Overfills on ATM Strategy

[QuantKey_Bruce]

If an entry is made with an ATM strategy (which has defined several brackets of targets with associated stops), and the entry order of the ATM strategy receives an overfill (filled size > order's original quantity), are the exits sized up to match the entry order's fill, or are they capped at the order's original requested size?

[NinjaTrader_LuisH]

Hello QuantKey_Bruce,


Thank you for posting on the NinjaTrader forums.


The only way that I can see an 'overfill' situation occur based on what you've described is if any additional contracts are submitted via the same window with the same ATM strategy selected in the dropdown menu.

Even then, I struggle to see this as an overfill considering that the user has submitted additional contracts to that existing order. No matter what you set your ATM strategy quantity to, the number of contracts filled will not exceed that preset number.



Please let me know if there's anything else we can assist with or if we can clarify anything above.

[QuantKey_Bruce]

NinjaTrader_LuisH Thank you for responding. But, no, it's possible, and did occur. Take a look at this excerpt from a live account NinjaTrader log, with NinjaTrader Brokerage (I've blocked out the order and account numbers to protect the account holder's privacy - all of the order and account numbers are the same):

2025-01-29 08:43:23:586|1|32|Order='**********/*******' Name='Entry' New state='Submitted' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=9 Type='Limit' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-01-29 08:43:23:860|1|32|Order='**********/*******' Name='Entry' New state='Accepted' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=9 Type='Limit' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-01-29 08:43:23:861|1|32|Order='**********/*******' Name='Entry' New state='Working' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=9 Type='Limit' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''

Here, you can see the original order was placed for size 9. It was accepted and was working at the broker all within about a third of a second.

2025-01-29 09:45:20:569|1|32|Order='**********/*******' Name='Entry' New state='Change submitted' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=4 Type='Limit' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-01-29 09:45:20:596|1|32|Order='**********/*******' Name='Entry' New state='Accepted' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=4 Type='Limit' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-01-29 09:45:20:598|1|32|Order='**********/*******' Name='Entry' New state='Working' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=4 Type='Limit' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''

Here, you can see that the entry size was reduced from 9 to 4, about an hour after the original order was placed. The change was accepted and then working at the broker all within a few milliseconds.

2025-01-29 12:01:48:349|1|32|Order='**********/*******' Name='Entry' New state='Partially filled' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=4 Type='Limit' Time in force=GTC Oco='' Filled=5 Fill price=6062.75 Error='No error' Native error=''
2025-01-29 12:01:48:544|1|32|Order='**********/*******' Name='Entry' New state='Partially filled' Instrument='MES MAR25' Action='Buy' Limit price=6062.75 Stop price=0 Quantity=4 Type='Limit' Time in force=GTC Oco='' Filled=6 Fill price=6062.75 Error='No error' Native error=''

Here, you can see that, even though it's two hours later, and the order reduction from 9 to 4 was accepted and working, we received "partial fills" for 5 and then 6. The exits for this entry order, though, which was the entry order of an ATM strategy, did not scale up and remained at 4 because ATMs don't scale beyond their entry order size (which is 4) on partial fills. That is the characteristic I was inquiring about in my original post.

From what I can see, the change from 9 to 4 was accepted and was working size 4; yet, it wasn't really - the account received "partial fills" from the original 9 two hours after the change was accepted.

Note especially how it says state = "Partially filled", with Filled = 6, and Quantity = 4.

Edited: to bold for emphasis so you can more quickly see what I'm referring to.

[NinjaTrader_LuisH]

QuantKey_Bruce,



Can either you or the user send both Log and Trace files to our support team so we can take a closer look?


Thank you in advance.

[QuantKey_Bruce]

I have provided the original log and trace to platform support to your attention and referenced this thread. If any follow up refers to details specific to the account holder please follow up with me privately by email.