Strategy touching stop too early

[molecool]

I just saw an execution that should have not happened:



Here's some of my log output:

Global buffer in onOrderUpdate(): Market at 1.2823 - move stop up to: Sell at 1.2811.

Global buffer in onOrderUpdate(): Market at 1.2823 - move stop up to: Sell at 1.2811.

STOP REMINDER: Sell at 1.2811.

Order: Order='NT-00034/Sim101' Name='Stop loss' State=Filled Instrument='$EURUSD' Action=Sell Limit price=0 Stop price=1.2811 Quantity=1 Strategy='CrazyIvan' Type=Stop Tif=Gtc Oco='' Filled=1 Fill price=1.2811 Token='c1268efd29454651a45886884e3bf4a1' Gtd='12/1/2099 12:00:00 AM'

So what happens here is that my stop was moved up to 1.2811 at the first tick of the 11:00am EDT candle. But for some reason at some point the stop was hit despite the fact that the low of that candle is at 1.2813. I'm rather confused and first thought it may be a bid/ask thing but as to my knowledge stops use market price by default and not bids or asks (maybe I'm mistaken)

I am using only the IQFeed connector with a demo account - no live trading. Any help/input would be greatly appreciated.

Thanks!

[NinjaTrader_Bertrand]

Hi Molecool,

'first thought it may be a bid/ask thing but as to my knowledge stops use market price by default and not bids or asks'

This would unfortunately not be correct, the bid / ask price is monitored for the execution - what might have created the confusion is ATM strategies have a setting to use the last price here instead for monitoring the auto breakeven / auto trail triggers.

[molecool]

Hi Molecool,

'first thought it may be a bid/ask thing but as to my knowledge stops use market price by default and not bids or asks'

This would unfortunately not be correct, the bid / ask price is monitored for the execution - what might have created the confusion is ATM strategies have a setting to use the last price here instead for monitoring the auto breakeven / auto trail triggers.

Alright, that explains it, thanks for clearing that up. However, this bit unfortunately escapes me:

ATM strategies have a setting to use the last price here instead for monitoring the auto breakeven / auto trail triggers.

Could you please clarify what you mean by that?

[NinjaTrader_Bertrand]

Sure Molecool, please check into the first section here - http://www.ninjatrader.com/support/h...tegies_tab.htm

The AutoTrail and AutoBreakeven are part of our ATM strategies for manual trading -

http://www.ninjatrader.com/support/helpGuides/nt7/advanced_trade_management_atm.htm

[molecool]

Sure Molecool, please check into the first section here - http://www.ninjatrader.com/support/h...tegies_tab.htm

The AutoTrail and AutoBreakeven are part of our ATM strategies for manual trading -

http://www.ninjatrader.com/support/h...gement_atm.htm

Thanks for that - educational. However, I'm still confused as to why you are referring an auto-trail or auto-breakeven trigger? I was simply using a regular stop which was triggered via the ask price. Can you throw me a hint please?

[NinjaTrader_Bertrand]

I was referring to that, as I felt it was the source for your confusion likely. As your first thought on this issue was the correct one. The Bid / Ask is used here in evaluating your stops from the script.

[molecool]

I was referring to that, as I felt it was the source for your confusion likely. As your first thought on this issue was the correct one. The Bid / Ask is used here in evaluating your stops from the script.

Sorry for being slow on the uptake - today apparently isn't my day. Do you mean to say that by changing this flag my strategy would use the spot price instead of the bid/ask to trigger the stop?

Thanks again.

[NinjaTrader_Bertrand]

No, you could unfortunately not change that behavior with that flag, it was just meant for 'education' only. Would suggest visualizing both Bid / Ask Series to see what to expect in this setup for the placed order triggering.