Wrong entry order in strategy

[ronka]

Hello, I hope someone can help me.

I have a simpete stategy on the MNQ where I place a limit sell order on the ask.
But sometimes the order is placed live at a totally wrong point (always to my disadvantage)
According to me this cannot be slipage because according to the chart the price has never been there.

I use Ritmic for data (I also have Ninjatrader Continuum but I was not logged in there at the time) .

Am I doing something wrong or does it have to do with the data.


With kind regards
Ron Kramer


Here the order as it was executed.



Here I closed manually


This is the backtest of the same order and so it was fine


This is the order as programmed in the strategy builder.

[NinjaTrader_ChelseaB]

Hello ronka,

I see the historical data looks different compared to the real-time.

This might be an issue with the data connection or cpu clock not being in sync with internet time.

May I confirm your pc clock is set to the time zone you are currently located in, and that the time zone in the tools -> options window is also set to your local time zone?

Compare your PC Clock with https://www.time.gov/

If you are not in sync:

• Shutdown NinjaTrader *important
• Windows 10
  • Navigate to the Windows Control Panel
  • Select Clock and Region -> then click 'Set the time and date'
    (Or click 'Date and Time' if this is visible)
  • Click on Internet Time tab
  • In the Server: drop-down select time.nist.gov
  • Click Update
• Windows 11
  • Open Settings
  • Click on Time & language.
  • Click the Date & time page on the right side.
  • Under the “Additional settings” section, click the Sync now button.
• 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)
• Restart NinjaTrader
• Connect to a data feed
• Reload All Historical Data *important
  • Click tools -> Historical Data
  • Right-click Historical -> select Delete
  • https://ninjatrader.com/support/help...HistoricalData

Below are a few links to 3rd party educational sites with steps to synchronize with internet time.

Windows 7 - http://mintywhite.com/windows-7/7mai...t-time-how-to/

Windows 10 - https://www.windowscentral.com/how-m...ers-windows-10
- http://www.windows10update.com/2015/...t-time-server/

Windows 11 - https://pureinfotech.com/fix-clock-out-sync-windows-11/

After syncing the PC clock and Reloading All Historical Data, please let me know if this behavior can be reproduced in real-time again.

[ronka]

Hello,

Thanks for the quick response.
I checked the time settings but they were already correct.
I am syncgronized with time.windows.com.
And I cleared the historical data.

The crazy thing was that the strategy was doing good trades all day except that one.
And in the backtest everything was also good.

But once the problem occurs again I will let you know.

Thanks
Ron

[NinjaTrader_ChelseaB]

Hello Ron,

Even though the clock appears synchronized, may I confirm you have shutdown, synced the clock again and then reloaded all historical data?

After this the behavior was reproduced?

[ronka]

Yes I did, also in that order.

The synchronization is also automatic, says windows.

[NinjaTrader_ChelseaB]

Hello Ron,

To confirm the behavior is still occurring?

The instrument on the chart is the MNQ 06-24 (and not a different contract month), is this correct?

[ronka]

Hello Chelsea,

Today I had no problems. But I had also logged into Ninjatrader continuum just to be sure because Ritmic gives problems sometimes.

The Chart was indeed the MNQ 06-24, but I also use the strategy on other futures (MES, ES,NQ). But only the MNQ gave the problem yesterday.

Greetings,
Ron

[ronka]

Hello Chesea,

It went wrong again today, entry in the middle of nowhere.
This time on NQ and MES.
I was logged in on 2 data providers, Ritmic and Continuum.
The clock was ok.

On a real money account this probably can't happen it seems to me. But I trade mostly propfirm accounts and that is of course in SIM.
Unfortunately then a trade starts with a hefty loss and an APEX account is quickly blown.

Do you have any sugestions as to what it might be?

Ron

NQ



MES

[NinjaTrader_ChelseaB]

Hello Ron,

This may be ask / bid updates received from Rithmic that are not close to the market price.

Add to this chart in the Data Series window a 1 tick ask and 1 tick bid series, overlayed on top. Are you seeing a bid tick where this order was filled?

[ronka]

If I disable the stategye and enable it again the trade is disappeared..
I was also logged on to continuum and there the bid and ask should be correct anyway.

But I will run the strategy on another computer. Maybe that will work.

[NinjaTrader_ChelseaB]

Hello ronka,

You cannot get data from two sources. Even though you may be connected to multiple connections, only one connection is providing real-time data for futures and only one connection is providing historical data from futures (and depending on how the preferred connections is setup real-time data may not be coming from the same connection as the historical).

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

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

I would recommend you disconnect from Continuum and test the Rithmic connection to confirm the issue is with the Rithmic connection.

You also may need to reproduce the behavior in real-time with the 1 tick ask and 1 tick bid series on the chart, as the historical data may not be reflecting that market data.

[ronka]

Okay, I'll do the housework and see if I can do it.

But what I just don't understand is that strategy places a limit order on the ask. That is a certain price at that time. Only at that price the order is allowed to go.
The bid then seems to me to be of no importance.


And I'll try it on another computer.


Thanks so far.

[ronka]

Hello chelsea,

I have probably found the problem. There is a delay in the bid and ask.
See the picture of de SuperDom.

The acual price moves fast but the bid and aks have a delay of a few seconds. And that causes the problem of course.

Could it be due to my computer or is there a setting somewhere.
The computer is a fast gaming PC

Thanks,
Ron

[NinjaTrader_ChelseaB]

Hello Ron,

This is what I had suspected, and why I was directing you to add a 1 tick ask series and 1 tick bid series to a chart, so that we could see if the ask and bid are outside of the bar.
This very wide distance between the bid and ask is most likely the cause of the behavior.
This could mean there is fluctuating high latency with the internet connection to the servers, or could be an issue with the brokerage or rithmic that you are connecting to.

What brokerage are you connect to with the Continuum connection?
Are you able to reproduce the rithmic connection disconnected and only the Continuum connection connected?

[ronka]

Hello Chelsea,

There is no difference between rithmic and continuum.
It will not be due to the internet connection, I have fiber optic connection with very low latency.
And on my other pc it works perfectly.

I am not a computer expert but I think it is something with the pc.
So I am going to order a new one and I expect that will solve the problem.

I'll let you know the result in a few days.

Thanks a lot so far.
Ron