Ninja Platform

Quote from cdcaveman:

what is CEP? ... i really shouldn't even be thinking at this level.. my thoughts were to build some indicators and or signals to identify consolidations and breakouts for options trading... so if i'm in a butterfly and i get a breakout signal i can take profits... just stuff like that... Tick data won't help me there.. plus if your hedging options having a statistical idea where reversals happen makes gamma scalping more profitable.. basically in every respect i'm trying to create more hedging efficiency.. as well learn to program on some platform... the only way to learn programming more is to do more of it.. i have read plenty compared to how much actual experience.. .
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CEP=Complex Event Processing .... it can take Full Order Book Data... not just Top of book or NBBO and with each incoming tick analyze it, look for the specified pattern within the model and execute according to the model... clearly, this require ultra low latency...

I would love to say that I am well versed in options but in reality, I am not... I can do basic and simple orders with options... but I understand what you say though... a buddy of mine makes markets on softs options and he does all that and I had to read up on it in order to understand him at times...
 
Quote from ofthomas:

CEP=Complex Event Processing .... it can take Full Order Book Data... not just Top of book or NBBO and with each incoming tick analyze it, look for the specified pattern within the model and execute according to the model... clearly, this require ultra low latency...

I would love to say that I am well versed in options but in reality, I am not... I can do basic and simple orders with options... but I understand what you say though... a buddy of mine makes markets on softs options and he does all that and I had to read up on it in order to understand him at times...
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it seems there is a great divide between guys that are strategy based traders, and options vol traders... like there is not one guy from the options forums that posts in the strategy threads..

yeah.. what your talking about applys to options as well. . its like spread trading from the underlying to one series of options to themselves to another series from another expiration then on to dispersion across many single names to the index..
vix futures.. variance futures (soon), spy , spx, es, options on all those.. and then all the constituents of the index and there respective options.... .. and on and on and on..
 
ofthomas is right re getting the platform that's best for you. there's no best platform for everyone. for example, scalpers pretty much need 3 things in life - food, water and xtrader. if your timeframe is anything above scalping the cost/requirements/data feed go down a lot.

for those considering nt and want tick/vol bars, consider kinetick for data which is just the iqfeed rebranded but optimized for nt's platform.
 
Quote from ofthomas:

NT8 is in alpha and will be in beta sometime this year... for an actual GA (General Availability) release... if NT7 is any indication you are talking years out.

You will need to define what "professional" means to you...

You will not find at any institutional desk (buy/sell side) NinjaTrader... you will find the likes of Bloomberg, Reuters, Redi, XTrader, CQG, etc... and you will also find a lot of custom OMS/OE systems (basically in house created tools for risk mgmt, pre-trade clearing, position offsetting, etc.) ...

but if by "professional" you mean any "prop" (and I use that term completely loosely) then you will find a variety of tools depending on the product being traded and the market connectivity they will have... so you might find sterling, lightspeed, CQG, XTrader, CTS, Vantage, etc... and you might even find NT7/MC/IRT...

and all "new comers" tend to use NT7 because it is free for simm and they believe that trading in simm is an indication of how they will do in real life, but the fills are never realistic and the pressure of actual money never exists on simm.

IMO, The most realistic simm I know off that we have access to as retail (for futures at least) is on XTrader... the second best, on CQG... and the most realistic from a inst desk side I forget the name now, but it was fun to use it... I had to take a "trading class" which has you behaving as the trader and you had to make markets on your issues and be flat at end of the day... you will get calls from buy/sell side and you had to always take the counter, offset in the market, and track what your book had and be as close to flat as possible at the end of the day or offset with futures... sometimes you will have profit because you stayed ahead of the desks calling you and you were quick to offset, others a loss... that was a fun simulator... :)

now, my advice... pick the platform you will use based on what you will be trading and what features you are looking to benefit from by trading the products you will focus on...

