Trading on level 2 values

[NinjaTrader_ChelseaB]

Hello chancehero,

Thank you for your response.

I asked our tech lead here for a response for this and was informed that NinjaTrader uses a propitiatory method to determine the fill probability which is based off of those variables.

Unfortunately, we are not able to to release any further details other than what is in our help guide.

Thank you for your understanding.

[chancehero]

fair enough,

I am sure ill find away around it some how - it was only frustrating as some simulation was not matching.
can you guys trow me a bone?
1) getting a long profit target filled at the ask in simulation mode, what are the odds that it would get filled in real trading? (I am sure that a simple counter to track your position when some are filled will pass, but the other possibilities within the range - I have been working on some speudo code this morning and the range for where your pending order is get quite large as time goes on.) specially when that pending order is outside the range of the lvl2 book that we are getting...

again, not too worried about this, but was just a little annoyed. Thank you for checking it out for me.

next question:
in my ongoing attempt to get some good lvl2 data in some proper format, I record data with my PC time stamp on it.
is there a way to get the CME time stamp of the event which they sent and not my PC?


again tx

[NinjaTrader_ChelseaB]

Hi chancehero,

1) I could not say for sure if an order that is accepted at particular ask price will be accepted in the same situation for a live broker.

Even between brokers it would not be possible to say for sure if an order that is accepted on one broker would be accepted in the same situation for another broker.

This depends on the server of the broker, the rules the broker uses for filling orders such as first in first out, and market dynamics.

The simulation engine does try and mimic a live broker as well as possible.

What I would recommend is you run a strategy for a day on an instrument live and record that day for Market Replay. The Market Replay also uses the simulation engine. After trading live, run the strategy in the Market Replay over the exact same time period.

Compare the trades that were accepted by your broker and the trades accepted by the Market Replay.

A note on that. The Market Replay data is aggregated, this means that the ticks are filtered. If you strategy is set to Calculate On Bar Close true the data itself will be the same as live data.

2) For your other question, data on your chart that is received live will be time stamped by your local PC. If you re-download the historical data, any downloaded data will be time stamped by the exchange.

To clear the live received data and use downloaded historical data:
Right-click the chart -> select Reload All Historical Data

This data will have the time stamp of the exchange, but will be translated to your pc clock time.


Please let me know if this does not resolve your inquiry.

[chancehero]

1) unfortunately I am using onMarketDepth to calculate all my strategies and cant use market replay to do any testing.
2) not very worried about a live broker feed, what I wanted was to match the sim strat with my own simulation program able to read lvl 2 book data that is able to simulate and optimize. so my goal was to simply mimic what the sim account was doing when trading simulated orders - to make sure I didnt screw up.
3) ok tx, can this be done for the onmarketdepth events as well ? for the time stamp ?

[NinjaTrader_ChelseaB]

Hi chancehero,

Thanks for the reply.

I do understand what you are trying to do but unfortunately I am not able to offer any further information.

Regarding the market depth, this information is not included with historical data when downloaded so no, the time stamp on this information could not be re-downloaded with time stamps from the exchange.


Let me know if I can still be of assistance.

[chancehero]

no prob tx.

what about partial fills , any good thread on that , or even in the help?

[NinjaTrader_ChelseaB]

Hi chancehero,

Thanks for your reply.

I'm doing some searching to find a few threads that you may find useful.

Thanks for your patience.

[NinjaTrader_ChelseaB]

Hi chancehero,

Below are a few links you may find helpful.

http://www.ninjatrader.com/support/f...ad.php?t=55390

http://www.ninjatrader.com/support/f...ad.php?t=40505

http://www.ninjatrader.com/support/f...ad.php?t=41978

http://www.ninjatrader.com/support/f...ad.php?t=33835

Also, below is a link to the help guide on IOrder which has the various states an order can be in as well as a demonstration of how to check the state.
http://www.ninjatrader.com/support/h...tml?iorder.htm


Please let me know if I can be of further assistance.

[chancehero]

question

thanks for that.

ok next question :

I am running :

 protected override void OnMarketData(MarketDataEventArgs e){
        
      if (e.MarketDataType == MarketDataType.Last )
         Print("last" +" , "+ e.Price + " , " + e.Volume);
    if (e.MarketDataType == MarketDataType.DailyVolume )
         Print("daily volume"+" , " + e.Volume);
    
    
    } 

and get :
this kind or output, (also running the market depth but that's not very important, right now)

notice the bold fonts, so it tells me daily volume changed, so that some contract was sold but no price or quantity, and then tells me it sold 2, but dailyVol goes up by 12 ? .... seriously ? what is going on , this is f#$king annoying. Using patsystem, for connecting. it this a normal thing ?

