Question about 1/2 pips

[coolmoss]

Hi,

I have a strategy which makes use of TickIncrement in a few parameters. I've noticed that I get significantly different results running in Sim (which is full pips) versus live with Interactive Brokers (which is 1/2 pips). The difference is not due to the usual considerations for live versus sim trading.

My question is: how does ninjascript treat the TickIncrement on the data feed with 1/2 pips. Is it the case that a 1/2 pip is the TickIncrement on that sort of feed? If so, that would imply I would need to set my parameters at twice the number of ticks in order to match the sim feed which is a full pip feed.

[NinjaTrader_JC]

Hello coolmoss,

Could you clarify what you are referring to by "TickIncrement"?

Are you referring to TickSize or Round2TickSize by change?

[coolmoss]

Doh! I meant TickSize.

[NinjaTrader_PatrickH]

Hello Coolmoss,

Thank you for your response.

If you wanted to match the simulated data feed to the Interactive Brokers feed you would change the Quote Currencies (FX) In option in Tools > Options > Data > Quote Currencies (FX) In.

For information on this setting please visit the following link: http://www.ninjatrader.com/support/h...7/data_tab.htm

Please let me know if you have any questions.

[coolmoss]

Thank you very much for your Sunday reply!

Seems like this might explain why my charts are plotting weird fills. Can you tell me what I should have this currency pip setting set to for the following configuration:

Ninja is connected to Kinetick and Interactive Brokers (which is 1/2 pips).

Perhaps, more to the point, when there are multiple broker/data connections which support fx and they don't all have the same pip setting, what is the correct way to set it? Or is such a mismatch between feeds something that Ninja just can't handle?

[NinjaTrader_PatrickH]

Hello coolmoss,

Thank you for your response.

The Quote Currencies In option is designed for connections with different Pip sizing, so that you can adjust NinjaTrader appropriately to each data feed. If Kinetick is connected first you may wish to set the Quote Currencies In to the desired setting to match the data in TWS for Interactive Brokers so that you see the data from your data feed provider as it would be for your broker.

[coolmoss]

How can this happen

Thanks Patrick,

I'm working with a client running ninjascript strategies connected to both Kinetick and IB. His options and instrument setup appear to be correct. Please look at the chart below and note how entries are occurring outside the bounds of the bar.

My initial guess was one of his feeds was delayed, but that doesn't seem to be the case. Next guess is that the two feeds are pretty far apart in their prices. I suppose a third guess is one feed is a bid feed and other is ask feed, but that seems a bit remote.

Can you please advise on how best I can sort this problem out?

Thanks.

[NinjaTrader_PatrickH]

Hello coolmoss,

Thank you for your response.

Please right click in your chart > select Data Series > set the Price Based On setting to Bid > OK > right click in your chart > Reload All Historical Data.

Please let me know if this corrects the matter.

[coolmoss]

Patrick,

As this is an IB connection, we can't reload historical on these short timeframes, but we are running a test and need some time to let the live data fill in somewhat.

In the mean time, I can tell you that I was somewhat mistaken in what I previously told you (with apologies). The chart snippet was taken with Ninja connected ONLY to IB (not as I stated as also connected to Kinetick which is what I thought the problem was due to).

So now I'm really baffled.

[NinjaTrader_PatrickH]

Hello coolmoss,

Please let me know the result of your test.

[coolmoss]

Here is a chart snippet with the Bid series being plotted. You can see there is a sell fill (about 1/3 way from right side of chart) that occurs outside the range of the bar. The signal bar closes at 1.1951 but the sell entry is BELOW the entire bar at 1.1949.

Could this simply be the spread is that wide, and being that it's a sell, the BID price was outside the range of the ASK series shown in the bar?

These odd looking (odd to me because I have a hard time understanding these forex charts) entries look just fine using sim101 account (but with the same IB data connection).

[NinjaTrader_PatrickH]

Hello coolmoss,

Thank you for your response.

This would be expected based on how NinjaTrader plots executions based on the timestamp of the bar versus the timestamp of the execution. For information on this matter please visit the following link: http://www.ninjatrader.com/support/h..._are_plott.htm

Please let me know if you have any questions.