Order Routing

[coolmoss]

I've searched "route" and "routing" and can't find anything in the Help guide or on the forum related to whether or not NinjaTrader has any effect over how the connected broker actually routes an order (ie to what exchange).

My main question is, in the instrument setup, where you check off the exchanges an instrument trades on, does that in any way effect how the order is routed?

I see there are various ECN's listed as exchanges for the instrument setup. If I were to select, say, ARCA and Island, but not NYSE, would that effect the order to be routed only to ARAC and Island?

[NinjaTrader_Matthew]

Hello,

This is configured by selecting the appropriate exchange in the Instrument Editor, and then adding that instrument to your instrument list with that exchange selected.

Please follow the instructions below if you want to add an instrument with a specific exchange to an instrument list

• Select the instrument list you wish to add the instrument to via the "Instrument lists" drop down list in the upper left hand corner
• Locate the instrument you wish to add from the list of available master instruments
• Select the exchange as this will route orders to your broker smart routing system
• Press the "<" button to add the instrument to the list

You are now complete and can press the "OK" button.

[coolmoss]

Thank you Matthew,

I appreciate your help, however you didn't really address my question. The question is about order routing. I understand how to set the exchanges in the instrument manager. But, what does setting the exchange actually do? I would have thought it would effect the routing, but if it does, it's not obvious how it does. I can find zero documentation on this and it's really important for trading stocks that the trader understand where his/her orders are going.

For example, I have a stock set to ARCA for the exchange, but an execution occurred on NYSE (we're talking real money account trades here). These type of descrepancies are occuring all over the place. The broker account is Interactive Brokers, and the SMART routing preference was turned off.

[NinjaTrader_Matthew]

Hello,

If you find that the settings you used are defaulting to the SMART routing, you can force this to another exchange by using custom mapping.

To set this up, please go to Tools--> Instrument Manager--> locate the symbol in question and select "Edit".

From the Instrument editor, click on the "Misc" tab--> Scroll down to the Symbol map section and locate the Interactive Brokers row.

From there you will want to specify the symbol separated by a "pipe character" and then then exchange, for example:

ABC|ARCA

Please see the attached screen shot for further reference.

[coolmoss]

Very cool, thank you. One last (hopefully) clarification: if the exchange is set to "default", what exactly does that mean or do?

[NinjaTrader_Matthew]

Default will use SMART routing.

[coolmoss]

still having some issues on this matter

Hello,

I'm still either having problems, or more likely, not understanding certain setup nuances. I'm running NT with two connections: 1st to IQfeed, 2nd to Interactive Brokers.

In a post above it was stated that if the Exchange was set to default (for a stock) that would provide SMART routing. The problem is, when I have only "default" selected, I get this message box:



So, then I additionally select, say, ARCA. Then the instrument will correctly load into a chart. But then, when orders are placed, it's clear I'm not getting SMART routing, because the execution reports from IB show non-SMART routed orders having executed.

I guess to start with, I need to resolve the issue of why I can't just have "default" selected. Then, I need to understand exactly how checking various combinations of exchanges effects the way NT functions and sends orders to IB.

Thanks much.

[NinjaTrader_Matthew]

Hello,

You must also check the exchange you would like to receive data from. The default exchange is for the order routing, but it also requires another exchange specified for the data feed.

Please see the following forum post which covers this topic in detail:

http://www.ninjatrader.com/support/forum/showthread.php?t=45833

[coolmoss]

To clarify: a second exchange would need to be selected even though the first connection is the IQ Feed, then to IB? If so, on what basis should the second exchange be selected? In the case of NYSE stocks it seems I could select NYSE, ARCA, Island and others. Should they all be selected? How do these multiple selections effect order routing?

Also, then how can I resolve the routing issues I'm seeing. There must be a way to set up specific routing in NT. To reiterate: if I check, say, "default" and "ARCA", I get fills that are shown in the broker fill reports as other than SMART fills.

Thank you for your help.

[NinjaTrader_Brett]

Hello,

By default the Default check goes to SMART. Nasdaq should also, however I'm checking into with development what the standard settings are for IB on our exchanges under the hood.

What exchange do you see an order not go to SMART? It will most likely be Monday when I have that information I needed.

-Brett

[coolmoss]

I'm trying to determine an answer to your question. It's kind of confusing on both ends. I'm seeking clarification from IB on what it means when a fill is shown as a specific exchange as opposed to "SMART" in the TWS Trade Log.

I'm seeing a variety of exchanges listed in the TWS Trade Log. The thing is, I can't just have the exchange check box "default" as the only one selected, which just doesn't make sense to me. I've scoured the NT support forum by searching for "routing" and find very little discussion. I also checked the NT Help, and again no detail. This really is pretty important to understand, for a variety of reasons.

Any detail you can provide is much appreciated. Thank you very much for your attention to my questions.

[NinjaTrader_Brett]

This is correct this is why I have the question into development. In the end the number of check marked exchanges doesn't really matter nor do they have any influence on eachother for what is and is not checked.

What matters is what exchange you place the trade too and you deter-main this by your selection. Pulling up an AAPL nasdaq chart will place trades on the apple instrument to the nasdaq(enabled in instrument manager) exchange.

Nasdaq then points to SMART as the order routing preference and NASDAQ as the charting preference. I am getting clarification from development on the specifics of this so that I can get you correct information here. So I am currently being vaque, I will update you when I have more information on Monday.

-Brett

[NinjaTrader_Brett]

I will check on status on this. Most likely will be tomorrow before I am able to get the response.

I apologize for the delay.

_Brett

[coolmoss]

Thank you very much for the update. I'd rather have you take the time to get full and accurate info

[NinjaTrader_Brett]

Thanks for the patience.

Alright so here is what occurs on IB.

You have to have more than just Default exchange selected in NinjaTrader. This does not mean however that you have to have 2 exchanges selected and they somehow work together.

->Trades placed to the Default exchange will have smart routing.

->Trades placed with the exchange manually defined will use the manual defined exchange.

->Charts connected to IB only will work with the Default exchange selected or the exchange is manually specified.

Pull up a new chart connected to IB for example AAPL. To pull up this chart type AAPL Default. This chart will execute to AAPL Default which will then execute on IB SMART exchange. You define the exchange of the chaart or order entry window by manually typing in the exchange, or selecting the correct exchange when you add the instrument to the Default list in the Control Center->tools->instrument manager Exchange selector above the expiry option and to the right of the add arrow button.

If you pull up a new chart for AAPL but instead manually specify exchange of AAPL ISLAND by typing this in as the name of the stock or adding it to your default list with ISLAND selected(You first need to have ISLAND enabled in the instrument manager). Trades will be routed to the island exchange.

In the case of the OAK error that you posted we needed to simply select the exchange in the Control Center->Tools->Instrument Manager for OAK that it can trade on. You then should still be able to pull up the OAK Default chart, get data from IB and use the checked exchanged for data.

The Default exchange should work from data from IQFeed as well.

This will force smart routing on the order when Default exchange is used and no matter the exchange manually specified in the chart. This however requires you add this to each stocks symbol mapping manually one at a time for what you trade.

To summarize, You need to have more then just Default selected and you should be able to use Instrument Default for charting and order execution to SMART should all work. If it does not let me know.

-Brett