Cross Order Now Has Three Instrument Tiers (1.7.0.0)

Starting with Replikanto 1.7.0.0, Cross Order supports up to three size tiers per futures family — mini, micro and nano — instead of a single pair, and the built-in instrument map grew from 26 to 36 families. This article explains how the Cross Order square works now, which families gained tiers, and what to check after updating.

What changed

The Cross Order square in the Follower Accounts grid is no longer a simple on/off toggle. Each click moves it to the next state:

• Off (grey) — Cross Order is disabled for this follower; it trades the tab's own instrument.
• Green — the follower trades the first other tier of the family.
• Yellow — the follower trades the second other tier of the family, when the family has three tiers.

Clicking again from yellow returns to off, and the cycle repeats. The "other tiers" are the family's symbols other than the tab's instrument, taken in mini, micro, nano order — so yellow is not always the smaller contract. Next to the square, the grid shows the name of the instrument that follower will trade. For the S&P 500 family (ES / MES / NES):

An ES tab with one follower in each state: 1 = Off, Sim101 trades the tab's own ES; 2 = first other tier, Sim102 trades MES; 3 = second other tier, Sim103 trades NES.

The square's tooltip says the same thing: "Click to cycle this follower's Cross Order target: Off, then each available counterpart (mini / micro / nano) in turn".

Why this changed

CME added a smaller size of equity index futures, called E-nano, for the S&P 500, Nasdaq-100, Dow and Russell 2000 (symbols NES, NNQ, NDOW and N2K). These sit below the existing micro contracts.

Before 1.7.0.0, Cross Order could only map a leader's instrument to exactly one other instrument. That works for a mini/micro pair, but it can't represent three size tiers at once. 1.7.0.0 lets each follower cross into whichever tier of the family it actually trades.

Which families gained tiers

• 12 families now have three tiers: ES/MES/NES, NQ/MNQ/NNQ, YM/MYM/NDOW, RTY/M2K/N2K, GC/MGC/1OZ, CL/MCL/QM, NG/MNG/QG, ZS/XK/MZS, ZC/XC/MZC, ZW/XW/MZW, FDAX/FDXM/FDXS and SI/SIL/SIC. The other 24 families have two.
• New tiers in existing families: NES, NNQ, NDOW and N2K (E-nano), QM (Crude Oil), QG (Natural Gas), MZS (Soybeans), MZC (Corn) and MZW (Wheat).
• 10 new families (26 to 36 in total): Soybean Meal (ZM/MZM), Soybean Oil (ZL/MZL), EURO STOXX 50 (FESX/FSXE), Platinum (PL/PLM), Palladium (PA/PAM), Solana (SOL/MSL), XRP (XRP/MXP), VIX (VX/VXM), Ultra 10-Year Note (TN/MTN) and Ultra Bond (UB/MWN).

The full list, with price-increment notes for each family, is in Cross Order Instrument Map: Supported Futures and Tiers.

What stays the same

Families with two tiers (for example BTC/MBT, 6E/M6E or HG/MHG) behave exactly like before — a simple toggle between grey and green. You only see the yellow state on families that have a third tier available. Cross Order still changes the instrument, not the quantity: 1 contract on the leader is 1 contract on the follower. To trade a different size, combine it with the Ratio copy method.

A two-tier family (6E / M6E): 1 = Off, Sim101 trades 6E; 2 = Sim102 trades M6E. There is no second other tier, so the next click returns to Off.

Safer price crossing

Some tiers price in different increments — for example, CL and MCL move in 0.01 steps while QM moves in 0.025 steps. Starting with 1.7.0.0, Replikanto rounds a copied order's price to a valid price on the follower's instrument, so the broker doesn't reject it for an invalid price. Buy prices are rounded down and sell prices up: a follower's limit order is never more aggressive than the leader's (so it may not fill where the leader's did), and a follower's stop sits at or closer to the market than the leader's. Each adjustment appears in the Log tab as [Copier] Rounded a cross-tier follower price onto the destination instrument's tick grid.

