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MB Trading Futures - Introduction

  • #9,181
  • Mar 23, 2012 4:16am Mar 23, 2012 4:16am
Hi,
It's just me or ?

between 8:31:58 and 8:33:47 (UTC) I had a sequence of strange (not normal) ticks on Range Bar charts (8bar), see image attached
Attached Image (click to enlarge)
Click to Enlarge Name: $EURUSD (80 Range) 23_03_2012.jpg Size: 148 KB
  • #9,182
  • Mar 23, 2012 4:49am Mar 23, 2012 4:49am
Quoting tomlee
Hi,
It's just me or ?

between 8:31:58 and 8:33:47 (UTC) I had a sequence of strange (not normal) ticks on Range Bar charts (8bar), see image attached
Yeah, something is quite off. Check out the EURAUD, NZDUSD, AND AUDUSD - back and forth between 50 and 80 pip tops and bottoms multiple times per minute for several minutes. And it's still going on, so it's been happening for about 10 minutes now.
Attached Image (click to enlarge)
Click to Enlarge Name: Weird ticks.jpg Size: 142 KB
  • #9,183
  • Mar 23, 2012 4:54am Mar 23, 2012 4:54am
Quoting polymorphfx
Yeah, something is quite off. Check out the EURAUD, NZDUSD, AND AUDUSD - back and forth between 50 and 80 pip tops and bottoms multiple times per minute for several minutes. And it's still going on, so it's been happening for about 10 minutes now.
And now the USDCAD has joined in.
Attached Image (click to enlarge)
Click to Enlarge Name: Weird ticks2.jpg Size: 155 KB
  • #9,184
  • Mar 23, 2012 4:59am Mar 23, 2012 4:59am
Quoting polymorphfx
And now the USDCAD has joined in.
And now the GBPJPY. Maybe they lost a liquidity provider? Not sure, but affected pairs have the bid dropping as shown on these charts but the ask is remaining normal.
Attached Image (click to enlarge)
Click to Enlarge Name: Weird ticks3.jpg Size: 135 KB
  • #9,185
  • Mar 23, 2012 6:17am Mar 23, 2012 6:17am
I was watching the AUD/USD during that time and checked the Market Depth window. There was only one Bid level, around 1.0418 or so, and the next Bid down was 1.0375. I agree with the lost liquidity provider hypothesis.



Quoting polymorphfx
And now the GBPJPY. Maybe they lost a liquidity provider? Not sure, but affected pairs have the bid dropping as shown on these charts but the ask is remaining normal.
  • #9,186
  • Mar 23, 2012 6:39am Mar 23, 2012 6:39am
hi

its broker allow scalping for 1, TO 2 pips?
  • #9,187
  • Mar 23, 2012 8:08am Mar 23, 2012 8:08am
Quoting zu88
hi

its broker allow scalping for 1, TO 2 pips?
Hi zu88,

I'm not sure I fully understand your question as it relates to what we were discussing, but yes, MBTrading allows trading for as few or as many pips as you want. I think you're referring to some brokers requiring price to move away from your entry so many pips before you can close - MBT does not have that requirement.

Hope that helps, but please clarify your question if I've misunderstood you. Happy trading!
  • #9,188
  • Mar 23, 2012 8:12am Mar 23, 2012 8:12am
Quoting tomlee
Hi,
It's just me or ?

between 8:31:58 and 8:33:47 (UTC) I had a sequence of strange (not normal) ticks on Range Bar charts (8bar), see image attached
No, you are not the only one. See my attached chart for 7 pip range bars.

It certainly skews the chart a little bit, doesn't it?
Attached Image (click to enlarge)
Click to Enlarge Name: rb7.png Size: 14 KB
  • #9,189
  • Mar 23, 2012 10:32am Mar 23, 2012 10:32am
Anyone one else experiencing weird problems with the MT demo "Pay for Limits" server? If any of my experts attempt to close an order in the 5-6 PM EDT time frame, right after roll over, they get messages saying the trade was rejected because of "Off Quotes". While it does occur immediately after roll over. I do see these messages up to an hour after roll over as well. A couple hours later several (10~20) trades appear on my account in the opposite direction with no stop loss or take profit. It is almost like my trade is actually being accepted but the client does't receive the proper message. Then I am left with many trades in that never should have been opened. In the comments for the new trades, I see information like 219e65k:00gf which I usually see if one of my trades was broken.

