Analyzing weird very short time-frame behavior

[pstrusi]

Hi Ninjas,

I have a situation here that I can't still understand quite well, cause for sure it has to do with transmission order's velocity and the filling process when the Script is in "live" trading. This issue doesn't occur in backtest.

As you can see in the chart attached, there's a a very short time-frame range bar chart, there you could see the following example about what I mean:

At 7:15:39 the system opened a short position, holding it until 7:16:41, when a new bar is created, opening at 1.35885 and the system triggered correctly a BUY order to cover. As you can see in the chart despite the open of the new bar is at 1.35885 , the BUY order is filled upper, at 1.3589

I'd like to know why does this happen, and what could I do in order to prevent it or minimizing it ?

Thanks

[NinjaTrader_CalH]

Hi Pstrusi,

Thank you for your post.

To clarify, What do you set your CalculateOnBarClose to? True or False?

[pstrusi]

Of course on True

[pstrusi]

I was reviewing tick by tick the building of those bars in the example and there's not any tick out of that range, the only logic reason would be simply that all those prices in the EURUSD are always BID prices, so when the system triggers a BUY order it will fill it possibly at the ASK prices, which generally is halfpip above BID.

If you have any other idea or suggestion please share.

Thanks

[NinjaTrader_CalH]

Pstrusi,

Yes, with long market orders you will get filled at the Ask price. If you change the chart to an Ask chart you will see your executions closer to the bar values that you are looking for.

Something to consider as well is that there is the spread with the Forex which is generally greater than the that of Futures.

Additionally, with market orders you will get filled at where ever the market will fill you at.

Let me know if this helps