URGENT Please : unexpected execution price changed by Ninja

[Nevada]

Hello, I need your support for a big issue I have encountered yesterday during the execution of a strategy on real market data.
I have a strategy that at some point trigger an entry limit order like this one
IDEntry = EnterShortLimit(BarIndex, true, Quantity, LimitPrice, EntryName);
Ninja get market data with IQFeed connection and place orders with Interactive Brokers platform connection.
After submit, my strategy trace the order through custom OnOrderUpdate and OnExecution functions untils I get the filled price (using Instrument.MasterInstrument.Round2TickSize(order.A vgFillPrice)).
Then I can do my calculation to trigger the exit using market data related to the filled price I have read.
The problem is that yesterday happened 3 times that during order execution ninja has changed the execution price to an arbitrary fixed price reporting this price as fill price of the executed order, while IB platform has received the correct entry price and has executed the entry at the right price. This differences caused the strategy to make incorrect calculation resulting in money loss on that market position.
I have found in ninja log an entry like this one :
first issue occourrence
12:51:13 Default execution price '10138.5' was set to '10160' price (00011d8a.55f66ae7.01.01) second issue occourrence
12:55:58 Default execution price '10150.5' was set to '10160' price (00011d8a.55f66b0c.01.01) third issue occourrence
15:50:22 Default execution price '10102.5' was set to '10160' price (00011d8a.55f67575.01.01)
WHY???
Why ninja has made this change? Why with that fixed price (10160)?
Ther is no other related errors, the market data were normal (no bad data, no unexpected price gap or acceleration), why on only some trade (3 trade was correct, 3 with thw issue)?
Why now?
I have been working on this strategy since 2 years and I have made a lot of testing without having this issue.
Now, after finishing my testing and going real I have had this bad issue.
I have made some search on the web without finding any information about this kind of log entry for ninja.

Please give me support as soon as possible...
I send you attached the log and trace file.

Thank in advance.
Regards

Renato B.

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

I will be looking into this, I would like to gather some more information.

Can you tell me, are you using TWS or the Gateway API when connecting?

Also if you are using TWS, can you tell me what version of TWS you are using? You can find this in the About menu or when you start TWS on their splash screen.

I look forward to being of further assistance.

[Nevada]

I am using the TWS, not the api.
I am using the version that is upgraded automatically, at the moment the version is :
Build 952.1d, Sep 10, 2015 3:06:40 PM

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

This version is actually not supported, the current supported version of TWS would be: 944.3

http://ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide

This could be part of the problem, if the incorrect versions are used the platform could perform unexpectedly.

Additionally this could be if you were submitting to an older contract in NinjaTrader for a futures instrument and IB had used the current contract price.

Can you tell me what instrument this was and if futures the expiry used for the order?

I look forward to being of further assistance.

[Nevada]

Hello, I'm submitting intraday GTC orders on DAX Future 09/15

Ok about the version of TWS, I will try to install the older standalone version.
(But what about if in the future I will have issues due to something corrected in later version of TWS? Do you will respond about that? IB will not for sure... Can you confirm to me that I will not have any other problem using the TWS older version?)

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

I can only say that this is the supported version of TWS known to work with NinjaTrader, I am un aware of any changes they make in their updates, for this you would need to ask IB regarding using TWS by its self and any repercussions of that. otherwise there have been no reports of any issues using this version with NInjaTrader.

I look forward to being of further assistance.

[Nevada]

Ok, thank you for your answers.
But what about my issue? I have to consider that you have no idea about the reasons except the fact that I was using the TWS "unsopported" version?

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

The unsupported version would cause issues so that was mentioned.

Based on the order type being a limit order, it can fill at the price specified or better. Based on market conditions it looks like it filled at a higher price.

Please let me know if I may be of further assistance.

[Nevada]

Ok again about the TWS version, I'm using now the supported one.

But if you read again my first post and the log and trace files you can see clearly that is not a limit order filled at a better price... (as confirmed by the TWS that execute the order at the exact limit price).

In log file there is a clear ninja message that say that the software change the price by itself, without an explanation (and without take care about what are doing and saying TWS).
In your answer there is no explanation about the source of that kind of message, except "maybe" the unsupported version of TWS.
Now I'm using the right version, and all I can do is to hope that the issue does not occour again making me loosing other money...

Hoping not to have to resume this thread in the future.

Thank for your support...
Regards,

[Nevada]

Unfortunately no much time is passed, and I have to resume this thread.
As I said before, now I'm using the supported version of TWS, and this morning the issue is happened again. Same unexpected price changed by ninja. I attach the new log and trace file, hoping you can find what is causing this issue.

[Nevada]

As the issue is well identified by an entry in the log file, it could be a good starting point to know which kind of ninja events could raise that message.
thanks again for the your support.

[NinjaTrader_Jesse]

Hello,

Thank you for the additional files.

Regarding the message you are getting, these are coming directly from IB as these are not NinjaTrader messages. NinjaTrader reports the messages from the broker regarding orders, so this would be one of these items. The messages seem to be referring to the price of the order vs what the order was filled at but I do not have details for these exact messages.

For these specific messages IB would have more information to provide that I would, I would suggest contacting IB to verify the message details.

With more information from the broker it may be more apparent what is happening regarding the orders and the prices being reported for them.

I look forward to being of further assistance.

[Nevada]

Are you saying that this kind of ninja log messages

"execution price '10102.5' was set to '10160' price (00011d8a.55f67575.01.01)"

are generated by the TWS?
It means that is the TWS that make this execution price change?
It's strange, because at the end, TWS execute the order at the original correct limit price.

[NinjaTrader_Brandon]

Hello Nevada,

Thanks for your reply.

I am the technical support lead her responding on behalf of Jesse.
Please do not publicly post your log and trace files. I have once again deleted these files from this forum topic as this includes private information about your account.
I have reviewed your log and trace files from the 17th and I do not see the price change you are referring to. At what time is this price change so I can look into this further.

[Nevada]

Hello Brandon, thank for what you said me and done about my log and trace file.
on 17th the execution price change is happened at 15:30.16 and at 15:32.36.

now I have activated also the full log of TWS, so if the issue happen again I can look deeper also in that log.