If market high and low trades at exact order price no fill

[blar58]

Hi

I have detected a problem in my orders which is quite weird.

I have EnterLongLimit and EnterShortLimit orders that don't get filled when bar High or Low hits exactly the price entry.

Looking at the order in the output window I see that the order was sent successfully but not executed.

If I change the price entry by 1 tick higher or lower ( + / - TickSize ) I get the execution but the problem is the same if the market trades at that exact price. Order sent but not filled !

The order stays there until the market trades at that price + - 1 Tick.

Example :

_entryBOrder1 = EnterLongLimit( 0, true, qty, PriceLevel , "B1");

Price Level in this example is 708.10 ( Russell ).

If BarLow = 708.10. Order sent. Not executed....!
If BarLow = 708.00. Order sent and executed.

Any idea for such a behavior ?


Thanks

[NinjaTrader_Austin]

blar, your order is most likely being submitted just fine, but when your order gets submitted it gets put in last place for execution. All exchanges operate on a first-in, first-out basis, which means that if 10 people all submit orders for 10 contracts each at 708.1, and then you place an order for one contract at the same price, all 100 contracts ahead of you would need to be filled before yours gets filled.

If you keep your order open long enough, it will be filled when all contracts ahead of you in line have been filled.

Please let me know if you have any other questions.

[blar58]

OK

I understand that it could happen real time but is NinjaTrader behave like that with historical data as well ?


Thanks

[NinjaTrader_Matthew]

blar58,

Can you please clarify if this is happening in simulation real-time/market replay or in backtesting?

If backtesting are you using the default (conservative) or liberal fill type?

[blar58]

Matthew

I am looking at backtesting and the Fill Type is set to Default

[NinjaTrader_Matthew]

Hello,

Please try using Liberal and test again. Definitions from our Help Guide section on Understanding historical processing options

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

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?backtest_a_strategy.htm