SetStopLoss Filling at Different Target

[scottreynolds]

I am using the following statement in my Initialize event:

SetStopLoss(CalculationMode.Ticks, 6);

The instrument I am using is the ES. For the most part, stops occur correctly at 6 ticks but occasionally, I get stopped out at 5 ticks - my understanding is that a limit order is used for the stop, correct? In this case, I wouldn't think that slippage is an issue. Please advise.

[NinjaTrader_Brett]

Hello,

Thanks for the note.

A limit order is used by default however the limit work in the opposite direction. Meaning that anything above your stop is ok and will fill, anything below your stop by an extreme amount would not. This setting for how far down the limit is placed is hard coded and it is set at set amount of ticks of the instrument below(or above if your short) the stop. Its set far enough away that in all scenario you should get your stop filled when it hit.

-Brett

[scottreynolds]

Brett,

Thanks for answering but I am totally confused by your answer - I just don't understand what you are saying - is there any way you can rephrase or give an example or a reference to docs? I apologize.

Thank you

[NinjaTrader_Brett]

Hello,

There are two things at play here.

A) The limit order when the stop gets hit works the opposite direction that you are thinking It makes sure you get that price or better, a better price would be above your stop price.

B) The limit order of the stop is offsetted to be several ticks lower then the stop price. This way you still get a fill on your stop if the market gaps down on you.

-Brett