I imagine , that DailyVolume is correct?

Question:
1) is this normal ? if so why?
2) how can I get some normal , makes sense , Executions data. with time, price, and correct volume ?



daily volume , 3667
bid , update , 0 , 1645.5 , 122
bid , update , 1 , 1645.25 , 234
bid , update , 2 , 1645 , 237
bid , update , 3 , 1644.75 , 474
bid , update , 4 , 1644.5 , 233
bid , update , 5 , 1644.25 , 188
bid , update , 6 , 1644 , 451
bid , update , 7 , 1643.75 , 297
bid , update , 8 , 1643.5 , 400
bid , update , 9 , 1643.25 , 282
ask , update , 0 , 1646 , 94
ask , update , 1 , 1646.25 , 86
ask , update , 3 , 1646.75 , 153
ask , update , 2 , 1646.5 , 99
bid , update , 0 , 1645.5 , 114
bid , update , 1 , 1645.25 , 233
ask , update , 0 , 1646 , 194
ask , update , 1 , 1646.25 , 90
ask , update , 2 , 1646.5 , 95
ask , update , 7 , 1647.75 , 372
ask , update , 1 , 1646.25 , 91
ask , update , 7 , 1647.75 , 371
daily volume , 3668
ask , update , 1 , 1646.25 , 97
ask , update , 8 , 1648 , 439
ask , update , 1 , 1646.25 , 87
ask , update , 2 , 1646.5 , 99
ask , update , 0 , 1646 , 192
ask , update , 4 , 1647 , 243
ask , update , 5 , 1647.25 , 218
bid , update , 0 , 1645.75 , 12
bid , update , 1 , 1645.5 , 131
bid , update , 2 , 1645.25 , 234
bid , update , 3 , 1645 , 237
bid , update , 4 , 1644.75 , 474
bid , update , 5 , 1644.5 , 250
bid , update , 6 , 1644.25 , 196
bid , update , 7 , 1644 , 516
bid , update , 8 , 1643.75 , 322
bid , update , 9 , 1643.5 , 400
ask , update , 0 , 1646 , 213
ask , update , 1 , 1646.25 , 93
ask , update , 3 , 1646.75 , 152
daily volume , 3678
last , 1645.75 , 2

[NinjaTrader_ChelseaB]

Hi chancehero,

Thanks for your note.

Please open a new Time and Sales window and set to this instrument and expiry.

Does the daily volume in your script reflect the Volume row in the grid in this Time and Sales window?

Do the Last trades and volume reflect the trades in the output of the Time and Sales window?

[chancehero]

hi,

so I had the time and sale thing opened,

and the daily volume will change in sync with the time and sale,
and the Last will be in sync as well with the time and sale, but sometimes(most oftern than never), the daily changes, but the .Last, and the time and sale do not move.

....I was doing this last night, when volume was very light, so that I could track on paper what the hell was going on.

so whats the deal or work around for this? I assume that the daily volume is from cME (using es), and so is .Last, so why does it simply just not output the . Last, or does is incorrectly?

I cant be the only person noticing this issue, its plastered in the big mike trading forum.


or is there an alternative to get the traded volume?

[NinjaTrader_ChelseaB]

Hello chancehero,

What instrument are you testing this with?

This is so I can make a comparison as well.

I would like to test to see if the issue is provider specific.

[chancehero]

es 09-13

, Im also running the onmarket depth that prints out. the bid, if its an update, remove or insert, and the e.Position, e.Price, and e.Quantity.

[NinjaTrader_ChelseaB]

Hi chancehero,

Thanks for that information.

Let me do a little testing and get back with you.

I appreciate your patience.

[NinjaTrader_ChelseaB]

Hi chancehero,

Thanks for your patience as I tested this.

I can confirm that the Daily Volume is being updated without the Time and Sales window receiving last output.

I looked into this and found the issue is qualifying vs non-qualifying trades. While I cannot say for sure with patsystems which trades are reported to you, I have a few examples of trades that are non-qualifying trades that are not reported to Kinetick.

a = acquisition
b = bunched trade - average price
c = cash trade
d = distribution
e = automatic execution
f = intermarket sweep
g = bunched sold trade - opening/reopening trade detail
h = intraday trade detail
i = basket index on close transaction
j = rule 127 trade
k = rule 155 trade
l = sold last
n= next day
o = opened
p = prior reference price
r = seller
s = split trade
t = form t trade - pre/post market trade
u = extended hours trade - reported late or out of sequence
w = average price trade
y = yellow flagged regular trade
z = sold - out of sequence

If you would like to know which trades are being reported by Patystems you will need to contact your broker to find this information.

Please let me know if I can be of any other assistance for you.