This is simply not possible...

[Burga1]

Hi,

Can somebody PLEASE explain why I'm continually seeing postion entry/exit triggers on bars where the price was never actually "hit" during live testing feeds....???

I'm attaching some screens to illustrate my point:

1. The first screen shows the "Output Window" for a trade condtion being met at 5:20pm 12/16, the calculated figures for entry/exit are correct (EnterPlace3/ExitPlace4) with values of .8624 and .8618 respectively.
2. The second screen shows the chart for this currency pair--as can be seen the trade entered at .8626 (why it changed, who knows?) however that bar clearly never reached that price level...thus there should have been no trade entry at all...
3. Screen 3 shows the "Position" tab of the "Control Center" placed over another chart, as the "Position" tab shows the EURUSD is in an "open" position however, once again, the bar hadn't reached the needed level for a trade to open (as can be seen by the little blue marker over the bar at the needed price level--on the extreme right side of the screen).
4. Screen 4 is similar to Screen 3, showing an "open" position for the EURJPY despite the fact that the bar hasn't reached the required level on the chart needed for price entry...

I'm CONSTANTLY seeing this (seemingly impossible) behaviour...I'm looking for possible reasons how this can happen...BTW my strategies allow for only 1 possible open trade at a time, so those little blue markers are not positions for other trades.

[NinjaTrader_JoshP]

Why do you say this is impossible? Stop orders are not required to always be filled on the bar. I don't know how you have your strategy setup exactly, but once your strategy determines it is time to submit an order it will fire one off. After that it is just up to the market at what price you actually get filled at.

[Burga1]

Thank you. Stop orders require a certain price to be reached before the order can be submitted, correct? Thus if a strategy calculates a stop order is to be set at a price, of say 1.4763...then the order cannot be placed until the price has fallen to "hit" it, right? And in addition if the bar never reaches that level (let's say the "low" for the bar is at 1.4765) then it cannot possibly be placed...that is why I say it's impossible.

My strategy utilitizes a "counter" to prevent re-submission of potential orders on each bar so 1 postion can only be open at a time and there's only 1 bar where a trade can be triggered. So when I see the little entry markers placed well above a bar that never reached that price level--I have to wonder why the trade was entered?

[Burga1]

Can you please expand on your statement "Stop orders are not required to always be filled on the bar" a little bit more?

[KBJ]

This is the second time today that I've seen a complaint like this, and it's possible it might be solved by something that Josh recommended to me a while back.

Check out this thread: http://www.ninjatrader-support.com/v...ead.php?t=3728 and see if it helps. (I was also getting trades placed at strange values.)

[Burga1]

Thanks for the input, KBJ...I gave it a try but I'm not seeing any difference in behavior. It seems that solution you used was for problems with backtested data, however my problem is a bit different. My backtests using historical data run as expected--without any problems. I'm only seeing these issues with "live" feeds...

I attached this new screenshot just to illustrate the problem is unchanged...as you can see a long position was opened at 113.24 however the bar when the trade triggered never got higher than 113.20...

[KBJ]

Oh well, too bad.

That's some serious "slippage" though.

[NinjaTrader_JoshP]

What I meant by not requiring to be filled within the bar is that your order can be filled regardless of where the bar is at. If the bid/ask is right you can get filled there. You can try printing some bid/ask data and see whats up on that end. I believe the functions were something like GetCurrentAsk().

[Burga1]

Thank you Josh you may have a point there about the bid/ask prices...how does one go about getting around those types of issues?

Is there a way to display both bid/ask prices on a chart?

[NinjaTrader_JoshP]

I don't think you really can get around the issue or at least I'm not aware of any practical way. It is like slippage.

You can try making a custom indicator that uses DrawText() and the string it draws would be the value from GetCurrentAsk() and GetCurrentBid().

[Burga1]

Don't the bid/ask prices come from the broker? So if I'm using the connection link from MB Trading should I not be seeing bid/ask spreads that they are generating? I ask this because I seem to be seeing 2-3 pips spreads however according to their website their spreads are lower than that...

[Burga1]

Is anybody else experiencing this issue at all (on live trades)?

[NinjaTrader_JoshP]

Unfortunately I cannot comment on the MBT spread as I am unfamiliar with it, but generally speaking what you see is what is coming from your feed.

[Burga1]

I was thinking that it seems I'm only seeing this issue on "Long" entries and StopLoss settings. I guess the NT are "bid" charts then. I'm guessing I might get around this by calculating the spread (difference between bid/ask) and then "adding" that difference to the point on which I want a trade to trigger...?

For example (on long trades) if I want to enter at a price level of 1.4465 and the spread is 2, then I could amend the enter price to 1.4467...does that sound reasonable?

Would I calculate the "spread" by taking the absolute value of CurrentBid and CurrentAsk and multiplying by ticksize? Thus:

(abs(CurrentAsk - CurrentBid)) * TickSize

[NinjaTrader_Ray]

Yes, NT FX charts are bid driven when the real-time data source comes from a broker.