EnterShortStopLimit() Order not submitted

[csrvermaak]

Hi

I am using EnterShortStopLimit() orders, to submit orders with a given Stop and Limit. The example I am working on at the moment, takes the SMA crossover as the signal, and then takes the High/Low on the CrossOver bar as the Stop and Limit price for the order.

This works brilliantly, as per pic 1 and 2 below:





However, when the market gaps down, through the Stop and Limit prices, my order does not get filled - I was not expecting this. Please see third pic below:



Am I misunderstanding something?

My order is submitted as:


EnterShortStopLimit(1, MACrossHIGH(Close, 3, 30)[0],MACrossHIGH(Close, 3, 30)[0], "ShortEntry");

where MACrossHIGH(Close, 3, 30)[0] is the Red Line indicator, from the H/L of the CrossOver day.

Please advise?

Kind regards

[NinjaTrader_Joydeep]

Hello csrvermaak,
Thanks for your note.

If you add the below code in the initialize section of the strategy then are you getting any order rejection/cancellation messages in the Output Window (Tools>Output Window).

TraceOrders = true;

http://www.ninjatrader.com/support/helpGuides/nt7/traceorders.htm

[csrvermaak]

Hi Joydeep

Thank you for your reply. I inserted the code, but not getting any Cancel/Reject messages.

I find it interesting that it works for all the orders before, but only this specific instance, where the market gaps, it fails.

Any ideas?

Kind regards

[NinjaTrader_Joydeep]

Hello csrvermaak,
To assist you further can you please send a toy NinjaScript code* replicating the behavior to support[AT]ninjatrader[DOT]com

Also please do let me the exact steps to replicate the scenario.

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

*The "toy" just means something that is a stripped down version that isn't necessarily the whole logic. It makes things easier to rout out.

[csrvermaak]

Sure, will do. Thanks Joydeep.

[koganam]

Hi

I am using EnterShortStopLimit() orders, to submit orders with a given Stop and Limit. The example I am working on at the moment, takes the SMA crossover as the signal, and then takes the High/Low on the CrossOver bar as the Stop and Limit price for the order.

This works brilliantly, as per pic 1 and 2 below:

[ATTACH]24014[/ATTACH]

[ATTACH]24015[/ATTACH]

However, when the market gaps down, through the Stop and Limit prices, my order does not get filled - I was not expecting this. Please see third pic below:

[ATTACH]24016[/ATTACH]

Am I misunderstanding something?

My order is submitted as:


EnterShortStopLimit(1, MACrossHIGH(Close, 3, 30)[0],MACrossHIGH(Close, 3, 30)[0], "ShortEntry");

where MACrossHIGH(Close, 3, 30)[0] is the Red Line indicator, from the H/L of the CrossOver day.

Please advise?

Kind regards

That is in the nature of StopLimit sell orders. When your stop is triggered, even by a gap, an order to sell at the limit, that you specified, is entered. The price is well below that limit, so the order will not be filled.

[csrvermaak]

Thank you for your reply koganam, much appreciated.

[csrvermaak]

Hi Joydeep

Thank you for answering my query via e-mail, much appreciated.

Kind regards