Erroneous execution of limit orders outside trading hours

[rocker84]

Hello! I was previously having problems executing a strategy. It seems that the problem is not with the strategy but with the simulation in SIM accounts.

I was able to replicate the error by entering a long trade manually just before EOD, in a sim account on MNQ, with very tight profit target and stoploss. As you can see the order is executed off price and when the market is closed 2/4/2025 5:52 EST (closed from 5 to 6pm).

This is the original post:

https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1307301-execution-while-the-market-is-closed

Log:
2025-02-04 16:58:06:917|1|32|Chart Trader submitting order with strategy '40x40 ticks - 1' (Ticks)
2025-02-04 16:58:06:964|1|32|Order='c2463eaa8ec2484ca88f0b114 90e2c70/SimAccount3' Name='Entry' New state='Submitted' Instrument='MNQ 03-25' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:072|1|32|Order='c2463eaa8ec2484ca88f0b114 90e2c70/SimAccount3' Name='Entry' New state='Accepted' Instrument='MNQ 03-25' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:072|1|32|Order='c2463eaa8ec2484ca88f0b114 90e2c70/SimAccount3' Name='Entry' New state='Working' Instrument='MNQ 03-25' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:110|1|32|Order='c2463eaa8ec2484ca88f0b114 90e2c70/SimAccount3' Name='Entry' New state='Filled' Instrument='MNQ 03-25' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=1 Fill price=21581.5 Error='No error' Native error=''
2025-02-04 16:58:07:111|1|8|Execution='c8e1f7fbdae34e9e9c441e 5ea1011870' Instrument='MNQ 03-25' Account='SimAccount3' Exchange=Default Price=21581.5 Quantity=1 Market position=Long Operation=Operation_Add Order='c2463eaa8ec2484ca88f0b11490e2c70' Time='2/4/2025 4:58 PM'
2025-02-04 16:58:07:111|1|64|Instrument='MNQ 03-25' Account='SimAccount3' Average price=21581.5 Quantity=1 Market position=Long Operation=Operation_Add
2025-02-04 16:58:07:137|1|32|Order='d8b13bd2f146443395ba62e7a 503842e/SimAccount3' Name='Stop1' New state='Submitted' Instrument='MNQ 03-25' Action='Sell' Limit price=0 Stop price=21571.5 Quantity=1 Type='Stop Market' Time in force=GTC Oco='2a44ba78be5248c4acffa96fe6fafca5' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:156|1|32|Order='08891b9588344d62b669a534d 6af1ea1/SimAccount3' Name='Target1' New state='Submitted' Instrument='MNQ 03-25' Action='Sell' Limit price=21591.5 Stop price=0 Quantity=1 Type='Limit' Time in force=GTC Oco='2a44ba78be5248c4acffa96fe6fafca5' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:261|1|32|Order='d8b13bd2f146443395ba62e7a 503842e/SimAccount3' Name='Stop1' New state='Accepted' Instrument='MNQ 03-25' Action='Sell' Limit price=0 Stop price=21571.5 Quantity=1 Type='Stop Market' Time in force=GTC Oco='2a44ba78be5248c4acffa96fe6fafca5' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:273|1|32|Order='08891b9588344d62b669a534d 6af1ea1/SimAccount3' Name='Target1' New state='Accepted' Instrument='MNQ 03-25' Action='Sell' Limit price=21591.5 Stop price=0 Quantity=1 Type='Limit' Time in force=GTC Oco='2a44ba78be5248c4acffa96fe6fafca5' Filled=0 Fill price=0 Error='No error' Native error=''
2025-02-04 16:58:07:275|1|32|Order='08891b9588344d62b669a534d 6af1ea1/SimAccount3' Name='Target1' New state='Working' Instrument='MNQ 03-25' Action='Sell' Limit price=21591.5 Stop price=0 Quantity=1 Type='Limit' Time in force=GTC Oco='2a44ba78be5248c4acffa96fe6fafca5' Filled=0 Fill price=0 Error='No error' Native error=''

[NinjaTrader_ChristopherJ]

Hello rocker84,

Thank you for posting.

This appears to be due to price of the Bid/Ask once the market was closed and Profit Target price. The Simulation accounts uses NinjaTrader's simulated order fill engine, which does not always reflect real-market execution. Since the Profit Target is a Limit order this would execute at your specified price or better, which in this case was better.

Let me know if I may be of further assistance.

[rocker84]

Hello rocker84,

Thank you for posting.

This appears to be due to price of the Bid/Ask once the market was closed and Profit Target price. The Simulation accounts uses NinjaTrader's simulated order fill engine, which does not always reflect real-market execution. Since the Profit Target is a Limit order this would execute at your specified price or better, which in this case was better.

Let me know if I may be of further assistance.

I think it is a clear error in the execution logic. It can never be executed if the market is closed.

As you can see in the screenshot, NT is reporting an ASK of 22212, and the last price at 22203. Even if you had a limit order below 22212, it is not possible to get a fill at that level if there is no market order that crosses the limit. For some reason NT is simulating a market order (which could not exist in reality) when the market is closed.

Could we at least request an improvement in this regard?

[NinjaTrader_ChristopherJ]

You may use the link below to submit this request to our product team for consideration to implement in future releases:

NinjaTrader Feature Request Form

You can use this link for future feedback or features you'd like to see as well.