Market orders with limited liquidity

[pcafstockf]

Can anyone tell me what my strategy's ultimate position would be in following scenario...
I have exaggerated the numbers to make it easier (in my mind) to follow the question.

My strategy places a Long Market order for 1,000 shares of a limited liquidity stock, currently trading at 10.00 and it specifies a stop at 9.75.

Subsequently 500 shares show up on the Ask for 10.25
This executes giving me a PartialFill of 500 shares.

After that, 250 shares are traded (maybe in another market) at 9.50.

Then 1000 shares show up on the Bid at 9.90 ,
AND 1000 show up on the Ask at 10.10.

First question:
Will the trade of the 250 shares (at 9.50) trigger my stop and cause a sell at 9.90, OR will the Long order continue to execute causing a Buy at 10.10?

Second question:
Regardless of what my real world position would be, what will my Strategy *think* my position is?

I would test this, but backtesting doesn't do PartialFills for Market orders, and obviously realtime testing would be difficult :-)

Any help or insight would be appreciated.

[NinjaTrader_RyanM1]

Hi pcafstockf,

Unfortunately there is not a clear answer here as it depends exactly how you structure your entry conditions. There is a lot of flexibility in scaling in and out so really you'll be able to program exactly how you want it to enter. Your strategies position will be the total number of contracts filled from your entry rules in any one direction (long or short).

Stops and targets are either applied per entry execution or by the total strategy position depending on the setting "StopAndTargetSubmission".

[pcafstockf]

RE: Market orders with limited liquidity

Hi Ryan,

Thanks for your reply.

Unfortunately there is not a clear answer here as it depends exactly how you structure your entry conditions.

Can you elaborate a little on this. I was assuming that

strategy places a Long Market order for 1,000 shares ... and it specifies a stop at 9.75

Would always be structured as EnterLongStop(1000, 9.75);

I can see that the answer to the original question 2 is easy *once* question 1 is answered.

So back to question 1:

Will the [ intervening ] trade of 250 shares (at 9.50) trigger my stop and cause a sell at 9.90, OR will the Long order continue to execute causing a Buy at 10.10?

TIA

[koganam]

...Will the [ intervening ] trade of 250 shares (at 9.50) trigger my stop and cause a sell at 9.90, OR will the Long order continue to execute causing a Buy at 10.10?

TIA

Is the Stop a StopMarket() or a StopLimit()? That will dictate what happens. In an illiquid market, what happens with a Market order will often be bad, very bad.

[NinjaTrader_RyanM1]

By "structure your orders", this means the entry signal names and properties that control a strategy scaling in to positions, like EntriesPerDirection, and EntryHandling. We can assist with NinjaScript / strategy elements in your question here but we have no control over order fills.

Originally Posted by pcafstockf
Will the [ intervening ] trade of 250 shares (at 9.50) trigger my stop and cause a sell at 9.90, OR will the Long order continue to execute causing a Buy at 10.10?

From my first reply:
Stops and targets are either applied per entry execution or by the total strategy position depending on the setting "StopAndTargetSubmission".