Order gap

vladko

Junior Member

Join Date: Feb 2009

Posts: 48
#1

Order gap

01-10-2011, 09:27 AM

What happens in this case.

PHP Code:

EnterLongStop(0, true, 2, 1.5654, "gapLong")

Prices:
1.5652
1.5653
1.5655

Fill order if the price 1.5654 will be missed (gap)?
Tags: None
NinjaTrader_RyanM1

NinjaTrader Customer Service

Join Date: Sep 2009

Posts: 8128
#2

01-10-2011, 09:39 AM

Hello Vladko,

It will do different things depending on the environment.

In backtesting, there are only four data points - OHLC. Since the bar includes the range of values for a fill, it will fill this in a backtest. See here for fill processing details in a backtest.

In real time trading - if you are monitoring for every change in price and it jumps like this, the order is likely to be rejected. From one tick to another the order is valid and then invalid.

Ryan M.NinjaTrader Customer Service
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Order gap

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