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Chart Trader in a slow market (sanity check)

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    Chart Trader in a slow market (sanity check)

    I think there must be something wrong with my NT8 configuration and it is making me crazy. Try this with a simulated account:

    Find a slow market, like for example the 10YR 06-22 interest rate futures outside regular trading hours. You will not have to wait long to see the bid/ask spread move away from the last traded price by several ticks, such that the last traded price is well outside the market. For sake of example say the market has moved four ticks above the last trade price. Now using Chart Trader right-click in the space two ticks below the market, which would also be two ticks above that last trade price, The first option Chart Trader presents is to place a limit order to sell at the price you have just clicked, which would be a limit order to sell two ticks below the market (i.e, below the bid price).

    Is this intended?

    Since you have selected a price below the market shouldn't Chart Trader be asking to place a limit buy order?

    But there's more. Wait until the market widens out to say 10 ticks and the last trade is inside the market. Now enter a Chart Trader limit order to buy inside the market but at or below the last trade price. In my experience it is usually filled immediately at the bid price, when in reality it would not be filled at all.

    Just wondering if this is the way we want order/trade simulation to work.

    Hello jvanelli,

    Thank you very much for your message.

    After testing this myself, this would indeed be intended. NinjaTrader uses the last price to decide whether to submit a buy/sell order, instead of the bid/ask spread. While you may always submit a manual buy/sell order e.g. through the Order Entry screen or SuperDOM, we decided to use the last price as this decision-maker on the ChartTrader, as it would reflect the most recently-occurred trade and kept us from having to list all buy/sell order combinations as a possibility, which could lead to confusion or incorrectly-placed trades.

    It's also important to understand that with instruments that only receive very few trades, simulated fills would be less accurate.

    As the Sim101 account is simulated locally and can't rely on the exchange confirming or rejecting a simulated trade as would be the case with paper-trading accounts, it needs to assess whether an order would fill or not and does this e.g. based on the available trades/volume. While the simulator will try to stay as close to what an expected, realistic market would provide, the lack of volume can cause this to be less accurate than it would be on a more commonly-traded instrument.

    If you have the option, I would also suggest testing this with a paper-trading account.

    Should you have any further questions, or if I've misunderstood the behavior, please don't hesitate to let me know!
    Manfred F.NinjaTrader Customer Service


      Thanks very much for your prompt and clearly accurate reply. After posting that message I did repeat some tests using my paper trading account and found no anomalies. Everything is working as expected with my proprietary order entry routine and/or the SuperDOM executing through the paper trading account. Not 100% sure about Chart Trader yet but it won't matter because I would not be using that for live trading. I only used it as an example here to avoid confusion in posing my question.


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