This applies to any cross between instruments with different price increments, such as Gold (GC/MGC) and 1OZ, Crude Oil (CL/MCL) and QM, Silver (SI/SIL) and SIC, and VIX (VX) and VXM. When both instruments share the same increments (for example ES and MES), the price is copied unchanged.

Things to know

• E-nano availability. Replikanto crosses into NES, NNQ, NDOW and N2K where your data provider lists them in NinjaTrader's Instrument Manager. A tier NinjaTrader can't find is simply left out of the cycle, so that family keeps behaving like a two-state toggle. Nothing breaks.
• VIX crossing needs a CFE-capable broker connection. Crossing between VX and Micro VIX (VXM) only works if your broker connection can reach Cboe CFE — for example, Interactive Brokers. NinjaTrader Brokerage does not support that exchange, so this pairing won't resolve on that connection type.
• Your existing settings keep working. After updating to 1.7.0.0 or later, saved workspaces and follower settings that already had Cross Order turned on continue to work automatically — there's no manual migration step, and they resolve to the same instrument they always crossed into before. Followers that already had Cross Order on before Replikanto 1.7.0.0 keep crossing exactly as they did, through the previous map; to use the new families or the nano tier, click the follower's Cross Order square until it shows the target you want.
• Using your own instrument file? If Documents\NinjaTrader 8\bin\Custom\ReplikantoCrossOrderRelationship.json exists, Replikanto uses only that file instead of the built-in map. Updates never overwrite it, so any copy from before 1.7.0.0 — customized or not — keeps the old 26-family map with no nano tiers. Delete it if the new map covers you, or replace it with the file from 1.7.0.0 or later and re-add your changes. See How to customize the Cross Order instrument map?
• Changing the tab's instrument keeps each follower's tier. With Cross Order on for the tab, a follower that has a Cross Order target keeps its size tier in the new instrument's family. For example, a follower set to MES on an ES tab trades MNQ when the tab moves to NQ, and the Log tab shows the Information line Cross Order target carried over to the new leader instrument at the same size tier. If the new instrument has no equivalent at that tier, Replikanto turns that follower Off instead of letting it trade the tab's own, possibly much larger, instrument. That happens, for example, to a nano target such as NES when the tab moves to CL or NG, whose third tier is a larger E-mini (QM, QG) rather than a nano. The Log tab then shows a Warning that starts Turned the follower account Off because its Cross Order target has no equivalent on the new leader instrument. Before you turn that follower back on, choose a target for it (click the square to change the target) or turn Cross Order off for it. The chosen target is kept: moving the tab back to the target's family restores it, unless you checked the follower in the meantime without choosing a target. A follower that was turned Off stays Off until you check it again. The same check runs when you load followers with Import... in the follower grid menu and when you turn Cross Order on for the tab; there the Warning says no equivalent on the leader instrument instead of on the new leader instrument. A follower whose connection was down when the tab's instrument changed is turned Off too, and comes back Off when it reconnects. Toggle on does not turn such a follower back on, and it is still Off when you reopen the workspace. If you check its Status box without choosing a Cross Order target first, Replikanto clears the old target and the follower trades the tab's own instrument, as its Cross Order square shows; the Log tab says so. Check its Ratio for that contract.
• Locked during a trade. With the property Lock follower settings while in a trade turned on (the default), a follower's Cross Order square can't be changed while that follower has an open position or a working order, and the Cross Order menu item can't be changed while any follower on the tab is in a trade.

Changing the tab's instrument: the followers of the first picture after the tab moves from ES to NQ (1). Each keeps its size tier: 2 = Sim102 goes from MES to MNQ, 3 = Sim103 from NES to NNQ.

Locked during a trade: 1 = Sim102 has an open position and a working order; 2 = its Cross Order square is dimmed and can't be clicked; 3 = right-click the left panel: the Cross Order menu item is greyed out while any follower on the tab is in a trade.

Properties > General > Lock follower settings while in a trade (on by default).