Strategy Limit Order Exits

[slimm]

On SIM, some times the strategy triggers order filled when the target price is traded (but not through it). Other times it does not if it does not trade through it. Example: On my SIM account a strategy was running in the ES today. Price trades down to the target but not through it. Strategy does not exit. A few minutes later, it trades down to that exact price again and again does not trade through it but this time strategy exits at that price.(I always have fill type = Default.) In that situation the fill would not happen in a brokerge account since the exit is a limit order at the exchange that would not trigger until it trades through it.


Is the exit treated the same in a live account? If so, the chart and strategy and the live account could get out of sync as the strategy will trigger filled and flat when the price touches, where the actual brokerage account will still be sitting with the target and the stop order until it trades through the price and gets filled. if it does not trade through the price, then there is a problem.

Does Ninja trader treat limit exits the same in live vrs.SIM? Does it know or check that the fill from the brokerage account has or has not occurred? Otherwise it could show filled on the chart and not actually be filled and would not continue to manage the trade?

Thank you.

[NinjaTrader_RyanM1]

Hello Slimm,

Welcome to our forums.

Simulated is not the same as a live account. Please see this article on some expected differences.

http://www.ninjatrader-support.com/HelpGuideV6/DiscrepanciesReal-TimeVsBacktest.html

A limit order doesn't necessarily have to "Trade through" the price. When you set the limit order, you're saying "I want to be filled at this price or better." If someone agrees to this price then buyer and seller have met and the trade is made. Your fill isn't determined by what happend historically but rather the current market dynamics.

You can set how NinjaTrader will behave in the event your order is rejected with RealTimeErrorHandling.

http://www.ninjatrader-support.com/HelpGuideV6/RealtimeErrorHandling.html

[slimm]

Generally, limits will not get filled if the price does not trade through. (Trading ES) If the limit order does not get filled at the account, will the strategy show the exit on the chart and consider the trade closed?

If so they will be out of sync.

Does it know or check that the fill from the brokerage account has or has not occurred? Otherwise it could show filled on the chart and not actually be filled and would not continue to manage the trade?

[NinjaTrader_RyanM1]

Hi Slimm,

The state of the order is reported by the broker. NinjaTrader then interprets this information and determines if there should be a fill. Please see this page which displays the potential order states.

http://www.ninjatrader-support.com/HelpGuideV6/IOrder.html

[slimm]

So given the state of the order condition, the stategy will not consider the positon closed and will contimue to manage the trade until the broker reports the limit order as filled, no matter what has happened to the price?

[NinjaTrader_RyanM1]

Slimm,

Yes this is true if you are using strategies in real-time and connected to a live broker account.

It will work differenly during a backtest or on a simulated account.