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Can you see this flash of prices in the market?

Posted by David Bean on

Tell us if you can see the market replay data hit 53.17 towards the end of the video. We didn't finish the video but you get the point when you watch the video and read below.

As I am converting strategies from NT7 to NT8 I am getting the hang of understanding the Unmanaged NinjaScript for NinjaTrader 8 in C#. We love to use market replay to test it out for errors. We could not figure this one out at first. We thought it was code but it was either a market replay data error or fast price flash (too fast for the human eye). The chart shows the high of 53.17 but the market depth never gets there (I don't visibly see it) so the stop loss shows up at 53.13. When historical testing, it shows up correctly at 53.17. There are times though when the market can have "flash" moves, hit your stop signal at a high for a buy stop and a low for a sell stop and you actually get filled at a better price as the market quickly moves away from the stop order signal. We always welcome this "negative slippage or slippage in our favor". In this case I don't even see the market replay hit 53.17 while the price bar does.

Tell us what you think? Flash prices or market depth replay error?

We will be putting the NinjaTrader 8 version of this strategy in the members area of Algorithmic Trading Systems soon.

This is very valuable as finding good examples of working NinjaScripts using the Unmanaged approach are very rare. Understanding the code is a great exercise in what goes in for order handling in algorithmic trading systems. Many platforms use a managed approach and NinjaTrader has a managed approach but you have to use the unmanaged approach if you have a strategy that can reverse from long to short or visa versa. Tradestation has order handling built in. You can override "managed (by the platform)" order handling in both Tradestation and NinjaTrader using the Unmanaged approach in NinjaTrader or in the Object Oriented EasyLanguage in Tradestation. 

When you study all that it is involved, it will help you understand the details of your strategy and what it really means to "explain everything in code". The benefit of this is that it helps think in terms of every market pricing situation which can help you remove your biases. Removing your blind biases is one of the keys to becoming a successful trader. Intentionally and biasing a strategy based on research and a calculated approach is a completely different topic. It is the blind biases that we don't want. You don't know what you don't know so learn fast!

 


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