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Hello fellow traders.
I’m having technical problems that involve NinjaTrader 8 and Interactive Brokers. I realize there are other posts regarding these companies. They mostly involve connectivity problems, whereas my issue is poor entry fills. But please feel free to move this to an open discussion.
I recently connected the latest version of NT 8 and IB’s TWS and Gateway (build 978.2c, as required by NT). Rithmic is my data provider. I’m using a five-lot ATM with trailing stops and tiered targets. Ever since I started paper trading, the entries have been wildly erratic. In the typical long scenario, 3 contracts might be filled at 13,900 (MNQ) and two filled at 13,013.50. Yes, 54 ticks higher! Flip this the other way for shorts. The only consistency is the number 54. The discrepancy is always 54 ticks. I’ve had hours of assistance from NT’s support, including 2 TeamViewer sessions. After they determined it was not on their side, I reached out to IB. So, has anyone experienced anything like this, or know someone who has?
Thanks.
UpTik
Can you help answer these questions from other members on NexusFi?
Hello sam028.
I sent the trace file and the log to NinjaTrader support and they didn't see any problems. Also, NinjaTrader's executions in the Control Panel perfectly matched each trade reported in TWS. So, the exact second two contracts were purchased at 13,900, three were purchased at 13,013.50. I usually expect to see slippage, but 54 ticks?????
have you tried entering with a stop-limit order, it seems you enter at market? you can (pre-)set the limit to the for you max acceptable slippage in the properties of chartrader, or just use the buy-Ask or buy-bid button in chart trader which also creates an limit order at the ask/bid which should avoid such bad fills.
Thank you for for your suggestions. I'm waiting to hear back from Interactive Brokers' API Department. When I described over the phone what was happening, the support tech claimed he'd never seen anything like this. My uneducated guess is IB's API, (using TWS or Gateway), cannot handle ATM Strategy orders from NT8. If I place an order with no stops or targets, everything is fine. But when I select an ATM Strategy, even if its for one contract, I get that bogus fill. As I previously wrote, the bogus fills are not random. The ones I've monitored are usually 54 ticks from the expected entry price. It seems to me that's a coding glitch.
I've attached another screen shot that shows a bad fill when a trade was stopped out. In this instance, 4 contracts closed at the limit price, but one closed 55 ticks lower.
askerix,
Nothing would please me more than to report that the problem has been solved
There is no long wick because all five contracts should have been stopped out at 13,806.25. NT simply put the lower price marker where IB indicated that contract was filled.
this could be caused by a bad tick in the data. You can check this by adding two additional charts and let them run side by side to your main chart - same resolution etc. just set one to bid and the other to ask data (you might even gain more information by using 1 tick charts, but this can be harder to analyze later). If you experience another of these fills, check the corresponding bid and ask chart bars. If you see a spike there, enabling the bad tick filter for realtime data in NT might help you.
I have seen a similar situation during my testing once, although in that case the simulated trading was solely based on the data feed and NT's simulated account and not connected to IB.
Edit: Seeing that you are observing the same fill prices in the TWS logs it seems the bad tick filtering in NT might not help here.
Hello ABCTG.
The Bid and Ask charts is a good idea. But I would think that if my Rithmic tick data was bad, I'd be getting spikes in my NT charts. That never happens. These 50+ tick aberrations only occur when IB reports the entry and stop-out prices for a trade. I've been paper trading this morning. So far, I haven't gotten these extreme fills with my ATM strategy trading only one contract. I'll test this throughout the day to see if it holds up. If it does, that would suggest IB's API can't handle a multiple-contract ATM Strategy.
I'll keep everyone posted!
