Connection + Receiving data

[MasterSepp]

I will look online, but I still don't get it. When I set a limit buy order at 10'000, this means that I offer my contract for 10'000, so this is a bid offer.
Now the market is on 10'000 and it will only go lower, if every buy order at this price is filled (who wants to sell for less than he could get?). So this means that my order first has to be filled, in order that the price can go lower. What am I missing?

Regards,

Sepp

[NinjaTrader_Ben]

Hello,

What we mean is the price (last traded price) peaks above/below your limit, then it goes back down/up to a point where you would not want it to fill and the order did not have an opposing order to fill your order (not liquid enough).

[MasterSepp]

But how can it peek over my limit price? For example, let's say sell limit order at 10'000. This means, that there is at least one order (my one) with an ask price of 10'000. Assuming, the actual price lies below (on 9'900 e.g.) this also means, that is impossible that the price could get higher than 10'000 without filling my order, because this would mean (I'm repeating myself, I know ), that someone bought a contract at 10'001, although he would have had the possibility to buy it at 10'000 - and who spends money for nothing?
That's the whole point I'm not getting... to get to a higher price, first all the sell orders with lower limit prices have to be filled, haven't they?

Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

Ideally, yes it would fill every price inbetween, but unfortunately that is not necessarily true based on the data you receive from the data provider. To easily see the issue, try charting a fairly illiquid stock. You will see price can be several ticks away from the previous tick with nothing traded inbetween.

[MasterSepp]

But I understood it like this, that this fluctuations are caused because there aren't any offers between. I mean, the price builds based on the order book. It is there, where buyer and seller agreed to a price. A normal order book (to get the example of the last post) looks like this:

Buyer Seller

10'002
10'001
10'000 (my order)
9999
9998
9996

Ok, this means that there is a buyer who would buy the contract at 9'999 which is at this moment the highest buy offer. On the other hand, there am I, who would sell the contract for 10'000 and therefore I offer the contract for the lowest price.
Now there are two possibilities:

1.) Anyone sells a contract for 9'999 and the price doesn't get reached another time. The highest price is below 10'000, which means that my order doesn't get filled (perhaps it also can be at 10'000, but not above).

2.) Anyone buys a contract for the best offer (=lowest price), which would be my offer. My offer gets filled, an after that the next offer is on 10'001 and if this one also gets filled, the highest price is above my offer, but my offer still got filled. There is no possibility that the price can get on 10'001 without filling my order at 10'000.

The situation now is like in possibility 2, but without that my order gets filled. That's why I'm asking here for the reason. I tried to explain you my point of view as careful as possible, I hope this can help you to dissolve my confusion.

Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

Ultimately if you feel your order was not filled you need to talk to your brokerage. We have no information as to why your order could/could not be filled.

If you are simulating, for sure 10'000 will not be guaranteed a fill as that is not a real order and does not influence anything.

Could also simply be a bad tick in your data feed to show you 10'001.

[MasterSepp]

I'm only simulating, so your first explanation falls away. I also compared the NT data with the data from the exchange, and saw almost no differences.
My idea is, that it could be kind of a bug in NT. Let's say, there's only one trade, which peaks the price over my limit price: in reality, this trade would have been filled with my offer instead of the higher one. This means, that in reality, the price perhaps wouldn't have peaked above, but stayed on my limit price.
I don't know, how NinjaTrader is programmed, but I think you could handle this problem, if you write a command like that every order gets filled, once there is a price below/above the limit price, because as I explained before, it is actually impossible to not getting filled your order, when it is the "best" (lowest/highest price offer). Or am I still missing something?

EDIT: I've just observed, that the price not only peaks above my limit price, it really rises above. For example, look at the YM, 5 minute bars, about 1.5 hours ago (11AM chicago time I guess); I'm referring to the bar with open 9776, high 9787, low 9758 and close 9759. My profit target was at 9779 and it didn't got filled. How can this be?

EDIT2: I've looked again, and there were in the log even the confirmation of a profit target.
02.11.2009 16:58:39 Order Order='1ab34605dfd74b4686d512436b1532fa/Sim101' Name='Profit target' New State=Working Instrument='YM 12-09' Action=Sell Limit price=9779 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''


Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

When simulating your order is not in the real exchange and has no impact on fills. It can jump up and down completely disregarding your prices as that is the market dynamics without you in it.

You can try going into Tools > Options > Simulator and checking Enforce Immediate Fills.

[MasterSepp]

Ok, this would be a possibility, but then I could also just backtest it at the end of the session. I wanted to use the dynamic fill algorithm, because I wanted to know, if every order gets filled in reality. But for that, I guess I have to try it in real.

Regards,

Sepp

[NinjaTrader_Bertrand]

Correct, the simulator is just an approximation (much closer to reality as others filling you on first touch for limits for example), but the ultimate test is getting the fills live in the queue.

[MasterSepp]

Thank you for your answer.
Finally, just to make sure, I'm not running in the open knife: my suggestion was right, right? So in reality, the last traded price can't be better (=higher/lower) than my order without getting filled the last one? (If you don't know exactly, what I mean, reread please my explanation in post 50)
And one final question: in which order oders get filled at the same price? The one which was set first, will also be first executed or what?

Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

Your assumption is only true when you are actually in the market with a live trade. In simulator your assumption is not true and will not hold.

The queue is generally first in first out. Whoever asked for that price first will generally get it first.