Limit orders are not guaranteed by NinjaTrader

[cocopod]

This is conclusive proof that YOUR system is in error.
Limit orders are not guaranteed by NinjaTrader!!!!!!!!!!!!!!!!
Using replay data we are guaranteed fills at the LIMIT price

I shorted the marked using an Unmanaged Stragegy. I then created a StopLoss in the OnExecution event that effectively occurs on the same tick

The first line below shows that the limit price is 1156.3 ( nothing to do with average fill )
the 2nd line shows that we are filled at 1156.4

"OnExecutiion" is then called on the same tick - which should be 1156.3 but is now listed at 1159. Basically I get filled at 1156.3 even though the market is 1159. This should not happen!!!!!!!


*************** Pendng order ****************

19/11/2014 21:49:23|1|32|Order='872642d764c3484f9fc9a53691097 65a/Replay101' Name='Short limit entry' New state=Working Instrument='GC 12-14' Action=SellShort Limit price=1156.3 Stop price=1156.3 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''


***************** Fill of short entry ******************

19/11/2014 21:49:23|1|32|Order='872642d764c3484f9fc9a53691097 65a/Replay101' Name='Short limit entry' New state=Filled Instrument='GC 12-14' Action=SellShort Limit price=1156.3 Stop price=1156.3 Quantity=1 Type=StopLimit Filled=1 Fill price=1156.4 Error=NoError Native error=''


********* This sis abracket trade so OCO cancells other side of Bracket ************

19/11/2014 21:49:23|1|32|Order='4c56d15d3d1a4af9b43cd10297bc8 54e/Replay101' Name='long limit entry' New state=PendingCancel Instrument='GC 12-14' Action=Buy Limit price=1160.9 Stop price=1160.9 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
19/11/2014 21:49:23|1|32|Order='4c56d15d3d1a4af9b43cd10297bc8 54e/Replay101' Name='long limit entry' New state=Cancelled Instrument='GC 12-14' Action=Buy Limit price=1160.9 Stop price=1160.9 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
19/11/2014 21:49:23|1|16|Execution='4d7d214508694eae8f878f95b 65d6ba1' Instrument='GC 12-14' Account='Replay101' Exchange=Default Price=1156.4 Quantity=1 Market position=Short Operation=Insert Order='872642d764c3484f9fc9a5369109765a' Time='07/11/2014 13:30:02'
19/11/2014 21:49:23|1|64|Instrument='GC 12-14' Account='Replay101' Avg price=1156.4 Quantity=1 Market position=Short Operation=Insert Currency=Unknown

*********** Stop is issued at a HIGHER price than fill ****************
19/11/2014 21:49:23|1|32|Order='4430313a89b4404da86fbda7d2e91 9b7/Replay101' Name='Stop loss to protect short' New state=PendingSubmit Instrument='GC 12-14' Action=BuyToCover Limit price=1159 Stop price=1159 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
19/11/2014 21:49:23|1|32|Order='4430313a89b4404da86fbda7d2e91 9b7/Replay101' Name='Stop loss to protect short' New state=Accepted Instrument='GC 12-14' Action=BuyToCover Limit price=1159 Stop price=1159 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''



***************** The next tick the Stop loss is filled at CONSIDERABLE loss *******

19/11/2014 21:49:23|1|32|Order='4430313a89b4404da86fbda7d2e91 9b7/Replay101' Name='Stop loss to protect short' New state=Working Instrument='GC 12-14' Action=BuyToCover Limit price=1159 Stop price=1159 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
19/11/2014 21:49:23|1|32|Order='4430313a89b4404da86fbda7d2e91 9b7/Replay101' Name='Stop loss to protect short' New state=Filled Instrument='GC 12-14' Action=BuyToCover Limit price=1159 Stop price=1159 Quantity=1 Type=StopLimit Filled=1 Fill price=1159 Error=NoError Native error=''

19/11/2014 21:49:23|1|16|Execution='ea930cfe067041e28c2c1dff7 41fec61' Instrument='GC 12-14' Account='Replay101' Exchange=Default Price=1159 Quantity=1 Market position=Long Operation=Insert Order='4430313a89b4404da86fbda7d2e919b7' Time='07/11/2014 13:30:02'
19/11/2014 21:49:23|1|64|Instrument='GC 12-14' Account='Replay101' Avg price=1159 Quantity=0 Market position=Short Operation=Remove Currency=Unknown

[NinjaTrader_Bertrand]

cocopod, can you please send us the script you're using to test this to platformsupport at ninjatrader dot com? We would then look into reproducing the scenario on our end and let you know our thoughts on it.

I guess I'm also not sure what you mean by this statement -

'Limit orders are not guaranteed by NinjaTrader, using replay data we are guaranteed fills at the LIMIT price'

In replay you trade against our simulation engine as well, there's no guarantee to get a fill on a touch of the limit price (just as in in realtime trading).

[cocopod]

Hi Bertrand,

Thanks for your response.

in reply you do guarantee the Limit Price. Below is pasted the message from you colleague Chelsea_B

Hi cocopod,

If you are using a limit order or stop limit order the order will fill at the limit price or better in real-time.

If you are backtesting, the order will fill at the limit price.

If you want the fill to be within the bar, use the Liberal fill type, or place the limit at the price you want it to fill at.

[NinjaTrader_Bertrand]

Thanks, however that would not apply to replay. Only for the historical fill processing on historical data, then the fill types would have an impact.