Using a NinjaTrader strategy for execution in TradeStation

bobwest 

Got it. Inter-application communication is always tricky, when there is no actual interface designed for it (and even when there is.) This looks like it would work, but it seems like a lot to do just to be able to run an NT strategy instead of creating one in TS in the first place. But I could see it if the reasons were strong enough.... My worry would be potential missed communications, and how to be sure that nothing had been missed. I would also want to get confirmation back to the NT strategy that the orders had been sent and executed, so it would not just assume there were no issues in terms of the broker and the exchange either. (For instance, your limit order not executing or something else other than pure success at the expected price.) Otherwise, the NT strategy might just merrily roll on, not realizing it didn't have the position it thought it had and perhaps firing off orders against it -- such as, trying to close a long position that didn't exist in the market with a sell order, creating a new short. But if you worked at it you could probably solve anything. Thanks for the answer. Bob.

Yes, that's the tricky aspect.
I wrote something to replicate orders from on NinjaTrader (the Master) to other NinjaTrader instance(s) (the Slave(s)) and I resolved this in having a kind of dashboard which shows the orders/positions on the Master and the orders/positions on the Slave(s). In this case you can see the differences in fills, if the pending orders are similar on both instances and so on.
It would be necessary to have something check the NT positions/orders vs TS positions/orders (while an intra-machine communication have a smaller failure probability than two machines seeing each other across Internet).