Tick handling

[funky_boy]

Hi again.
What happen, If two ticks from different instruments will arrive simultaneous? Strategy is multi-instrument.

[NinjaTrader_Ray]

That is not possible, one or the other will be first.

[funky_boy]

Ok. But second tick will arrive, while OnBarUpdate() will be executing. What happen?

[NinjaTrader_Ray]

OnBarUpdate() is synchronous. Each tick is processed in sequence.

[funky_boy]

For example, OnBarUpdate() is running on current tick, and I have received another three ticks, these ticks will queued (not rejected) and handled. Is this correct?

[NinjaTrader_Ray]

Your understanding is correct, NT does NOT drop ticks. ALL ticks are processed.

[funky_boy]

But, If I would be handling previous ticks, actual price might run away.
And all actions, such as order submit, will be handling wrong.

Thanks.

[NinjaTrader_JoshP]

Well technically speaking the price has already ran away before you even got the information from your data provider due to internet latency. This is the nature of volatile markets.

[funky_boy]

I think, while OnBarUpdate() method run on one tick and other ticks arrived, those ticks must be rejected.

Do you think about?

[NinjaTrader_JoshP]

Data should never be rejected. If data were rejected you would consistently be building erroneous bars.

[funky_boy]

True. But I say about strategy. Strategy must rejects ticks, not NT Chart.

[NinjaTrader_JoshP]

Maybe I'm not understanding you, but I don't see why you would want to reject any information. If you feel you still want to do this you can look into the OnMarketData and OnMarketDepth methods. Set flags there and use them in OnBarUpdate to prevent further orders.

[funky_boy]

I think, If OnBarUpdate() will execute slowly due some reason, market and NT strategy will be mistiming.

[NinjaTrader_Dierk]

NT will not miss any ticks submitted by your broker/data provider.

[funky_boy]

I talk about strategy, not NT. Is there any way to do it?