Stop Limit Orders - issue?

[Brian1]

I am trying to catch a runner after it breaks out of the day's High. Before it breaks out (say at 12900 on YM - Dow Futures) and while the market price is still below my entry, I enter a Stop Limit order by left-clicking on the chart to set the trade up, using a Strategy. I enter "15" as the number by using my mouse wheel. The confirmation comes up "Do you want to ... Buy stop limit 5 contract(s) YM ... @ 12905 x 12920". Everything seems okay and the order is placed. Once 12905 is hit, it seems to trigger the order and I am in, even though 12920 has not been hit.

I have tested this 3 times, twice today. Every time it triggers the order (voice says "Order filled"), while the High of Day is still well below the actual triggering price 15 ticks higher.

YM ticks are 1 tick per point. I have checked that the Instrument Manager for YM shows only 1 as the Tick Size. (5 as the Point Value.)

Am I missing something? This doesn't seem to be working correctly.

Brian

[NinjaTrader_Jason]

Hi Brian,

Can you please verify the submitted the order at a price of 12905.

The value you entered as "15" represents the offset for the stop limit order. Meaning your order can be trigger between 12905 and 12920. From what I read the behavior is as expected. Your order gets triggered at a price of 12905, which is valid according the way you setup the trade.

[Brian1]

Hmmmm ... that's too bad. When I use IB orders, they work as I expect. Meaning that the order is triggered at 12920, creating a Limit order at 12905. So the market has to come back and pick you up.

Are you saying that the order gets triggered anywhere from 05 to 20?? I do not follow that logic. We are setting a range of 15 ticks that an order can be triggered during?

How might I accomplish what I would like to do here?

[Brian1]

I've re-read the document, and still believe that it should behave as I suggest. From page 833:

Stop Limit Order

When submitting a stop limit A numeric field (image below) will appear that represents the number of ticks away you wish the limit price of the stop limit order to be placed at. Either by using your mouse scroll wheel or clicking on the up/down arrows in the numeric field, set the number of ticks and press the "checkmark" button to complete the order submission. Pressing the "x" button will cancel the order submission operation. For example, if you intend to have an order with a stop price of 1000 and a limit price of 1001 (4 ticks spread for the SP Emini contract) you would set the numeric field value to 4. Following the same example submitting a sell stop limit, setting the numeric field value to 4 would result in a stop price of 1000 and a limit price of 999.

I still believe that 12905 should be the Limit Price, when "15" is entered in the StopLimit order. And that 12920 should be the triggering price (the stop).

So I think there is a bug.

[NinjaTrader_Eamon]

I've re-read the document, and still believe that it should behave as I suggest. From page 833:

Stop Limit Order
When submitting a stop limit A numeric field (image below) will appear that represents the number of ticks away you wish the limit price of the stop limit order to be placed at. Either by using your mouse scroll wheel or clicking on the up/down arrows in the numeric field, set the number of ticks and press the "checkmark" button to complete the order submission. Pressing the "x" button will cancel the order submission operation. For example, if you intend to have an order with a stop price of 1000 and a limit price of 1001 (4 ticks spread for the SP Emini contract) you would set the numeric field value to 4. Following the same example submitting a sell stop limit, setting the numeric field value to 4 would result in a stop price of 1000 and a limit price of 999.

I still believe that 12905 should be the Limit Price, when "15" is entered in the StopLimit order. And that 12920 should be the triggering price (the stop).

So I think there is a bug.

Brian,

This is working as expected.

For a buy order the trigger (stop) price will be above the market price. Once this order is 'hit' the order then reacts as a limit order. Meaning that once your price has been reached @ 12905 a limit order of 12920 is working. This is because you want to pay lower when buying. So you're willing to accept a fill of 15 ticks worse to ensure that you are filled within your specified range. The rules of the market state that an order will be filled at the best possible price. For a buy order this is a lower price. When you are using a stop limit order you are stating that you will accept a worse fill from your stop price of 15 ticks or up to 12920.

[Brian1]

Okay. So this sure doesn't work as I'd hoped.

Do you think what I'm looking for, is to use a negative numeric value of "-15"? Again, I want to Stop (trigger) at 12920, to place a Limit order at 12905. My buy order wouldn't then kick in until it pulls back to 12905.

Thanks

[NinjaTrader_Jason]

Hi Brian,

You can do the following. Submit your stop limit order at 12920 with an offset of -15. You now submit a simulated order. More information can be found in the link below regarding simulated stop orders.

http://www.ninjatrader-support.com/HelpGuideV6/Overview12.html

Once your stop limit order is filled at 12920, it will submit a limit order at 12905.

[NinjaTrader_Eamon]

Okay. So this sure doesn't work as I'd hoped.

Do you think what I'm looking for, is to use a negative numeric value of "-15"? Again, I want to Stop (trigger) at 12920, to place a Limit order at 12905. My buy order wouldn't then kick in until it pulls back to 12905.

Thanks

Brian,

If you use a negitive value this will enter a simulated order meaning that your stop is simulated and based on your PC. However, beyond this the order will function as you expect.

[Brian1]

Okay, I have a pending order that seems to be operating as desired by using the negative offsetting numeric approach. Thankfully, something will do what I need. Now I just need to come to terms with the Simulated Stop caveats.

I am curious as to why NinjaTrader does it this way. The behavior I'd expected is the standard Stop Limit Order on IB. So it wouldn't be necessary to have it as a Simulated Stop (stored locally). IB can handle it. Are other brokerages forcing NinjaTrader to deal with Stop Limit orders so differently?

Thanks for helping me with this. I very much appreciate your responses.

Brian

[NinjaTrader_Ray]

Stop limit orders where the limit price is better than the stop price is NOT a standard stop. Most if not all brokerages will reject this as invalid. This is a value added feature in NinjaTrader called a negative limit stop limit order.

[Brian1]

Okay. But understand that it is also a value added feature of IB as well. Perhaps we can find a way to take advantage of it (i.e. storing the stop limit on IB servers).

Thank you all for clarifying this to me.

Brian1