Limit Order Exit

[chadc]

Hi

I have a situation where my strategy is exiting a trade before it should be. My stop loss is at 93.8319 but price only reaches a high of 93.83 (for a short trade). I have checked the historical data manager and confirmed this is the case. For this trade, I am using a limit order.

This occurred on market replay in the replay 101 account.

The strategy has 2 exit options - a market and limit order exit.

When the exit is set to a market order, the stop loss doesn't get triggered at this price.

When the exit is set to a limit order, the stop loss does get triggered even though price never exceeds 93.8319.

Naturally I assumed price would need to hit 93.84 for a 93.8319 stop loss to be activated.

My programmer asked me to post the question:

Why is Call to following causing exit at 93.83. Exact call to the function is.

EnterShort(0, 1, "Shrt MRKT 18631");

ExitShortStop (0, true, 1, 93.8319, "Stop Loss", "Shrt MRKT 18631");

Thanks

[NinjaTrader_ChelseaB]

Hi chadc,

What instrument are you using?

I ask because you may be using a number that is not an exact TickSize which may be causing unexpected behavior.

[chadc]

Hi

This was the CL 12-13 contract on the 13th of November 2013 at 2:21:14 PM EST

Thanks

[NinjaTrader_ChelseaB]

Hi chadc,

The TickSize of the CL is .01. This means that a price that is not at an exact size of the hundredths place may not be what you would expect.

I recommend that you round this to the tick size.

For example:
Instrument.MasterInstrument.Round2TickSize(93.8319 );