I am not seeing this problem on the live servers. Only on the "Pay for Limits" demo.

Any one else seeing the same thing?
  • #9,190
  • Mar 23, 2012 11:23am Mar 23, 2012 11:23am
Quoting solid54
Anyone one else experiencing weird problems with the MT demo "Pay for Limits" server? If any of my experts attempt to close an order in the 5-6 PM EDT time frame, right after roll over, they get messages saying the trade was rejected because of "Off Quotes". While it does occur immediately after roll over. I do see these messages up to an hour after roll over as well. A couple hours later several (10~20) trades appear on my account in the opposite direction with no stop loss or take profit. It is almost like my trade is actually being accepted...
I don't play with Demos for this reason.
  • #9,191
  • Mar 23, 2012 11:47am Mar 23, 2012 11:47am
Quoting solid54
Anyone one else experiencing weird problems with the MT demo "Pay for Limits" server? If any of my experts attempt to close an order in the 5-6 PM EDT time frame, right after roll over, they get messages saying the trade was rejected because of "Off Quotes". While it does occur immediately after roll over. I do see these messages up to an hour after roll over as well. A couple hours later several (10~20) trades appear on my account in the opposite direction with no stop loss or take profit. It is almost like my trade is actually being accepted...
I've gotten lots of these "Off Quotes" messages in my time with MBT (~2 years or so.) Oddly enough though, my trades always execute in spite of the error.
  • #9,192
  • Mar 23, 2012 4:19pm Mar 23, 2012 4:19pm
Quoting polymorphfx
I've gotten lots of these "Off Quotes" messages in my time with MBT (~2 years or so.) Oddly enough though, my trades always execute in spite of the error.
Please tell me that you guys are aware that if your trade splits into two pieces due to a partial fill, you get an OffQuotes message but it means nothing and your trade executes fine.

MT4 was not meant to handle split fills, so when it doesn't get back a full size response, it sends an OffQuotes message. There's nothing MB can do about that. However, the trade still fills. Just click OK on the message and all is good.
  • #9,193
  • Mar 26, 2012 7:25am Mar 26, 2012 7:25am
Quoting tomlee
Hi,
It's just me or ?

between 8:31:58 and 8:33:47 (UTC) I had a sequence of strange (not normal) ticks on Range Bar charts (8bar), see image attached
Same has happened today 12:06:18 (UTC), long sequence of strange ticks.

For me, the MBT ticks feed is unusable !
  • #9,194
  • Mar 26, 2012 7:12pm Mar 26, 2012 7:12pm
Quoting tomlee
Same has happened today 12:06:18 (UTC), long sequence of strange ticks.

For me, the MBT ticks feed is unusable !
Range bars (and renko bars) can be a real challenge, depending on your platform.

With a bar size as low as yours (8 pips - I use 7 pips), problems arise when we get these times of crazy volitility/liquidity - when the bid (or ask) can jump back and forth in 10+ pip increments numerous times within milliseconds of each other. As you have seen, this can lead to some crazy looking range bar charts. So if your datafeed has data that sometimes looks like this (where the prices are spiking back and forth multiple times within a few fractions of a second):

...
1.30235
1.30329
1.30235
1.30311
1.30309
1.30232
...

you can get lots and lots of range bars within just a few seconds (see chart #1 below). This is very similar to what you are seeing with NinjaTrader.

