EnterShortLimit error checking

[KBJ]

I had something coded wrong so that my call to EnterShortLimit was being done with a limit order of zero. And NinjaTrader didn't object to this.

Here's the code I was using:

  entryOrder1 = EnterShortLimit( 0, [COLOR="RoyalBlue"]false[/COLOR], DefaultQuantity, limitOrderPrice, shortName1 );

And I had a code path which hadn't initialized limitOrderPrice, so I called it wrong.

But, what's worse is the StrategyAnalyzer "filled" the order at a price of zero.

So here's what I think should have happened:

1) First off, NinjaTrader should have rejected the order since you can't short at a price of zero.

2) The StrategyAnalyzer should have "filled" the order at the best available price (which was a lot higher than zero.)

Just thought I'd let you know... (another couple of 2-minute fixes needed here.)

[NinjaTrader_RyanM1]

Thanks for the feedback, KBJ. There are two historical fill processing options available:

Default
An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.
• Limit orders only fill if the limit price was penetrated
• Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NinjaTrader will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)

Liberal
An algorithm that takes a liberal approach to filling limit and stop limit orders.
• Limit orders fill if the limit price was touched
• On gap down bars, buy limit orders will fill at the high of the gap down bar
• On gap up bars, sell limit orders will fill at the low of the gap up bar

Your example shows show why we do things this way with the default fill type. It highlights that your strategy is submitting at 0 limit price. This is a coding error you otherwise might not catch if NT fills you on the bar.

If the provided fill types aren't what you're looking for, you can also program your own. You can see the source for these in:
Documents\NinjaTrader 7\bin\custom\type

[KBJ]

Your example shows show why we do things this way with the default fill type. It highlights that your strategy is submitting at 0 limit price. This is a coding error you otherwise might not catch if NT fills you on the bar.

Ryan,

Thanks, I'd forgotten about the ability to select different fill processing options (default, liberal, etc.).

However, since NinjaTrader ignored the zero limit order price, all kinds of other side effects ensued (such as stop-loss and profit-target orders being executed at insanely small numbers because of being specified with CalculationMode.Ticks and a zero limit-order price), so why not just treat this as an error?

Surely you've spent more time on this already than it would to just put a simple test in the code to reject a zero price?

It makes sense to do this because a zero price is always a coding error and should not be accepted by NinjaTrader regardless of the fill processing option selected.

[NinjaTrader_Bertrand]

Thanks for the feedback and input KBJ, we will add this to our list of feedback (tracked under # 1010) - have a good weekend