Script trades at an impossible price

[beastment]

Hi Guys,

After many hours of scratching my head, I can't figure out why I'm seeing these trades occur at the prices they do. Check out the trades at 5am on the 16th and 4am on the 20th. Both have been set to enter long at limit 1 tick above the previous day's high. As you can see, they are entering at this price even though the actual price never reached these levels. It happens in many other places too. The code is below. Any ideas?

private int quant = 10000;
private double insidelow = 0;
private double trailstop = 0;
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
Add(DBollinger(2, 20));
CalculateOnBarClose = false;
ExitOnClose = false;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (Position.MarketPosition == MarketPosition.Flat)
{

if (Low[1] <= Bollinger(2, 20).Lower[1] + 1 * TickSize)
{
if (High[0] < High[1] && Low[0] > Low[1])
{
EnterLongLimit(quant, High[0] + 1 * TickSize, "GoLong");
insidelow = Low[0];
trailstop = 0;
ExitLongStop(insidelow - 3 * TickSize,"InitialStop", "GoLong");
}
}
}

if (Position.MarketPosition == MarketPosition.Long)
{
if (Close[0] > SMA(20)[0])
{
if (trailstop < SMA(20)[0])
{
trailstop = SMA(20)[0];
}
ExitLongStop(trailstop - 3 * TickSize,"TrailStop", "GoLong");
}
ExitLongStop(insidelow - 3 * TickSize,"InitialStop", "GoLong");
}
}

[NinjaTrader_JoshP]

When you are running historically, it is possible to be filled outside of the bar. If this were a live trade, you would be the one moving the bar, but since it isn't, you see it filled outside the bar. You can try messing with the different fill types in a backtest.

[beastment]

Thanks for the quick reply Josh. I'm always impressed by the responsive support you guys give.

I played around with the fill types but wasn't quite happy so I took a look at the fill scripts, with the intent of making one that does what I was expecting.

After taking a look at these, I realised I should have been using a stop order for my entry rather than a limit order. Doh.....

Thanks,
Ben.