unsolicited "Fill Limit Orders on Touch" behavior

[pkr75]

"Fill Limit Orders on Touch" is not enabled in my strategy (set to False in my script and also unchecked in the strategy properties box). Yet, my strategy is filling limit orders on touch. It was working correctly yesterday afternoon, no changes have been made on my end, but last night and this morning it is demonstrating this behavior. I am testing my strategy in Market Replay playback and this unsolicited behavior results in a significant P&L difference. Has anyone encountered and/or resolved this type of issue? Thanks...

[NinjaTrader_ChrisL]

Hello pkr75, thanks for your question.

This setting ties into the historical backfill algorithm described here:
https://ninjatrader.com/support/help...fill_logic.htm

When not enabled, the step in this algorithm will be ignored. If you want to simulate some slippage for bars that can support the number of slippage ticks, enter a value into the "Slippage" field.

Kind regards,
-ChrisL

[pkr75]

Thank you for the quick response Chris. I am familiar with the link that you referenced related to the mechanics of the historical backfill algo. In my particular case, I am using Market Replay playback and "Fill limit order on touch" is not enabled. So I am not sure why my limit orders are being filled on touch. Other than State.SetDefaults and the strategy properties box, is there any other place where this property may have been accidentally enabled?

[NinjaTrader_ChrisL]

Hello pkr75, thanks for your reply.

No, there is no other way this can be enabled for a strategy instance. With this property disabled the historical fill algorithm is being used normally. Try adding a higher resolution fill series for more accurate order fill estimation. Set Order Fill Resolution to High, then choose a smaller period series to fill orders upon (1 tick being the smallest possible series).

Kind regards,
-ChrisL