Method to ensure limit fill on ATM strategy

[zeller4]

Hello,

I'm using the SampleATMStrategy and have looked for ways to "guarantee" a fill of a limit order.

With a 50 tick chart:
When a candle "straddles" the entry price, the fill works with the first part.
However, sometimes the High[1] == entryPriceL and Low[0] == entryPriceL so those candles don't "straddle" the entry price and wouldn't necessarily give a filled condition.

I've tried using this but not sure the logic is right:

[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]
if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000] ((High[[/COLOR][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000]] > entryPriceL[/COLOR][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000] && Low[[/COLOR][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000]] < entryPriceL[/COLOR][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000])||[/COLOR]
(High[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]1[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]] >= entryPriceL[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] && Low[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]1[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]] <= entryPriceL[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2])
)
{
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]longFilled = [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]true[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2];[/SIZE][/FONT][/SIZE][/FONT]
[FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]} [/SIZE][/FONT][/SIZE][/FONT]
[FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]if (longFilled)[/SIZE][/FONT][/SIZE][/FONT]
[FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]AtmStrategyCreate(Cbi.Action.Buy, OrderType.Limit, entryPriceL, [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2], TimeInForce.Day, orderId, [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]"AtmStrategyTemplate"[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2], atmStrategyId);

[/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT]

Is there a better way to ensure a fill?
Thanks,
Kirk

[NinjaTrader_Tim]

Hi zeller4,

I understand what you are trying to do, however there really is no way of guaranteeing a fill with a limit order. You can guarantee the price with a limit order, or you can guarantee a fill (in most cases) with a market order. The price can jump around, gap up or down, so in general, I cannot comment on any way to "guarantee" a limit order fill.

Buy market order: http://www.ninjatrader-support.com/H...html?EnterLong

[zeller4]

I understand , that's why I put guarantee in "..."!

How about the use of Bid() and Ask() (with or without OnMarketData) so that if these "surround" my limit price, I can take the one that's close to the market?

Any sample code or snippets for that?

kz

[NinjaTrader_Tim]

Hi zeller4,

You can access that with GetCurrenBid() or GetCurrentAsk() if you provider supports it.
Keep in mind this will only return the correct value in real time, live trading.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?GetCurrentBid

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?GetCurrentAsk