ExitShortStopLimit

[fiddy]

Can you please explain the functionality of the ExitShortStopLimit

My understanding is that the Limit price would be lower than the stop price
ie if price is currently at $100, the stop price might be 95 and the limit price might be 93.

ie you want to sell on a stop at 95 but not if price goes below 93.

is this understanding correct?

Based on the example in the help it suggests that this understanding is not correct at the limit price in the below example would in fact be greater than the stop price
EnterShortStopLimit(Low[0] + 2 * TickSize, Low[0], "SMA Cross Entry");

[NinjaTrader_Bertrand]

fiddy, generally for stop limit orders you activate the limit order placement via a stop order. You are correct in understanding that the helpguide example would not work for an automated script (would see order rejection) but for manual trading (so called negative stop limit order). I'll have the help-guide reflect this in the next update.

[fiddy]

how should I use this command

currently I have the following:
EnterShortStopLimit(0, true, DefaultQuantity, Low[0] - (Gap /3), Low[0]-.0001, "");

What I am finding is that the order is filled at the limit price rather than the stop price, even though the price is above the above the stop price and passes through it

[NinjaTrader_Bertrand]

I guess I don't understand why you would expect a fill at the stop price, this portion just activates your limit order placement...

[fiddy]

my interpration of how a stop limit works is that if the market is at 105 and you place a stop order at 100 with a limit of 95 if the market for some reason gaps from 105 to below 95 then your order will not be executed as it is below the limit.

Hence if the market moves through the stop price, as long as the order can be executed above the limit price then it will be executed

[NinjaTrader_Bertrand]

Correct, that's one of the dangers of using those orders types for stop loss, you could get left unfilled in this scenario in contrast to a 'pure' stop market. When simulating in backtesting you would need to keep the historical fill processing / fill types in mind, here it would fill you at the limit order price per default and never better - http://www.ninjatrader.com/support/h...a_strategy.htm