NT 8 too high resource use with strategy execution on range chart?

[philmg]

Hi,
I am running mutliple strategies on an NQ futures 12 range chart. It is very granular. If I understand it correctly with each range bar close the strategies have to calculate again and when the market moves, for NQ even in normal fashion, there are plenty of range bars appearing in 1 min. I have the feeling that I often getting strategy errors and weird behavior with cases in which I don't know, why orders were not executed. I can only suspect, that it has to do with the strategy calculation not being fast enough to follow the small range bars.

I would like to ask for advice:
Is this a known issue, when using small range bars?
Would running multiple strategies on range bars quickly overutilize the machine power, even though I would say it is a relatively fast gaming PC?

P.S. I am using range bars, because with minute bars I always had the issue, if outlier min bars overshoot some levels for stops or targets before the candle closes and the calculation happens. Since range bars always form new bars after a certain distance, this can not happen.

Thanks for some advice, if this can be a problem.
Best regards
Philipp

[Leeroy_Jenkins]

What strategy errors and weird behavior did you encourage? Maybe it caused by latency and not NT8 then you should consider getting VPS close to Chicago instead of gaming PC.

[philmg]

For example:
- I am entering a tick above the high of the current bar with a stop market entry. When the market moves relatively fast the stop market order is rejected with the reason that the Ask is already above it, so in between the calculation on close and the stop market entry the ask has moved higher up. I can only interpret this as a timing issue. Then sometimes I am just missing order placements, happened a couple times, that the stops losses were not placed. Just overall I don't have the impression that it reliably executes, what I have entered.

Yes, using a VPS maybe could help in this case somewhat, but only if the range chart usage it not an issue how I am suspecting. If you calculate on minute charts, there is only one cycle per minute. On range charts it can sometimes be hundreds of bars per min.

[Leeroy_Jenkins]

> I am entering a tick above the high of the current bar

It's too close to current price IMHO. You will often get stop rejection. I would not trust any backtest on such small charts. It's impossible to do the same realtime. Smallest bars I use for NQ range charts is 25 to avoid the same issues mentioned.

[philmg]

I forgot to mention that I use the range chart as main chart, but the strategy uses also the 5 and 15 min chart. The entry bar is defined on the added data of the 5 or 15 min chart, but the strategy calculations are done on the range chart. Would you think that in this case also the small 12 ticks of the range chart are an issue? The order rejects come mainly when the close of the entry bar (5 or 15 min bar) is close on at the high of the bar. In that case it often doesn't work entering 1 tick above the high. This is probably independent of the use of the range chart.
But I understand that e.g. a 25 range chart has to calculate on close much less than a 12 range chart.

[NinjaTrader_Jesse]

Hello philmg,

As Leeroy_Jenkins mentioned placing orders that close to the market will increase the chance of a rejection. If you are using OnBarClose processing that can also add to the problem. When the bar closes the market may have moved past that price point so that would be considered an invalid price when it gets to the broker. If you are using OnEachTick processing that can still result in rejections because a order takes some amount of time to be sent to the broker/exchange which gives the opportunity for the price to move during that time. Even if the price was valid at the exact time the order got submitted that does not mean it will still be valid when the order is on the broker/exchanges side.

When an order is placed on the wrong side of the market the strategy will see a reject and by default be terminated. You can add handling in for rejections however that is considered an advanced development topic. You can read about that in the following link:

https://ninjatrader.com/support/helpGuides/nt8/realtimeerrorhandling.htm

[Leeroy_Jenkins]

> The order rejects come mainly when the close of the entry bar (5 or 15 min bar) is close on at the high of the bar. In that case it often doesn't work entering 1 tick above the high.

If signal is being generated when close of current bar = high then you gonna get rejections no matter what time based chart you're using. If you're really don't want to miss a trade consider placing entry stop with big margin to current price and then adjust it. Obviously you gonna get rejections and you need to handle them but in that scenario you won't miss any signals.