Working of EnterLongStop

[Renejm]

Hi, I have a strategy running on the FOREX on GBPUSD (Kinetick datafeed=FXCM). I have a EnterLongStop placed at 1.63618. The close price of the graph is equal to the bid price. I had expected that the order would be triggered if the close price hits the triggerprice of 1.63618. But the order was already triggered when the ask price hit the 1.63618 and the order was executed, despite the fact that the close price never reached that level. Could you explain on which prices will the trigger be executed, because I want to execute it based on the real close price (real trades) and not on bid and or ask prices.

Kind regards,
Rene

[RJay]

Hi,

I have begun teaching myself to build Strategies this week and I have observed the same thing in regards to EnterLongStop orders. Could someone explain why when the order placement is triggered, the programmed order entry price is disregarded and a market order at current prices is executed instead?

Thanks,

RJay

[NinjaTrader_JC]

Hello Rene,

This is because Forex only has Ask and Bid data so by default NinjaTrader is going to use the "Bid" data as the "Close" data but Buy orders are going to be triggered and executed off of the Ask price, and vise versa for Sell orders.

RJay, using an automated strategy you may want to check the current ask or bid to make sure that there is a not a big spread between the ask and bid by using GetCurrentAsk() and GetCurrentBid() so that you know your Order will not be triggered right away.

Let us know if you have any further questions.

[RJay]

Hello Rene,

This is because Forex only has Ask and Bid data so by default NinjaTrader is going to use the "Bid" data as the "Close" data but Buy orders are going to be triggered and executed off of the Ask price, and vise versa for Sell orders.

RJay, using an automated strategy you may want to check the current ask or bid to make sure that there is a not a big spread between the ask and bid by using GetCurrentAsk() and GetCurrentBid() so that you know your Order will not be triggered right away.

Let us know if you have any further questions.

Hi JC,

Are you telling me that I will only be able to execute "Market Orders" as apposed to only executing an order at a strategy specified price?

EX. (Close[1] + 5 * TickSize)

Thanks,

RJay

[koganam]

Hi,

I have begun teaching myself to build Strategies this week and I have observed the same thing in regards to EnterLongStop orders. Could someone explain why when the order placement is triggered, the programmed order entry price is disregarded and a market order at current prices is executed instead?

Thanks,

RJay

That is what you asked to be done. If you want a limit order to be triggered by the stop, then your order should be EnterLongStopLimit(), not EnterLongStop().

[NinjaTrader_JC]

Hello RJay,

EnterLongStop generates a buy stop order to enter a long position. So when the Stop Price (based on Ask) it hit a Market Order will be submitted to enter you in your long position.

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

As koganam suggested if you want to define a price then you may want to use EnterLongStopLimit().

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

[RJay]

That is what you asked to be done. If you want a limit order to be triggered by the stop, then your order should be EnterLongStopLimit(), not EnterLongStop().

Hi koganam,

From my testing so far in market replay, EnterLongLimit appears to be executing Market Orders once the specified point in the strategy is reached, not waiting and executing at the price specified.

Are you saying that EnterLongStopLimit() will execute a trade at the specified price and at no other price?

RJay

[RJay]

Hello RJay,

EnterLongStop generates a buy stop order to enter a long position. So when the Stop Price (based on Ask) it hit a Market Order will be submitted to enter you in your long position.

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

As koganam suggested if you want to define a price then you may want to use EnterLongStopLimit().
http://www.ninjatrader.com/support/h...gstoplimit.htm

Hi JC,

When using the following order entry statement NinjaTrader throws a fit.

EnterLongStopLimit(DefaultQuantity, (Close[2] - (6 * TickSize)), (Close[2] - (6 * TickSize)), "");


Error Msg - BuyStop or BuyStopLimit orders cannot be placed below the market.

RJay

[koganam]

Hi koganam,

From my testing so far in market replay, EnterLongLimit appears to be executing Market Orders once the specified point in the strategy is reached, not waiting and executing at the price specified.

Are you saying that EnterLongStopLimit() will execute a trade at the specified price and at no other price?

RJay

Technically, yes.

Maybe the issue is with how FOREX is handled, strictly at Bid and Ask prices, as opposed to other equities which do have a concept of a Last price? I do not have a FOREX feed, so I cannot make a definitive test.

You could try using the Ask price instead of Close[0].

[NinjaTrader_JC]

Hello RJay,

For Buy orders you will want to check to make sure that "Close[2] - (6 * TickSize)" is greater than GetCurrentAsk().