Hello tkaboris,
I have given this a test with TraceOrders enabled and printed the ohlc as well as the order object and from the output I was able to see an issue.
7/10/2023 6:35:00 AM | O: 4439.75, H: 4441.5, L: 4437.25, C: 4439.75
7/10/2023 6:35:00 AM Strategy 'SetParabolicStopTest/284396984': Entered internal SetStopTarget() method: Type=ParabolicStop FromEntrySignal='MyLongEntry' Mode=Ticks Value=5 IsSimulatedStop=False IsMarketIfTouched=False
7/10/2023 6:35:00 AM Strategy 'SetParabolicStopTest/284396984': Entered internal SubmitOrderManaged() method at 7/10/2023 6:35:00 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='MyLongEntry' FromEntrySignal=''
– entry submitted
orderId='NT-00085-104' account='Sim101' name='MyLongEntry' orderState=Submitted instrument='ES 09-23' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00085-104' account='Sim101' name='MyLongEntry' orderState=Working instrument='ES 09-23' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
– stop price initially submitted at 4438.25, 5 ticks below entry
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Submitted instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4438.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Working instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4438.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
– entry filled at 4439.5
orderId='NT-00085-104' account='Sim101' name='MyLongEntry' orderState=Filled instrument='ES 09-23' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=4439.5 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
– two bars go by before the parabolic stop is updated. we are expecting it to update on every new bar
7/10/2023 6:36:00 AM | O: 4439.5, H: 4440.5, L: 4439, C: 4439.75
7/10/2023 6:37:00 AM | O: 4440, H: 4440.75, L: 4439, C: 4439
7/10/2023 6:38:00 AM | O: 4439, H: 4442, L: 4438.75, C: 4441
– stop price amended to 4432.25, which is 29 ticks below the entry
7/10/2023 6:38:00 AM Strategy 'SetParabolicStopTest/284396984': Amended parabolic stop order orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Working instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4438.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10' stopPriceChanged=4432.25
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=ChangePending instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4432.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=ChangeSubmitted instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4432.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Working instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4432.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
7/10/2023 6:39:00 AM | O: 4441, H: 4441.75, L: 4440.5, C: 4441
I've reported the output to our development team to look into the issue. This is being tracked internally with ID # NT-6587.
As new releases of NinjaTrader become available, please check the release notes for SetParabolicStop (the ID may change). Once a correction has been noted in the release notes, please update and confirm the behavior is corrected.
I have given this a test with TraceOrders enabled and printed the ohlc as well as the order object and from the output I was able to see an issue.
7/10/2023 6:35:00 AM | O: 4439.75, H: 4441.5, L: 4437.25, C: 4439.75
7/10/2023 6:35:00 AM Strategy 'SetParabolicStopTest/284396984': Entered internal SetStopTarget() method: Type=ParabolicStop FromEntrySignal='MyLongEntry' Mode=Ticks Value=5 IsSimulatedStop=False IsMarketIfTouched=False
7/10/2023 6:35:00 AM Strategy 'SetParabolicStopTest/284396984': Entered internal SubmitOrderManaged() method at 7/10/2023 6:35:00 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='MyLongEntry' FromEntrySignal=''
– entry submitted
orderId='NT-00085-104' account='Sim101' name='MyLongEntry' orderState=Submitted instrument='ES 09-23' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00085-104' account='Sim101' name='MyLongEntry' orderState=Working instrument='ES 09-23' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
– stop price initially submitted at 4438.25, 5 ticks below entry
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Submitted instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4438.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Working instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4438.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
– entry filled at 4439.5
orderId='NT-00085-104' account='Sim101' name='MyLongEntry' orderState=Filled instrument='ES 09-23' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=4439.5 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
– two bars go by before the parabolic stop is updated. we are expecting it to update on every new bar
7/10/2023 6:36:00 AM | O: 4439.5, H: 4440.5, L: 4439, C: 4439.75
7/10/2023 6:37:00 AM | O: 4440, H: 4440.75, L: 4439, C: 4439
7/10/2023 6:38:00 AM | O: 4439, H: 4442, L: 4438.75, C: 4441
– stop price amended to 4432.25, which is 29 ticks below the entry
7/10/2023 6:38:00 AM Strategy 'SetParabolicStopTest/284396984': Amended parabolic stop order orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Working instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4438.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10' stopPriceChanged=4432.25
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=ChangePending instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4432.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=ChangeSubmitted instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4432.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
orderId='NT-00086-104' account='Sim101' name='Parabolic stop' orderState=Working instrument='ES 09-23' orderAction=Sell orderType='Stop Market' limitPrice=0 stopPrice=4432.25 quantity=1 tif=Gtc oco='NT-00082-104' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-07-10 06:35:00' gtd='2099-12-01' statementDate='2023-07-10'
7/10/2023 6:39:00 AM | O: 4441, H: 4441.75, L: 4440.5, C: 4441
I've reported the output to our development team to look into the issue. This is being tracked internally with ID # NT-6587.
As new releases of NinjaTrader become available, please check the release notes for SetParabolicStop (the ID may change). Once a correction has been noted in the release notes, please update and confirm the behavior is corrected.
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