I think its a bug

[Baruch]

Hi,
I think there is a bug in NT internal fill.
The situation is like this:
1. I put a longStop order above the market.
2. There is a gap on the next bar.
3. My entry is filled after the OnBarUpdate with the open price of the next bar.
4. In OnExecution I want to place a stop loss order. The price of this order is higher than the high of the current bar, but 30 ticks lower then the entry price (opening of the next bar).
The order is rejected.

[NinjaTrader_Brett]

Hello,

Thanks for your note.

Can you please run this test again with Trace Orders = true and then also Print() the submitted price of the order and let me know what this is so that I can further assist.

Please paste in the relevant section of the output window and the stop price that was submitted at.

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

http://www.ninjatrader.com/support/forum/showthread.php?t=3418

I look forward to assisting you further.

[NinjaTrader_Brett]

Hello,

Also, is this with backtesting or Realtime?

Calculate On Bar Close = True or False?


I look forward to assisting you further.

[Baruch]

Hi Bret,
Attached is the trace.
Of course it was in backtest. Although NT is a great platform, but to know the next bars opening price in real time I don't think even NT can do.

[NinjaTrader_Brett]

Hello,

Do you get the same error if you widen the stop loss a little more?


I look forward to assisting you further.

[Baruch]

Of course no. If the stop is below the current bar it executes. But in my strategy I put a stop loss 30 ticks behind the entry, and because the entry was many many ticks above the current bar (a gap) and was calculated on the next bars open, that maid the problem

[NinjaTrader_Brett]

Baruch,

Do you by chance have a sample strategy you could send to support at ninjatrader dot com this is occuring on? Rference this forum post in the email if you do.

I look forward to assisting you further.

[Baruch]

Do you by chance have a sample strategy you could send to support at ninjatrader dot com this is occuring on?

Hi Bret,
Of course I don't have a sample strategy on hand!
But I prepared one. You just say to it when you want to enter. (Date+Time).
You need to put it on a PIT session so there will be gaps. You put date+time for the last bar in session and if the next bar is gaped up you put true in "GapUp" else false.
Then if the stop will be above current bar high for short or below for long, it will be placed. If not it will not.
I look for it in VS. You can do it however you like.

[NinjaTrader_Brett]

Hello,

I was able to alter this code a little bit and get it too occur. I have found where the issue is.

I have sent into development and I'm awaiting response.

Thanks for your patience.

[NinjaTrader_Brett]

Hello,

Here is the information from my product manager: This is on our list for discussion on the next version of NinjaTrader. However as it is their is no resolution to this Unfortuantely.

There is no separation where you can say
1. Have open price
2. Entry filled
3. Now submit stop loss based off of that entry fill
4. Now get the remaining HLC

Since everything comes in as OHLC, that means that 5/9 open order had to get “processed” during the 5/7 close event. We can’t “open” up a new bar yet for 5/9 for this processing because opening that up would come with the complete OHLC and effectively jump over all that HLC price action which may have impact on what gets filled. This means though if you had to send that order at the close of 5/7 your stop price may very well get rejected based off of 5/7 bar’s data.

Workarounds are:
1. Don’t submit orders on last bar of session
2. Resubmit the stop again afterwards bearing in mind that this would mean 1 bar where the stop is not in place. Recognize and accept that this is a backtest only concern due to insufficient data granularity

[Baruch]

Thanks Brett,
can you explain how to do that:

1. Don’t submit orders on last bar of session

In other words, how do I know its the last bar? My problem is on shorted then usual days. (Half holiday)

[NinjaTrader_Brett]

Hello,

if (Bars.LastBarOfSession)
{
// This is the last bar of the session
}

You mentioned holiday however, this would not work on holidays this is something that is on our list to add into a future version of NinjaTrader however.

Let me know if I can be of further assistance.

[Baruch]

Here is the information from my product manager: This is on our list for discussion on the next version of NinjaTrader. However as it is their is no resolution to this Unfortuantely.

There is no separation where you can say
1. Have open price
2. Entry filled
3. Now submit stop loss based off of that entry fill
4. Now get the remaining HLC

Since everything comes in as OHLC, that means that 5/9 open order had to get “processed” during the 5/7 close event. We can’t “open” up a new bar yet for 5/9 for this processing because opening that up would come with the complete OHLC and effectively jump over all that HLC price action which may have impact on what gets filled. This means though if you had to send that order at the close of 5/7 your stop price may very well get rejected based off of 5/7 bar’s data.

I thought for a long time if to suggest an obvious solution, and finally decided to do so.
Instead of issuing the entry order on the close of the bar, you need to hold it and issue it on the open of the next bar!
It will also be closer to real live trading, because at least on time bars you know about a close of a bar only after you have a tick for the next bar, so after the open of a new bar. Even for not time bars (tick, volume, etc) and even if you close a bar without opening a new bar if you issue the order at close it will be executed at the open (on the next tick).

Baruch

[NinjaTrader_Brett]

Hello,

Thanks for posting. This is exactly the issue and resolution. However currently there is no seperation of this in the simulator to be able to easily do this and any change here can have untold ammount of unforseen issues without proper testing and verification of the change with the simulator. Therefor we are aware of this and looking into this for the next version of NinjaTrader. However I would not expect on it being added soon.

Thanks for posting again!