Fill Type: Default?

[bluelou]

I'm trying to understand what is happening to my order when I use Fill Type = Default.

Here's the set up:
1) Using strategy analyzer with 1-second bars I have a marketable limit order at 1.3700 (6E contract) to sell short at the bid (i.e, using a Bid data series).

Fill Type = Default

The bid either rests at or penetrates my marketable limit of 1.3700 for nearly 3 minutes and over 400 ticks.

2) The bid trades lower to 1.3699, last = 1.3699 and ask = 1.3700, Order status = pending. The order is not filled and is cancelled > 3 minutes later.

So, now I can't get filled with my aggressive limit order and given last = 1.3699 the market has actually moved past my limit and left my order on the book. This is in violation of the exchange rules. How is this possible?


3) Documentation:
The NT docs read that for the Default fill type "Limit orders fill if the limit price was penetrated". Which "price"? ask/bid/last?

[NinjaTrader_CalH]

Hello bluelou,

Thank you for your note.

That is what the Default FillType is designed to do. The price of the bar must pass through the Limit price in order for it to get filled.

With the Liberal FillType price of the bar only has to touch the Limit price to be filled.

Additionally, the price is what you set it as when you set the DataSeries section for the backtest.

Let me know if I can be of further assistance.

[bluelou]

Cal,
The price did pass through. The order never filled. It was cancelled well after the market traded even lower.

Hello bluelou,

Thank you for your note.

That is what the Default FillType is designed to do. The price of the bar must pass through the Limit price in order for it to get filled.

With the Liberal FillType price of the bar only has to touch the Limit price to be filled.

Additionally, the price is what you set it as when you set the DataSeries section for the backtest.

Let me know if I can be of further assistance.

[bluelou]

So, the strategy analyzer violated time-price priority. It just left my order on the book and traded right past it.

Another question: my print log matches the time stamps in the Orders tab and my bid/ask series charts.. Fill times in the Trades tab don't align with the print log/Order tab/chart. Why is that?

[NinjaTrader_CalH]

Bluelou,

Have you tried using TraceOrders = true; in your Initialize()?

This will print out to the Output Window on what is occurring with the orders and potentially why it didn't get filled.

[bluelou]

Cal,
Using it now but was using IOrder interface messages all along.

1) I can see a short limit order placed at 1.3700, market is 1.3701 ask x 1.3700 bid.
2) Subsequently, bid bounces around 1.3700 to 1.3698 for next 3 minutes (mid morning ET - so peak volume period)

3) Order is Cancelled 3 minutes after it was Accepted
--My limit was on either side of the spread for 3 minutes.

4) So, the way I see it my sell limit is marketable and trades lower and becomes non-marketable, switching b/t the 2 conditions several times over a 3 minute period, but the order is ignored.

How does fill type = default ignore a marketable limit and trade through it w/o a fill?

5) Note: order IS filled when fill type = liberal, but IS NOT when fill type = default

[bluelou]

Cal,
This link might help.

http://www.cmegroup.com/confluence/display/EPICSANDBOX/Matching+Algorithms

I'm trying to take liquidity with an aggressor order and NT seems to be ignoring it.

[NinjaTrader_CalH]

Bluelou,

With the multiple data series you are adding, the bid and ask, are you using any BarsInProgress checks in the OnBarUpdate?

With the order getting filled with the Liberal, is it getting filled out of the bar or in the bar?

Can you provide a screenshot of what you are seeing as well?

[bluelou]

Bluelou,

With the multiple data series you are adding, the bid and ask, are you using any BarsInProgress checks in the OnBarUpdate?

With the order getting filled with the Liberal, is it getting filled out of the bar or in the bar?

Can you provide a screenshot of what you are seeing as well?

Cal,
I'm using 3 data series. Bid, Ask, and a slower series. I have BIP checks on all 3 series. The bid and ask series are run at 1-sec resolution for quick backtests, and 1-tick otherwise. So, I don't think "getting filled out of the bar" applies since NT only goes to 1-sec time stamp resolution.

There's really no screenshot to provide. I generate an output log with all of the bid, ask, and IOrder info. I can email this to you.

***Let's back up for a sec...
How would YOU submit an aggressor order? Would you never use Fill Type = default and only use Fill Type = Liberal? Obviously, I'm trying to take liquidity in all situations but it doesn't appear Fill Type = Default will permit this.

[NinjaTrader_CalH]

Bluelou,

In your first post you stated that you placed the Sell Limit order at 1.3700.
Then the price went to 1.3699 which is one tick lower

In order for the Default FillType to fill the order, the price would have had to go to 1.3701. Not the other way around.
In this instance, the price did not go through the 1.3700 for the Default FillType to fill the order.

However, when you did the Liberal FillType, this price touched the 1.3700 and that is why it got filled.

[bluelou]

Bluelou,

In your first post you stated that you placed the Sell Limit order at 1.3700.
Then the price went to 1.3699 which is one tick lower

In order for the Default FillType to fill the order, the price would have had to go to 1.3701. Not the other way around.
In this instance, the price did not go through the 1.3700 for the Default FillType to fill the order.

However, when you did the Liberal FillType, this price touched the 1.3700 and that is why it got filled.

Ah, yeah, that does make sense. So, if you're taking liquidity it doesn't make sense to use fillType = Default ever. Do you agree?

I was thinking the other way around. If I'm aggressing I figure if the best bid has cleared out and traded a tick lower then there's no way I wasn't filled. Probably too conservative but that was the idea.

[NinjaTrader_CalH]

Ah, yeah, that does make sense. So, if you're taking liquidity it doesn't make sense to use fillType = Default ever. Do you agree?

Bluelou,

This will depend on how you feel the about when to get filled. I am not an active trade and cannot comment on the matter.

[bluelou]

Bluelou,

This will depend on how you feel the about when to get filled. I am not an active trade and cannot comment on the matter.

Cal,
I understand and I appreciate your help. However, I think it could only help NT, in general, to understand market microstructure issues better since this is what your customers have to deal with.

[koganam]

Bluelou,

This will depend on how you feel the about when to get filled. I am not an active trade and cannot comment on the matter.

Really?! I thought that everybody who works for NinjaTrader is an active trader. My mistake.

[bluelou]

Cal,
Given what I've learned in this thread about NT fill types the "Backtest a Strategy" section in the help file is misleading and should probably be changed.

It is incorrect to say that the Default fill algorithm is "An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders".

If anything, the Default fill algo is totally unrealistic when using aggressive limits/taking liquidity.