Limit Orders in Multi-Timeframe Strategy Not Filling Correctly

[TheTradingMantis]

The attached simple strategy demonstrates a problem I am having with limit order fills in a multi-timeframe strategy in NT7, Beta 20. I am using Market Replay and have not comfirmed this same problem exists in live trading.

Based on the Close in BIP=0 (5 minute), a long limit order is entered in in BIP=1 (1 minute). Penetrations of the limit order do not fill unless the Close in BIP=1 is below the limit order price.

I get this behavior if Fill Type is set to Liberal or Default.

[NinjaTrader_Bertrand]

Greg, the fill type is not important here in Market Replay, it's only applicable to backtesting - you can try adjusting the simulator options under Tools > Options > Simulator, if you want to be filled on a touch immediately, try the 'Immediate Fills' options please.

[TheTradingMantis]

I have the immediate fills option checked. See the attached screen capture of my settings.

[TheTradingMantis]

I ran the same strategy on 6.5 and Limit Order fills work exactly as I would expect... fills occur when limit price is touched. Watching the strategy run in 7.0, I've noticed that it actually takes more than a close below the limit price, sometimes it has to close several ticks below the limit price before a limit order is filled.

Definitely a bug in NT7.0 B20

[NinjaTrader_Bertrand]

Greg, thanks for testing also in 6.5 and comparing, I'll give this a run here and check into.
(of course not getting filled on first touch may also be a valuable prep for trading it live).

[TheTradingMantis]

Yeah unfortunately it is more realistic, I wish all my limit orders got filled on the first touch. Would fire my broker though if I did not get fills after trading thru price.

[NinjaTrader_Bertrand]

Which market were you exactly using Greg? I just replayed Friday's ES 5 min primary and with 'Immediate Fills' checked I'm the first in the q and get an immediate fill, so I don't see the issue.

Thanks

[TheTradingMantis]

I was testing $EURUSD.

[luxurious_04]

Checking entry question.

I have a strategy that will call an ATM strategy and I based it from the SampleAtmStrategy in NT then I wonder if why does the example execute an orderId=string.empty when the limit is filled? If the orderID is now empty does it mean that the entire order is already done because the it is already filled on that bar? How about the profit targets, stop loss and trail stop of my atm strategy are now useless because the OrderId is now empty? Or they will continue to process the profit targets, stop loss, and trail stop even if the OrderId is empty? I am now very confuse please help.

[NinjaTrader_Bertrand]

luxurious_04, please open a new thread for your unrelated issue - thanks.

Greg, as this is recorded data from Gain / Forex.com as you use the NT7 download feature, were you testing with a setting of 'pip' under Tools > Options > Data?

[TheTradingMantis]

Bertrand, I am using 'pip' setting. Assume I should try with a smaller setting and see what happens. Do you know what the typical Gain bid/ask spread is on the EURUSD. If several pips that could explain the later fills... but it doesn't explain why the fill does not happen until a close at/below the spread.

[NinjaTrader_Bertrand]

No, 'Pip' is ok for the Gain Demo connection - the spread should be around 2-3 pips - the chart are driven on the current bid price, since there's no last...your buy limit orders would fill once touched by the ask, this what I see on NT7 as well when testing.