Managed ExitLongStopLimit Ignored - Why?

[cb4gusto22]

Hello,

If I am using the Managed approach (advanced), and a long stop limit exit order is ignored due to "Reason='Invalid order price, please see log tab", does this mean it is being ignored because the stop price is higher than the current market price for a long position?

That is the only reason I can think of. Interestingly, there is no such error when using the unmanaged approach. I would greatly appreciate any insight on my some of my exits are being ignored.

Thank you!

[NinjaTrader_Bertrand]

cb4gusto22, that's correct. If the order would be invalid it would get ignored by the managed mode. For the buy stop limit this means you need to have the stop higher than the current inside market / close price. For best order debugging, please activate the TraceOrders feature we have -

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

Unmanaged will have those convenience layers of the managed framework removed.

[cb4gusto22]

Thanks, Bertrand. Just so I'm clear, the only way around invalid orders (i.e. orders that are ignored) is to use the Unmanaged approach?

Seems to me that with more complex strategies that use scaling in, position-sizing algorithm, dynamic exits, etc. the only way to go is the Unmanaged approach. The only advantage to the Managed approach besides the convenience layer is that entry orders can be tied to specific exit orders (i.e. not limited by the FIFO rules that are unavoidable in the Unmanaged approach). Is this all correct?

Thank you!

[NinjaTrader_Bertrand]

This would just be for backtesting in managed, in realtime those invalid orders would get rejected. So best thing would dealing with the issue at hand directly and ensuring order prices would be valid. In your case scenario here you would not see an ignore but a fill at the next bar open in unmanaged then - where as running live would see a rejection (which could be dealt with if strategy's error handling is TakeNoAction, so rejected order states don't mean the script is disabled by NT).

[cb4gusto22]

Related question

When backtesting in managed mode, if I am long and have both a working exit order and stop-loss order (both are stop limit orders and the exit order is slightly higher than the stop-loss order), and the same bar would cause both orders to execute, will the stop-loss order always take precedence?

The problem that I am having is that the exit order should have triggered since it's stop/limit prices would have been touched first and the stop-loss order should have been cancelled. Instead, for some reason, the stop-loss is filling (at a lower price) and the exit is being cancelled. This is not a problem when using the unmanaged approach by the way. Thank you for your continued enlightenment!

[NinjaTrader_Bertrand]

Correct, in this case the stop loss order will take precedence in managed mode if both could have triggered. We do this to not overstate backtesting performance potentially.

[cb4gusto22]

Another related question

When backtesting in managed mode, if I have a stop limit buy order working and price touches but does not penetrate the stop price, will that cause the order not to be filled? For example, I have at stop limit buy order at 1488.25 and price gets to 1488.25, but does not go any higher, retreats, and does not go back to that level. The order never fills.

However, in Unmanaged mode the order does fill. Is this to be expected?

[NinjaTrader_Bertrand]

Are you sure you compare the exact same order and historical fill processing options here?

As in backtesting the fills would be governed by the historical fill processing algorithms - default or liberal. On the default used algorithm, orders will need to be traded through and fills could not occur on touch (for being conservative).

https://www.ninjatrader.com/support/helpGuides/nt7/backtest_a_strategy.htm?zoom_highlightsub=liberal

[cb4gusto22]

Yes, same exact order (stop limit buy order at 1488.25) and default fill processing. I am using the exact same strategies, just one using managed orders and one using umanaged orders. In the unmanaged version, the order is filled just on touching the stop limit price. There is no fill using the managed version.

I also tried using liberal fill processing - there was no changes on the fill nor any change to the backtest net profit.

[NinjaTrader_Bertrand]

I currently don't see why this would / should be the case - would you mind if I tested this here with your exact scripts to compare? You could best reach me directly via Help > Mail to Support to my attn.

[cb4gusto22]

Hi Bertrand,

I have emailed you the scripts through regular email to due getting an error when trying to send through NT. Let me know if you don't get my email. Thank you!

[NinjaTrader_Bertrand]

Thanks, got the files and reviewing it here.

[cb4gusto22]

Thanks, Bertrand. Replied to your email.