can you explain a NinjaTrader bad fill ?

Quote from Wallace:

the chart
More...

I see the time axis prints are all stamped 0530. I'll assume this is because you have disconnected to the data feed and are reviewing trade stamps. Two potential issues come to mind:

Your local PC clock may be out of sync with the Zen Fire servers.

This was a trade during very light volume (ie: after hours) and the Ninja fill logic used on the Sim engine simply picked up a tick far away from the bid/ask which happens frequently during periods of little or no volume. If no tick was drawn on the chart, no real transactions took place at that price.

I understand your concern even if it is a simulated trade, because you want to be assured of accurate executions when you go live on this instrument.

And for the record, Zen Fire in Sim mode is as real as it gets, with true real time data as provided by the exchange.
 
Guys, real simple

- Simulator uses real-time data to generate fills
- The market might be 1000 x 1000.25
- You submit a market order to buy, the ask lifts for a millisecond to 1003, you thus get filled at 1003 and ask moves back down
- In iliquid markets or non-regular trading hours this will be magnified and more common
- Chart bar construction uses real fills and NOT simulator fills
- Thus, if the market only traded between 1000 x 1001 on the particular bar you were filled at 1003 you would see a fill marked on the chart off the bar
 
Big AAPL / NinjaTrader_Ray, forgive me for being critical, but don't you bother to read ?

first sentence of the first post: "demo trading the 6E during the NFP release last Friday"

'the chart' is a 12 tick chart and the time is 5:30am PST ~ 8:30am EST each bar is
approximately 0.5 seconds in duration
i've attached a similar chart of the NFP August release that also displays volume
the dotted vertical lines indicate the 8:30 minute which essentially is what's being
displayed on 'the chart'. thread's here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=172655

i assume, if it were possible, that syncing one's computer with a server would best be
done by syncing with the Globex server

not related to NFP or any 'news release', and i don't do it regularly, i've on one occasion
counted 13 bars that formed - 4 ticks down from h - l then 4 ticks up from l - h in the
space of 1 second - each bar had the same second timestamp; at Any time of the day
the 6E's price movement will vary between standstill and lightspeed, but i'm still having
trouble understanding how 10 seconds after the price was last at 1.4521 a fill could be
made when the price has been trading at 1.4506-5 for the previous 4 bars - and where
the Buy was entered, but results in a fill 16 ticks from the last price
 

Attachments

I stand corrected - you're right, I didn't read thoroughly. However. I would think a 12 tick chart makes it even more imperative that you are synced with the Globex server.
 
Quote from Big AAPL:

Well then, you follow the same routine as I. Still a puzzling problem however...
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Who cares about time sync?

Seriously.

You use Zen-FIre?

* The timestamp you see is not from your computer but from.... the zen-fire feed.
* They do not use the globex timestmap but stamp when they receive the data ;)
 
* The timestamp you see is not from your computer but from.... the zen-fire feed.
* They do not use the globex timestmap but stamp when they receive the data ;) [/QUOTE]

NetTecture, does that mean we're trading in the past or the future ?
 
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