I use CQG because of the spreader, I could have used XTrader as well... but I like CQG a bit better because I got used to it... that is my main trading platform (even for "automated")... it also has backtesting which I quickly use to prototype ideas (not that I am that good at it)

I own licenses for NT7 and Multicharts and MultiCharts.NET, as well as Amibroker, two of each... I use them sometimes for backtesting and for some automated trading that I want to do but havent done yet...

Amibroker is best for basket trading and the type of trading I want to focus on long term... MC is best for the active trading, just not baskets... I dont completely trust their back testing, as I prefer to always forward test anything...

anyhow, just my 2 cents given I had some time right now..
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Good post.
My 2 cents (FWIW).
I started on NT years ago because it was free and I could get the zenfire feed at nominal cost.
Regarding the SIM - I run 2 machines side by side. One making live trades and the other letting the Ninja sim algorithm decide on the fills. Both machines run the same automated strategy on the same instrument.
I compare the differences every day.
So far - there has not been enough of a discrepancy to cause me to distrust the sim (at least for my particular strategy)
 
Quote from mgabriel01:

Good post.
My 2 cents (FWIW).
I started on NT years ago because it was free and I could get the zenfire feed at nominal cost.
Regarding the SIM - I run 2 machines side by side. One making live trades and the other letting the Ninja sim algorithm decide on the fills. Both machines run the same automated strategy on the same instrument.
I compare the differences every day.
So far - there has not been enough of a discrepancy to cause me to distrust the sim (at least for my particular strategy)
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I'm curious about this. How frequently does your algo trade intraday? Are you sending aggressive or passive (limit) orders? Or something in between?
 
NT for discretionary trading is fine. I own a multi-broker license and quite happy with it. It has it's limitations in terms of ATM Strategies having max 3 targets, etc. However it should be fine as long you are not trading huge size and need tons of scale out points.

I don't think it is stable for automation though.
 
Quote from rknas:

NT for discretionary trading is fine. I own a multi-broker license and quite happy with it. It has it's limitations in terms of ATM Strategies having max 3 targets, etc. However it should be fine as long you are not trading huge size and need tons of scale out points.

I don't think it is stable for automation though.
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the limitations are more than just in terms of strategy management... try charting a spread, like 2s10s... or better yet... try doing pairs with it IWM:SPY... or conditional orders across markets... you will run across limitations rather quickly...

that is not to say that is perfectly fine for things like trading a single instrument... but I wouldnt use the generic term of "for discretionary trading is fine" without knowing what the other person is trading...
 
Quote from Jack_Larkin:

I'm curious about this. How frequently does your algo trade intraday? Are you sending aggressive or passive (limit) orders? Or something in between?
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I would not glorify it by calling it an algo. I simply wrote the code to execute the strategy

1-5 trades per day
If it loses early it does not try to catch up
If its winning it keeps going

Entry, Exit, Stop are all market orders
 
Quote from ofthomas:

the limitations are more than just in terms of strategy management... try charting a spread, like 2s10s... or better yet... try doing pairs with it IWM:SPY... or conditional orders across markets... you will run across limitations rather quickly...

that is not to say that is perfectly fine for things like trading a single instrument... but I wouldnt use the generic term of "for discretionary trading is fine" without knowing what the other person is trading...
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Yea, my experience is mainly with trading futures, index and energy and single equities. I should have stated that. I don't deal with pairs or spreads or whatever exotic combos there may be.
 
Quote from mgabriel01:

I would not glorify it by calling it an algo. I simply wrote the code to execute the strategy

1-5 trades per day
If it loses early it does not try to catch up
If its winning it keeps going

Entry, Exit, Stop are all market orders
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Thanks, I was asking since sim vs real execution topic was at hand. Since you're doing all market orders it should be nearly the same unless the market is moving quickly.. I was interested in case you were using limits, as I've seen NT give very favourable fills in simulation before for limits. Wondered if they improved that recently.
 
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