What the What!

[Shyam]

I am finding fills like this in my backtesting. Any ideas?

[NinjaTrader_RyanM1]

Hello Shyam,

Thank you for your post.

Can you add the statement below to your Initialize() method for debugging information:
TraceOrders = true;

You view the debug output by clicking Tools > Output Window.

Below are the two system fill algorithms. If you don't want out-of-bar fills, you could try the liberal fill approach. Are you using a custom fill algorithm?

Default

An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.

• Limit orders only fill if the limit price was penetrated
• Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NT will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)

Liberal

An algorithm that takes a liberal approach to filling limit and stop limit orders.

• Limit orders fill if the limit price was touched
• On gap down bars, buy limit orders will fill at the high of the gap down bar
• On gap up bars, sell limit orders will fill at the low of the gap up bar

[Shyam]

Fill Type

Ryan,
It was a limit order and I used default fill type with 2 ticks slippage so shouldn't it of filled me at my limit which was 8 ticks above the entry. When you look at the chart, price never even went that high so I should have actually been stopped out.

[NinjaTrader_RyanM1]

Try switching to fill algorithm "liberal" so that you have no out-of-bar fills. For further analysis of this particular fill you would have to look at TraceOrders output.