In MT4, it is easy to create range bar charts, but you have to live with missing quite a few ticks (depending on your feed) because of how MT4 handles the threading of new ticks. However, missing so many ticks can actually be a benefit during these spiking times, since you will actually skip many of the back and forth spikes (see chart #2 below)

There is a way to have your cake and eat it too! You can process every single tick in the datafeed and maintain order within your range bar charts. If you really are dead set on trading range bars with such small bar sizes, your best bet is a custom bar generator (MBT SDK or Quote API) that you can program to handle the crazy data that happens occasionally. This allows you to customize the range bar algorithm to recognize these spikes in price and act accordingly so your charts remain tradable (see chart #3 below).
Attached Image(s) (click to enlarge)
Click to Enlarge Name: rb-std.png Size: 11 KB
Click to Enlarge Name: rb-mt4.png Size: 12 KB
Click to Enlarge Name: rb-custom.png Size: 16 KB
  • #9,195
  • Mar 27, 2012 12:44am Mar 27, 2012 12:44am
Thanks a lot zznbrm !
it's clear now, that's not MBT fault.

I will see the custom bar generator side but I am not programer so the way-out is uncertain.

Is there maybe some possibilities inside NinjaTrader to handle this issue ?
  • #9,196
  • Mar 27, 2012 5:44am Mar 27, 2012 5:44am
I have tried to see with Quote Manager and MBT SDK but I don't see how it could be corrected (I am not strong with this stuff).

Have tried within NinjaTrader but without succes.

Should I try another data provider ? or it will be the same problem ?

Thanks for your help.
  • #9,197
  • Mar 28, 2012 2:24am Mar 28, 2012 2:24am
Justin and all the crew of MBT! Your last build of MBT Desktop Pro is purely and entirely fantastic! At last You solved this charts lagging bug - now switching between them is like a dream! All other things - Market Depth Ladder, one click tool etc. really cool too. Now You have really powerful platform - its an asset. Congrats and I am really just happy to trade with You!
all is eternal - this is good news for people who loves bad news
  • #9,198
  • Mar 28, 2012 8:37am Mar 28, 2012 8:37am
Quoting tomlee
Is there maybe some possibilities inside NinjaTrader to handle this issue ?
I have not used NinjaTrader enough to know the answer to that question. I think someone else on this thread showed how to delete bad ticks after the fact...that might help, but again, that would be after the fact. However, for the real-time creation of range bars, my guess is that you cannot alter the bar generator since the code for this is "internal" to NT.

Quoting tomlee
I have tried to see with Quote Manager and MBT SDK but I don't see how it could be corrected (I am not strong with this stuff).
Yeah, you do need to have a good understanding about the SDK and .NET programming. If you are interested, send me a PM and I can show you how I am handling this situation.

Quote
Have tried within NinjaTrader but without succes.

Should I try another data provider ? or it will be the same problem ?

Thanks for your help.

You may or may not have the same problem with other data providers...depends on whether you get the occasional spikes in price we are seeing with MBT.

In a somewhat related matter...

after weeks of seeing no negative spread quotes, we have had hundreds today, starting at 04:55:08 EDT.
  • #9,199
  • Mar 28, 2012 10:34am Mar 28, 2012 10:34am
Thank you very much.

Quoting zznbrm
I have not used NinjaTrader enough to know the answer to that question. I think someone else on this thread showed how to delete bad ticks after the fact...that might help, but again, that would be after the fact. However, for the real-time creation of range bars, my guess is that you cannot alter the bar generator since the code for this is "internal" to NT.
Yes, I know how to do it but I can only delete them 1 by 1 (AFAIK), so it's OK when you have not much of them.


Quoting zznbrm
Yeah, you do need to have a good understanding about the SDK and .NET programming. If you are interested, send me a PM and I can show you how I am handling this situation.
PM sent
  • #9,200
  • Edited 3:11pm Mar 28, 2012 3:00pm | Edited 3:11pm
Quoting BroncoCap
CTS--please keep us up to date on how the trade reconciliation goes. I would surmise it will take more than an email. A phone call, member's area trouble ticket, email, and post here may all be necessary. Attack it from all angles. Good luck.

Cheers all!
Almost forgot to follow up on this issue. MBT acknowledged that the trade DID in fact execute erroneously and reimbursed me for the difference, executing the trade at the market price rather than the erroneous.

In the end I was fine with the outcome. Only minimal nagging on my part followed by a couple days of research on their end; money posted about a week later.
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