A Pending order is not triggered on Historical filling

[webus]

Hi,

My Strategy opens 3 Pending Limit orders at the same time. I noticed, that sometimes the orders are not filled on historical state. However, I visually see that the candle crossed the opening price of orders. I would like to know the reason.

The chart is ESJun23 Minute5, is based on Last. The connection is 'My Continuum'.

I've tried two approaches - Mannaged and Unmannaged. The result is the same. My Strategy uses 1Tick dataseries (AddDataSeries(BarsPeriodType.Tick,1)) and 'selectedBarsInProgress' for orders is '1' (tick dataseries). For this specific candles I added a tick-by-tick logging - so, I saw each new tick's price in 'OnBarUpdate() -> 'BarsInProgress == 1''. I saw that the current tick price crossed the Limit order prices (and stayed outside), but the orders stayed pending.

I tried to catch the same behavior on "My Kinetics" but I didn't see the same cases. What could be the reason?

[NinjaTrader_ChrisL]

Hello, thanks for writing in. The only way to improve the order fill estimation in the historical data is to add a 1 tick series and submit the order to that series as you have already done. One possibility is that you do not get the 1 tick data that you are requesting. To confirm this, try loading a 1 tick chart that includes the day you saw the order not fill and see if the data populates on the chart.

[webus]

Hi NinjaTrader_ChrisL,

Hello, thanks for writing in. The only way to improve the order fill estimation in the historical data is to add a 1 tick series and submit the order to that series as you have already done. One possibility is that you do not get the 1 tick data that you are requesting. To confirm this, try loading a 1 tick chart that includes the day you saw the order not fill and see if the data populates on the chart.

Probably I was not clear enough. I logged each new tick on the candle with the issue. So, I spammed to the NinjaScript output:
Print(Closes[1][0].ToString()) and compared these values with the order's limit price. And I saw that the current ticks were outside the limit price (the order must has been triggered). If there were no tick's data - I would not see the OnBarUpdated() for 'BarsInProgress == 1' with these prices, am I correct?
So, once again - I saw that the current tick price was outside the order's limit price (on State.Historical) - but the order were not triggered.The order's state was just 'Working' or 'Accepted' (I do not remember exactly, but in was just a Pending Limit order). However, approximately 99% of other orders were triggered correctly. There were just a few such cases. I do not understand the root of the issue.

[NinjaTrader_ChrisL]

Hello, thanks for the follow up. If you do see tick data from around the time the order was missed then you do have 1 tick data for the strategy to use. Please go into your strategy settings and enable "Fill Limit Orders on Touch". If you enable this, do you see the skipped orders get filled? Also make sure Slippage is set to 0.