Wrong Execution price for Backtest Stop Limit orders

[monpere]

Stop Limit orders in backtesting show executions at prices where the market never reached. I I am using StopLimit orders to implement my stop loss orders. In backtesting, when the stop is triggered, the limit price of the StopLimit order will show an execution at that limit price no matter what that price is, regardless of whether the market actually ever traded there. That is not how the market behaves in real life.

For instance, the following statement in backtesting, will cause an execution at a market price of 0.00.

SubmitOrder(0, OrderAction.Sell, OrderType.StopLimit, 1, 0.00, Low[0], "Test", "Test");

We all know that cannot happen in real life. Why is this allowed to happen in the NT backtest code? I've seen user posts about this behavior as far back as 2007. There are probably many traders unknowingly relying or NT backtests which might be plain wrong. NT knows the OHLC values of every historical candle, why is the code allowing executions outside of the candle high an low?

[monpere]

monpere,

This is not typical behavior but I have seen it only a handful of times.

Could you possible post some screen shots so I may better understand what is happening?

Here's a sample test strategy, which produces the results shown in the included image

namespace NinjaTrader.Strategy
{
public class a00000 : Strategy
{
#region Variables
#endregion

protected override void Initialize() {
Unmanaged = true;
}

protected override void OnBarUpdate(){
if (CurrentBar % 20 == 0 ) {
SubmitOrder(0, OrderAction.Buy, OrderType.Market, 1, 0.00, 0.00, "Test", "Test");
SubmitOrder(0, OrderAction.Sell, OrderType.StopLimit, 1, Low[0]-(50*TickSize), Low[0], "Stop", "Stop");
}
}

#region Properties
#endregion
}
}

[NinjaTrader_Ray]

monpere,

This is expected as part of our "Default" fill algorithm which takes an incredibly conservative approach to order fill prices. If you use the "Liberal" fill algorithm, this will ensure that orders are filled on the bar as you are expecting.