Friend[/COLOR][/SIZE][SIZE=2][COLOR=#0000ff]Shared[/COLOR][/SIZE][SIZE=2][COLOR=#0000ff]WithEvents[/COLOR][/SIZE][SIZE=2] NTClient [/SIZE][SIZE=2][COLOR=#0000ff]As[/COLOR][/SIZE][SIZE=2][COLOR=#0000ff]New[/COLOR][/SIZE][SIZE=2] NinjaTrader.Client.Client[/SIZE]
 
[SIZE=2]public sub NTTickUpdate() handles NTClient.....[/SIZE]

As you can see, a handler for the NTClient events does not seem to be supported.


Best Regards,

Philip

[NinjaTrader_JoshP]

Hi Philip,

Sorry, but due to bandwidth issues this is beyond the level we can offer support for.

[PHOLAN]

Josh,

NT 6.5 is already getting the ticks. Any bandwidth used will be in the local computer between NT and the external API client.
There is no taxing of NT servers that I can see

P

[NinjaTrader_Ray]

The ATI which is what you are using is not an event driven API. You will receive the latest ask/bid/last when it is requested.