We are NinjaScript Consultants, working within the NinjaTrader space since 2006. Leverage our extensive experience in real-time strategy automation.
All of our strategies are based upon our LogikStrategyCore framework, leveraging years of our development practices to take full control of NinjaTrader’s versatile unmanaged and managed order submission, execution, and error handling features. Most importantly, our LogikStrategyCore uses bid / ask tick data alongside a custom fill algorithm for the most accurate backtesting possible.
Additionally, the LogikStrategyCore provides the following features to all strategies created around it.
- Entry Time Span (4x) – Enter Trades during Open Market Sessions
- Session Profit / Target management to stop trading after a certain gain / loss or number of trades has been achieved
- Send SMS Alerts – Alert the trader on entry / exits, or strategy issues
- Send Email Alerts – Alert the trader on entry / exits, or strategy issues
- Risk / Reward Requirement – Only take a trade if the R:R Ratio makes sense (available upon request)
- Position Sizing – Leverage your account (available upon request)
- Startup Position / Order Synchronizing (available upon request)
We also develop semi-automated strategies that extend the LogikStrategyCore framework. This allows a trader to manually / automatically enter a trade in a variety of ways while maintaining the freedom of automated position monitoring. Through use of a custom control panel appended to the chart, the trader has complete control over the specific aspects they want, while relying on the computer for those they do not.
Semi Automation
We also develop semi-automated strategies that extend the LogikStrategyCore framework.
This grants the trader to either manually or autonomously enter a trade in a variety of ways while maintaining the freedom of automated position monitoring. Through use of a custom control panel appended to the chart, the trader has complete control over the specific aspects they want, while relying on the computer for those they do not.
An example of our work can be seen to the right, which is the TradeManager provided by Indicator Warehouse. This example displays the use of
- Automated / Manual Entry
- Automated / Manual Position management
- Position Sizing
- Market Structure Bid / Ask Volume Statistics
Backtesting
Trading methods you develop should be able to work in the past as well as in the future. Therefore, after developing a new strategy, it is important to test it on historical data. Accurate and thorough Backtesting is essential to building confidence in a strategy before it is implemented.
Real-Time Simulated Testing
Once your strategy design has evolved past the Backtesting stage, it’s time to evaluate strategy mechanics to ensure that your strategy operates as designed and test Real-Time performance using tick by tick simulation. In addition, there are discrepancies between Real-Time and Backtest results.
| Backtest | Real-Time | |
| Computer Order Filling | Conservative or Liberal fill algorithms may be used. | Dynamic fill algorithm using price & volume to determine if an order should be filled or not |
| Fill Price of Order | Assumptions are made on the fill price of an order. Depending on the fill algorithm, this price may not be obtainable depending on market dynamics | Fill price is based on incoming market data and volume. Market fill prices may be better or worse depending on where the bid / ask price is and what volume is available at that price |
Real-Time Order Handling & Live Automation
When your strategy is properly Backtested with sound mechanics, it may be ready for Real-Time automation. At this point, whether an order is filled or not, as well as the fill price of the order is dependent only on market dynamics. This differs from both Backtesting and Real-Time Simulated Testing in that Real-Time Live cannot be determined by any algorithm; it is purely based on market dynamics. Automated strategy execution must handle live operation realities such as high frequency tick processing, order rejections, connection loss and unexpected broker API behavior all of which NinjaTrader addresses reliably. In order to safely run a Real-Time Live Automation strategy unattended, the computer must have the ability to make some failsafe “executive” decisions.
If you have a trading design you wish to have automated from the Backtesting design phase, through Real-Time Live Automation, please Contact us with your design details for assistance.
