Limit orders in a fast market

[cicondo]

Hi support team!

Sometimes I get a rejected order. The error tells me that it is not possible
to place a buy/sell limit or buy/sell stop limit order below/above the market.
I check at first the condition which order I want to place but sometimes this error occurs. How do I make sure that this will never happend, during a running automated system.

Any suggestions?

Markus

[NinjaTrader_Bertrand]

cicondo, thanks for the post - do you also check agains the current bid / ask prices before submitting the orders?

[cicondo]

Hi Bertrand,

on external data feed there is no spread (for testing the strategy I feed tick data to the system!). But this error occurs in the realtime market too. There I have a spread. But in my implementation I do not use the Bid/Ask yet. What should I do that it is working in a manner I like?

Markus

[NinjaTrader_Austin]

Markus, Bertrand is based in Germany, so he won't be back until tomorrow morning. In the meantime, I'll try to answer your question.

I think Bertrand is talking about checking the bid/ask prices before you submit your order to make sure it is on the right side of the market. You could use GetCurrentAsk() to get the ask price, and GetCurrentBid() for the bid price. Then, once you have the bid/ask, you can just check to make sure you're not placing orders on the wrong side of the market. For example, you wouldn't want to place a buy limit order at 895.50 if the current spread is 896.25/896.50.