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Bad fills in grain futures with Rithmic

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    Bad fills in grain futures with Rithmic


    I'm doing some backtest and I can't seem to shake a problem: I get fills on kinda crazy ticks. An example:

    Click image for larger version

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    It seems that problems like these occur at around 9 am. It's either me entering or exiting on price that seem far off from the market. I enter on the Ask series and exit on the Bid series.

    Is this a data issue and is there some steps I can take to prevent this? I'm using Rithmic. I get the same problems for the following symbols: ZS, ZC, ZM and​ ZW.

    Thank you!

    Hello axelbaws,

    Thank you for the message.

    Please use the steps below to sync your PC's internal clock that NinjaTrader's Charts use for its timestamps.
    • Shutdown NinjaTrader
    • Right-click on the clock in the lower-right corner of your desktop
    • Select "Adjust date and time"
    For Windows 10, select 'Date, Time, and regional formatting' > 'Additional date, time, and regional settings' > 'Set the time and date'
    • Select the 'Internet Time' tab at the top
    • Set the server to and click "Update".
    • If the message that appears says successful your PC clock should now be updated.
    • If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)
    For Windows 11, select Sync Now under Additional Settings. We would also recommend enabling your computer to set the time and the time zone automatically if they are not already enabled.

    After updating the PC clock, reopen NinjaTrader, then right-click in the Chart and select "Reload All Historical Data".

    If the behavior continues, you could try removing all of the Historical Data that is within your platform and re-downloading fresh data to see if that is related:
    • Close NinjaTrader
    • Go to the Documents folder > NinjaTrader 8 > db, this folder holds all of the historical data
      • Delete the following folders:
        • Tick
        • Minute
        • Day
        • Cache
          • Do NOT delete any other files or folders
      • After Deleting these folders, reopen NinjaTrader and it will make New ones automatically.

    ​If the behavior is still happening after the steps above, you would want to reach back out to the developer of the strategy and ask them why this behavior is happening and what needs to be done to avoid it moving forward.

    Please let us know if we may provide any further assistance.
    Clayton G.NinjaTrader Customer Service


      Originally posted by NinjaTrader_Clayton View Post
      Hello axelbaws,

      Thank you for the message.

      Please let us know if we may provide any further assistance.
      Hello Clayton,

      Thank you very much for your quick and detailed reply. Unfortunately, neither of the steps suggested did resolve the issue.

      I suspect this has something to do with the data:

      Click image for larger version

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      Studying the data, I see that on pretty much all days at open recently, the 1 minute Bid and 1 minute Ask series shows these single prints (red circle) being way out there. My strategy picks up and trades off of these single ticks.

      Do you perhaps think this is an issue with Rithmic?



        Hello Axel,

        Thank you for the message.

        If you performed the steps to re-download all of the historical data, this could mean there is an incorrect value saved on the servers.

        Please use the following steps to send your log and trace files to the support team directly from your NinjaTrader Platform so we may investigate this behavior further:
        • Within NinjaTrader, go to the Control Center > Help > Email Support...
        • To: Set this to "Platform Technical Support"
        • Subject: Copy and paste the Forum URL
        • Attach: Attach a file, picture, or compressed file to share multiple files/pictures
        • Body: Include any other information you would like to share on the situation
        • Make sure 'Log and Trace files' is checked to include the requested files
          • Send the email
        ​We look forward to your response and resolving your inquiry.
        Clayton G.NinjaTrader Customer Service


          Hello Everyone,

          After investigating further with Axel outside of the forum, we found that this was specific to the Ask or Bid-specific data series.
          • While they are normally close, the Ask and Bid data series can have completely different values for a variety of reasons.
          • This is just how the data was provided. So, this is the expected behavior of these data series.
          • These odd bars were appearing outside of the normal trading hours.
            • When we would switch to a normal "Last" based data series, the odd bars would disappear.

          To keep using the Ask or Bid-based data series, it is possible to create a Custom Trading Hours Template to cut out the times of day that those odd bars come in. I am attaching the Example for ZS Trading hours I made for testing for anyone to use as an example starting point. (I had to compress it to be able to attach to this post. Uncompress it and then move the .xml file, not the folder)
          • Close NinjaTrader
          • Download the file attached to this email > Unzip it
          • Go to the Documents Folder > NinjaTrader 8 > templates > TradingHours > Copy and paste or move the "Example for ZS.xml" file into this folder
          • Reopen NinjaTrader and this Trading Hours template will now be in your platform

          You can go to the Control Center > Tools > Trading Hours to look at the settings and specifics of the trading hours template or modify the Time Zone if you need to.Please let us know if we may provide any further assistance.

          Attached Files
          Clayton G.NinjaTrader Customer Service


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