ZS price feed different from trade price

[marcoheimann]

Hello,

I have a price issue with a strategy I wrote for the ZS contract. Broker and data is IB.

Charts in TWS displays the price like this: 1483 1/4. NT like this: 1483.25. So the tick size is correct in both. However when my system enters a trade the execution price is returned like this: 14,8325

So I immediately get a huge virtual profit, and all my trade management logic no longer works. Has anyone had similar issues, and found a solution?

Marco

[NinjaTrader_Jason]

Hello Marco,

Unfortunately this is a known issue with IB. Executions report price different than received. We await development on the IB side to correct this issue.

[marcoheimann]

Hi Jason,

Any idea how long this will take? A workaround would be to store the expected price from within the strategy logic, but then slippage becomes an issue in backtests. I also would have to spend some time to recode.

Also, do you have a list of instruments where this issue is known? This is a technical issue and I don't want it to happen again in other strategies.

Yours,

Marco

[NinjaTrader_Jason]

The issue affects the ZC, ZW and ZS. Unfortunately I do not have an ETA when this will be fixed.