NinjaTrader and Direct Market Access

A

abattia

Prompted by Butterfly's excellent thread 'IB API HOWTOs and Guidelines - For Beginners', I want to understand better what limitations (if any) prevent NinjaTrader (NT) from being used for automated trading in a situation where market access is DIRECT rather than through a brokerage firm.

For autotrading, three functional components must be present (thank you, Butterfly!):
(1) Trading logic execution
(2) Market data feeds
(3) Trade execution

NT handles “1”, ...

... the NT data connection partners usually handle “2”, and “3” is handled by the NT brokerage partners.

- I am not aware of NT being used for Direct Market Access, i.e. for connecting directly to an exchange without routing through a brokerage firm or data connection partner (so "2" and "3" provided directly by the exchange). Is anyone aware of any instances where in fact it IS used this way?

- If not, why not? Is the reason as simple as being that no-one has yet attempted to write the required client/message server architecture (thanks again, Butterfly!) to connect NT with an exchange’s price and order servers? Most exchanges seem to provide FIX protocol connectivity as at least one of the connection options, so connecting NT with such exchanges should be technically unchallenging. Or is there another reason why it is not done?

Thanks.
 
Quote from abattia:

Prompted by Butterfly's excellent thread 'IB API HOWTOs and Guidelines - For Beginners', I want to understand better what limitations (if any) prevent NinjaTrader (NT) from being used for automated trading in a situation where market access is DIRECT rather than through a brokerage firm.

For autotrading, three functional components must be present (thank you, Butterfly!):
(1) Trading logic execution
(2) Market data feeds
(3) Trade execution

NT handles “1”, ...

... the NT data connection partners usually handle “2”, and “3” is handled by the NT brokerage partners.

- I am not aware of NT being used for Direct Market Access, i.e. for connecting directly to an exchange without routing through a brokerage firm or data connection partner (so "2" and "3" provided directly by the exchange). Is anyone aware of any instances where in fact it IS used this way?

- If not, why not? Is the reason as simple as being that no-one has yet attempted to write the required client/message server architecture (thanks again, Butterfly!) to connect NT with an exchange’s price and order servers? Most exchanges seem to provide FIX protocol connectivity as at least one of the connection options, so connecting NT with such exchanges should be technically unchallenging. Or is there another reason why it is not done?

Thanks.
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What`s wrong with Kinetcik?
 
Quote from Rorschach_test:

What`s wrong with Kinetcik?
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(A) Unless Kinetick (http://www.kinetick.com/) now provides services I'm not aware of, Kinetick fulfills function "2" above, but not function "3".

(B) Also, some traders have a requirement for a lower latency data stream than can be provided by a data provider consolidating data that it then broadcasts to its customers; they achieve this partly by connecting directly to the exchange of interest.
 
glad to see my thread is inspiring others :)

DMA if I am not mistaken doesn't mean "brokerless". Brokers can give you DMA, but the clearing and compensation process will still be performed by the broker.

To have direct access to an Exchange, you need to have some kind of registered license with the Exchange. Basically, you need to be a Securities firm, and that means some kind of legal and financial compliance.

To answer some of your questions above, NT could give you DMA through your choice of broker but you could use the quote feed from a different source than your "DMA" broker. The question is what kind of quote feed do you want.

If I am not mistaken, at least in the US, all executed trades done in ECN/DarkPools etc... must be reported on the Common Ticker Tape system, that is the ticks should include all realized price. For bid/ask streams, then it's not another issue, you might need some kind of aggregation of all bid/ask in the market, including Exchanges and Dark pools. I think this is more dependent on broker feeds than Exchange feeds. You need to investigate from the quote vendors the type of ticks they are sending. I suspect they will be different from one vendor to the next.
 
Quote from Butterfly:

glad to see my thread is inspiring others :)

DMA if I am not mistaken doesn't mean "brokerless". Brokers can give you DMA, but the clearing and compensation process will still be performed by the broker.

To have direct access to an Exchange, you need to have some kind of registered license with the Exchange. Basically, you need to be a Securities firm, and that means some kind of legal and financial compliance.

To answer some of your questions above, NT could give you DMA through your choice of broker but you could use the quote feed from a different source than your "DMA" broker. The question is kind of quote feed do you want.

If I am not mistaken, at least in the US, all executed trades done in ECN/DarkPools etc... must be reported on the Common Ticker Tape system, that is the executed ticks should include all realized price. For bid/ask streams, then it's not another issue, you might need some kind of aggregation of all bid/ask in the market, including Exchanges and Dark pools. I think is more dependent on broker feeds than independent feeds.
More...

Many thanks.
 
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