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NinjaTrader
Strange exit order
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Originally posted by NinjaTrader_PatrickH View PostHello molecool,
I wanted to add additional information here.
When viewing Forex on the chart you may need to view the Ask or Bid price to see where the fill occurred. With Forex you can have a large spread from the broker so the Last data may not match the execution at fill, but the Ask in this case most likely did at the time of execution based on the data from the broker.
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molecool,
The simulator will always fill you off of real-time bid/ask data. If you're submitting market orders, you're at the mercy of the bid/ask data that is received by the simulation engine in regards of where you are filled. And with market orders, there may be additional slippage in terms of the volume at that time.
There is no way for us to know exactly what the bid/ask data was at that time, other than looking at historical data, but this may not tell us what was received by the simulation engine at this time. The only way for you to test/debug this further is to collect/print/log the bid/ask data in real-time at the time of your execution and then compare that to your fill price.MatthewNinjaTrader Product Management
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Originally posted by molecool View PostIt ran the Demo account so there should have not been a large spread.
Market Order buys are always at the Ask, not necessarily the Last. Unless you know the actual Ask price at the fill time, it will be hard to say anything specific. It still seems to me that it is another case of the Market Order gods playing dice.
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Originally posted by koganam View PostI believe that even the Sim account fills off the realtime data.
Market Order buys are always at the Ask, not necessarily the Last. Unless you know the actual Ask price at the fill time, it will be hard to say anything specific. It still seems to me that it is another case of the Market Order gods playing dice.
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Originally posted by NinjaTrader_PatrickH View PostHello,
Thank you for your response.
Please check the historical data under Minute and advise if the AUDCAD reached 1.05294 at 1:00:00 PM on April 23, 2013.
I look forward to your response.
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4/23/2013 1:00:00 PM
Open 1.05243
High 1.05266
Low 1.05239
Close 1.05264
As you can see it never reached 1.05294.
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If you're using Kinetick, you'll need to switch to Tick data, to look at the historical Ask prices at that time.
Moving forward, you can record the current Ask/Bid data using GetCurrentAsk() or GetCurrentBid() at the time of execution:
Code:protected override void OnExecution(IExecution execution) { Print(GetCurrentAsk()); }
MatthewNinjaTrader Product Management
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Originally posted by koganam View PostAs data-crunchers, in the absence of evidence to the contrary, we have to apply Occam's Razor.
I've put in some logging code and will know pretty soon weather it was the bid at that time or if NT7 is screwing around somehow. Hoping it's the former as that would be addressed via live trading.
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