Buggy Behavior of ATM Autochase in Playback Connection

[TheFil]

Couple of questions regarding interoperability of the Playback Connection based on some behavior I've noticed...

1) Are there particular methods that are not compatible/reliable when utilizing the Playback Connection given the immediate/synchronous nature of order processing?
2) What might account for erroneous fill prints (i.e. buy executions several ticks below lowest last traded price in a condition-driven order event where it is known with certainty that the modeled execution price was never achieved)?
3) When executing an order with AutoChase that gets a partial fill, the resultant behavior of the chase perpetually moves the price 1 tick away from the last traded price and never fills... what might be causing this? The chase limit is set to 1 in the prior example. When I change the chase limit to 5 (for example) it produces the same behavior, except the order now floats 5 ticks from the last traded price... Attaching video of the chase limit == 1 example.

Thank you.

https://drive.google.com/file/d/16djKmSOddL8yfDxeQv7PVLgN5ayC7rwB/view?usp=sharing

[NinjaTrader_ChrisL]

Hi TheFil , thanks for posting.

1. Orders will work the same no matter if playback speed is on 1x or maxed out.
2. Are you using a script to submit ATM strategy orders? We have an example here that shows how to monitor the orders. Using this you can print the fill price and GetCurrentAsk()/GetCurrentBid() to compare the fill price of an order to the last reported bid/ask price.

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?monitoring_stop-loss_and_profi.htm

3. The video has the speed maxed and I can not tell what is going on in this video. Can you explain this further and possibly provide an example and steps to reproduce what you are reporting here?

Kind regards,
-ChrisL

[TheFil]

Thanks NinjaTrader_ChrisL

#2) Yes, I am calling AtmStrategyCreate() from a script. Good idea on adding a print output for GetCurrentAsk()/Bid() and seeing if that makes sense of things. Will implement shortly.
#3) So the video is actually with the Playback Connection speed set to 1x... It's the AutoChase that is modifying the order (albeit incorrectly) in sequence with the frequency of OnBarUpdate() which is the method from wich I call AtmStrategyCreate()...

Let me know if that's enough to whittle things down. I'll pull together some additional screenshots/testing on my end in the meantime.

Thanks for the help.

[NinjaTrader_ChrisL]

Hi TheFil, thanks for the follow up. Please post a reduced test script that I can run on my PC and also upload a screenshot of the ATM you are using so I can test it out on my end for question #3.

Best regards,
-ChrisL