Tips for First Live Run of My Tick-Level Scalping Strategy

Desktop SDK - Strategies
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Hey everyone,

I’m about to take my first live run with a scalping strategy that operates on tick-level data in the high-frequency range, and I’d really appreciate some insights from traders who’ve already been down this road.

From the documentation I understand most of the theoretical parts, but in practice there are still some open questions — especially around order handling.

For example:

  • How do you best manage orders that get partially filled?
  • What’s your workflow to track and reconcile multiple fills that belong to the same trade idea?
  • In your experience, what are the key points to watch out for inside OnExecutionUpdate during live execution?
  • And lastly — do you have any recommendations for low-latency hosting providers close to the CME data center? I’m looking for something reliable for tick-level HFT testing and live execution.

Any tips or lessons learned about stability, execution control, or handling edge cases in fast-moving markets would be super helpful for a smooth start.

Thanks in advance — I’m looking forward to your input and experiences!

Best Regards

Luke

3 Likes
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@Luke Good luck using NinjaTrader to compete with firms operating at the microsecond or nanosecond latency using direct exchange feeds and FPGAs.

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For hosting, low-latency VPS near CME is key—I’ve tested a few, and it made a noticeable difference. Also used a crypto trading bot to simulate order flow, which helped spot edge cases before going live.

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Try TradingVPS’ Chicago VPS (https://www.tradingvps.io).
It’s a truly great experience.