Question regarding Order Execution

[gmeirelles]

Hello,

Please I'm creating an Strategy and I'm not having the expected behavior. Could ypu please give me some guidance?

When my strategy is triggered, I use the method EnterShortLimit to enter Short Limit at 4418.50 if the market hits that price. Otherwise I have a logic to cancel the order and do something different.

However, the Strategy Analyzer is executing the Order in the current Price (4419.00). I would like to keep an Order Opened until the Limit Price is reached. Am I doing something wrong?





Thank you in advance.

[NinjaTrader_ChelseaB]

Hello gmeirelles,

A limit order fills at the specified price or better.

For a sell limit, this will fill immediately if it is below the current bid price. (A sell limit placed above the bid would wait until the bid price reaches it)

You may be intending to use a sell stop order instead. This would be placed below the bid and would wait until the bid price reaches it.

Also, as this is historical data, 1-tick intra-bar granularity would be necessary for accurate intra-bar fills.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

[gmeirelles]

Hello gmeirelles,

A limit order fills at the specified price or better.

For a sell limit, this will fill immediately if it is below the current bid price. (A sell limit placed above the bid would wait until the bid price reaches it)

You may be intending to use a sell stop order instead. This would be placed below the bid and would wait until the bid price reaches it.

Also, as this is historical data, 1-tick intra-bar granularity would be necessary for accurate intra-bar fills.
https://ninjatrader.com/support/foru...377#post773377

Thank you Chelsea for your prompt reply.

When I try to call the EnterShortStopLimit instead, I received the error message below:

SubmitOrderManaged() method at 28/06/2023 17:50:00: BarsInProgress=0 Action=SellShort OrderType=StopLimit Quantity=1 LimitPrice=4418.50 StopPrice=4423.25 SignalName='Entry Short' FromEntrySignal=''
Error: An order has been ignored since the stop price ‘4423.25’ near the bar stamped ‘06/28/2023 17:50:00’ is invalid based on the price range of the bar. This is an invalid order and subsequent orders may also be ignored.

Could you please advise? Is it regarding to the last statement of your message?

Thank you in advance.

[NinjaTrader_ChelseaB]

Hello gmeirelles,

To confirm, you are trying to place this order below the market price?

What is the Open, High, Low, Close, of that 5:50 PM bar?

May I confirm this script implements 1-tick intra-bar granularity?

I've noticed you have the limit far below stop price. If you set the limit to the stop price does the same error occur?

[gmeirelles]

Hello gmeirelles,

To confirm, you are trying to place this order below the market price?

What is the Open, High, Low, Close, of that 5:50 PM bar?

May I confirm this script implements 1-tick intra-bar granularity?

I've noticed you have the limit far below stop price. If you set the limit to the stop price does the same error occur?

- The 5:50 PM BAR:
Open: 4422.75
High: 4423
Low: 4419.50
Close: 4420

- The script does not implements 1-tick intra-bar


- The stop is not far below, I'm looking to entry short at 4418.50 when the price reaches, with a stop 5 points above at the 4423.25.

By setting the same amount in the Limit and in the Stop it worked well! Is it ok to use like this?

Thanks

[NinjaTrader_ChelseaB]

Hello gmeirelles,

The order ignored is a sell short order placed at 4423.25 which is above the bar not below.

Is this your short entry with the name Entry Short? If so, you are not placing that at 4418.50 which would be below the bar. You are placing that at 4423.25.

The stop price must be below the bid.

A stop limit rests at the stop price. Once the stop is touched it is turned into a limit at the limit price. I think you may have the stop and limit prices reversed.