Stop orders and gaps

[jriverac]

Hi,

I attach a picture of what my strategy is doing, so as to find out whether this is expected or not.

There is a Short entry at 541,5. For piramyding, I use the order type:
EnterShortStop, with a Stop 1 point below (540,5).


Since the next bar after entry opens below the level 540,5... The stop is not executed... Is that expected??

The stop is executed quite a few bars after (see the picture)

How can I overcome this gap problems??

Thanks for help!!

Juan Rivera

[NinjaTrader_JoshP]

Hi jriverac,

That is the nature of those order types. You are not guaranteed the stop price since when the stop price is reached the order becomes a market order. Also, if you are using this in a backtest the discrepancy becomes even greater due to the nature of backtesting. Please see this article: http://www.ninjatrader-support.com/H...sBacktest.html

[jriverac]

Hi Josh,

I also thought these type of orders would become market orders, but then they would sell at the open of the next bar if there is a gap. But, as you see in the picture, there is no selling in the next bar but a few bars later on, where the price is again within a range that includes the Stop Price.

I fixed it manually, but I am trying to really understand how stop orders work.

[NinjaTrader_JoshP]

It is probably attributed to the discrepancies in the article I linked you to earlier. Other than that you will need to debug it if you want to see exactly it is working. Use TraceOrders = true.