Using NT7 with Interactive Brokers. I place a short limit order for 150 shares at limit price 134.74. This order had 2 parial fills, 100 shares at 134.74 and 50 shares at 134.74, but TWS shows Avg Fill Price at 134.73333. The NT log shows that NinjaTrader received a message saying fill price at 134.733335, and my NT ChartTrader shows a fill at 134.73 (rounded down).
The result of all this is that my short limit order got filled in the market at 134.74, but NT ends up thinking the fill was at 134.73, which should be impossible for a short limit order.
This screws up my ATM atuotmated stop and targets by 1 tick, and this 1 tick difference could mean the difference between a wining or losing trade.
IB says that their avg fil price calculation includes commissions, that's why an actual market price of 134.74 fill ends up being reported as 134.73. I believe this is unacceptable, they are falsifying the actual technical market fill price of an order, and therefore any decision made on that price will be erroneous. The IB API should report the actual fill price separately from the commissions associated with a trade, so that decisions can be made on actual and correct data. If not then NT needs to take this up with IB and demand that they report the true and correct fill prices, as they are currently reporting falsified data.
In the mean time, Is there any way around this? Am I missing something?
The result of all this is that my short limit order got filled in the market at 134.74, but NT ends up thinking the fill was at 134.73, which should be impossible for a short limit order.
This screws up my ATM atuotmated stop and targets by 1 tick, and this 1 tick difference could mean the difference between a wining or losing trade.
IB says that their avg fil price calculation includes commissions, that's why an actual market price of 134.74 fill ends up being reported as 134.73. I believe this is unacceptable, they are falsifying the actual technical market fill price of an order, and therefore any decision made on that price will be erroneous. The IB API should report the actual fill price separately from the commissions associated with a trade, so that decisions can be made on actual and correct data. If not then NT needs to take this up with IB and demand that they report the true and correct fill prices, as they are currently reporting falsified data.
In the mean time, Is there any way around this? Am I missing something?
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