Placing order to which BIP for fastest execution

[waynewright33]

This one might be easy but I need to be sure.

I submit an enterlonglimit in BIP 0 (20 min). BIP 1 is 1 min. Which BIP should I submit to for the absolute fastest submission of my order, or does it make a difference? Actually, because TIF is GTC, BIP isn't really doing anything for me is it? And, because it has two time frames the TIF for end of bar doesn't work properly anyways. So should I just use a non BIP overload instead? In onbarupdate I check for BIP 0 first , then BIP 1 if that matters.

Once entered, I update stoploss orders via onmarketdata. Which BIP I should be submitting to for those orders?

I realize the different scenarios might produce miniscule differences in time before submission, but of course I need whichever is fastest.


Thanks,

[NinjaTrader_PatrickH]

Hello waynewright33,

Thank you for your post.

In real-time the BIP is not going to have much of an effect for the Enter() method as it will be submitted to the same instrument no matter the BIP. However, in historical data and backtesting this will factor how the fills occur historically. So if submitted to the BIP 1 it would fill quicker than BIP 0 on historical data and in backtesting.

[waynewright33]

Thanks Patrick. I guess that "much of an effect" is what I'm inquiring about here. I edited my post to mention that, but you guys are so quick to reply!

I think what I'm after here is like an order of events processing type question, I'm running live with cash so it matters. If I submit to certain BIP does it wait for a new tick for that BIP before submitting or anything? What if I don't use a BIP overload?

If my onbarupdates evaluate BIP 0, followed by BIP 1 , and I submit an order in BIP 0, does that enterlonglimit method get handled right away, or after checking if my next onbarupdate of BIP 1 is true?

Let me know if you're following me lol

Thanks,

[NinjaTrader_PatrickH]

Hello waynewright33,

Thank you for your response.

This would still be the same item, it would not matter which BIP you submit to as they are all for the same instrument and the strategy is processing in real-time and not backtesting.

What matters is when the order is submitted in these cases. So for example if I use a 1 minute and 15 minute bar series I would want to check my conditions on the desired BarsInProgress and then submit the order. An example is below:

if(BarsInProgress == 0) // 1 minute
{
EnterLong(); // Market order submitted on the close of the 1 minute bar
// if I am using CalculateOnBarClose = true.
// Submitted on intra-bar with CalculateOnBarClose = false.
}
if(BarsInProgress == 1) // 15 minute
{
EnterLong(); // Market order submitted on the close of the 15 minute bar
// if I am using CalculateOnBarClose = true.
// Submitted on intra-bar with CalculateOnBarClose = false.
}

Notice that I did not use a BIP for the orders, as it is not necessary on the same instrument. What is necessary is checking the BIP and then the condition for entry.

[waynewright33]

Ok perfect, this is as I expected. Thanks.