Trader.Jon 

Since IB data is 'filtered data', I would recommend an unfiltered data provider before you proceed much further in your systems development. TJ

Thanks, I don't use the IB data feed but use Kinetick, which seems OK, though occasionally I notice that a few ticks "bunch up" and get delivered in a burst which causes the strategy problems.

I think that is caused by Internet connectivity latencies, which I hope would not happen with the server connected via a big pipe in a datacentre.

Quoting 

I am still in the strategy development phase and I have not yet found a strategy that I feel comfortable enough automating and letting it run on its own. However, I don't use NinjaTrader and built some of my own charting tools based on JFreeChart (java library for graphics, MyDoggy (Java Window Manager), and everything runs inside RapidMiner (#1 open source datamining platform by KDNuggets).

Many thanks for that Crow. I have a strong PHP/MySQL background so it shouldn't be diffcult to pick up Java, if need be. It was straightforward moving to C#.

So far, the only automated strategy that I've found to be reliable uses small profit and stop loss targets for quick scalps where you can have as much control as possible (which still isn't much), however this is causing the problems discussed in this thread.

My mate is a Java wizard and definitely uses it on Linux, so I don't know how he gets around the problems that you mention. He uses large databases for storing historical SR levels, I believe, so he has to handle database interaction under HFT conditions too.

I wish I could talk to him about his systems in more detail, but he works for a large fund and their systems are their business and are therefore highly confidential.

David

I've been investigating further into what is causing the rejected order situation.

It doesn't seem to be the MTF computations, but the fact that the strat is placing a stoplimit order two ticks above the trigger bar. As I am using COBC= true, by the time the trade entry order is placed, the market has moved past it.

Whilst I'm relieved that mtf doesn't seem to be causing problems, at least yet, it does mean that I'm going to have to revisit the trade entry criteria to place the entry further from the immediate price action when trading CL.

David