orders filled outside of market

[malcolm]

Hi,

I am learning to code in NinjaScript by coding simple strategies. I have a strategy that puts a sell limit order if the high of 1 bar ago is higher than the current high, and a buy limit order if low[1] < low[0].

When I create the strategy for buy only and a seperate strat for sell only, it works fine, but when I create a strat that looks for buy and sell opps, it goes wrong. The code is attached along with a picture where you can see that the orders are being filled outside the price range of the bar.

Any help would be much appreciated.

Malcolm

[NinjaTrader_JoshP]

Hi Malcolm,

One of our NinjaScript trainees will respond later today. Thank you for your patience.

[NinjaTrader_Bertrand]

Hi malcolm,

Thanks for your post.

You see this display because you use limit orders in backtesting and this always creates some fill assumptions. Since the signal bar has already closed you can only submit your order on the next bar, but also since you are using Limit orders it is possible to get fills outside of the bar. If this behavior is not what you expect options for you would be to try changing your fill algorithm to 'Liberal'.

Also you can code your own fill algorithm, please review this link for that purpose - http://www.ninjatrader-support.com/H...FillTypes.html

[malcolm]

Thank you for your helpful answer. If I want to create my own fill type, the instructions are to open the code in my code editor, how do I access the code editor as this is not a strategy or an indicator?

[NinjaTrader_JoshP]

You can open it with any editor file like Notepad or if you have Visual Studio you can open it from there.