Stop Orders at Session Start which are immediately executable

[Joerg]

Hello,

lets assume the following scenario:

Session Time: 7:00 - 19:00
First Tick (Open) at Session Start: 1.3500 (EURUSD, yesterdays "close" 1.3600)
Strategy submits a SellStop @ 1.3520 after first tick of the session (ExitLongStop() )

In live trading this stop gets filled at my broker (IB) which is correct for my understanding and which I´ve seen already.
But when I recalculate the strategy (backtest) it gets no fill at this point. If the price would go down further I propably never would get filled because my stop level was "overjumped"?

Thanks a lot.

Joerg

[NinjaTrader_Jason]

Hello Joerg,

Unfortunately I am not sure if I follow. If the current price would be 1.3500, you cannot submit a sell stop order above this price. You would receive an error message stating sell stop orders cannot be submitted above the market price.

In addition, please note that you can expect differences when running a strategy in real-time compared to backtesting it. Please see the following link for more information.

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

[Joerg]

Your understanding of my problem is right but it is possible to send such stop orders in live trading to IB. I´ve just done it yesterday (my ninjascript has done it). Also chart-trading in NT allows it. In the log file I see an information that the stop price is above the current price but the order was sended and executed. And that is exactely what I would expect. An info-message and an execution anyway.
If I would have transmitted the order bevor the opening (in an market which is really closed overnight) this stop also gets filled after the open.

Just NT seems to skip such orders during backtest? I understand the differences between realtime and live trading but this behaviour should be changed in my opinion. Or is there any way to set it up?

Thanks

Joerg

[NinjaTrader_Jason]

The bid price must have been higher than the stop order price for the order to be submitted.

You can test it in simulation yourself in a SuperDOM - as soon as you submit a sell stop order above the bid price, you receive an error message.

Please note that during a backtest orders will not be submitted intra-bar, but only after the close of a bar, since only OHLC values are known by the Strategy Analyzer. Could it be the condition to submit the order is not valid after the close of the bar, but it is only valid intra-bar?

Unfortunately there is no way to resemble the behavior of the Strategy Analyzer to real-time trading.

[Joerg]

The bid price must have been higher than the stop order price for the order to be submitted.

You can test it in simulation yourself in a SuperDOM - as soon as you submit a sell stop order above the bid price, you receive an error message..

I tested in Chart-Trading and in der OrdersTab of ControlCenter with IB PaperTrading Account and in both cases it was possible to send a Sell-Stop-Order above the current market bid and it was executed immediately. To avoid such orders in SuperDOM makes sense to me but when sending orders directely (f.e. NinjaScript or Simple Order Entry) it should be possible and it is with IB.

Please note that during a backtest orders will not be submitted intra-bar, but only after the close of a bar, since only OHLC values are known by the Strategy Analyzer. Could it be the condition to submit the order is not valid after the close of the bar, but it is only valid intra-bar?

Yes, I know. I´m working with calculation at the end of the bar on intraday Bars. All Orders are GTC. This should not be the reason.

All in all: I think the realtime behavoir is right and fine for me. Just during backtests NT should habe a similar behavoir after gaps.

Thanks a lot.

Joerg

[NinjaTrader_Jason]

Hello Joerg,

I see - I can submit sell stop orders above the market price using the Control Center-->Orders-tab as well.

Unfortunately it will not work this way in the Strategy Analyzer.

[Joerg]

Hi Jason,

in my opinion this is a major bug in the Strategy Analyzer. Any exchange I know works this way. The release of NT7 should be a good possibility to change this behavoiur.
I am not a programmer but it should not be too complex because it is a general rule which should apply for the whole session? If I sell stop above the market then it gets a market sell order. For buy oders vice versa.

Or if this bevaviour is part of the managed order routing it should be changed for session opening at least. Otherwise the strategy programming is getting much more complex (because one has to catch overnight gaps manually) and the current behaviour does not fit to realtime behaviour.
NT7 sends orders at session opening (which is improved since NT6.5) but then it has to send also such stop-orders.

Thanks.

Joerg

[NinjaTrader_Jason]

Hello Joerg,

I will forward your suggestion to be able to submit sell stop orders above the market price in the Strategy Analyzer (and vice versa) to our Development team as and ask them if they can add this to the list of future considerations of the software.

Thank you for your feedback.