Should orders fill at the bid/ask price? Not Close[0] price?

[lahmannjohn]

I'm back testing on a volatile day to make sure my strategy is placing stops in valid positions. I'm calculating on each tick. I'm checking the Close[0], GetCurrentAsk(), and GetCurrentBid(). If I understand correctly, the market is really at the Bid/Ask value, not the Close[0] value. Close[0] is the last traded price. The example I'm working on now, the market is moving down and then makes a quick jump up. I get the values below.


double ask = GetCurrentAsk(); =5502
double bid = GetCurrentBid(); =5501.75
double currentPosition = Close[0]; =5500

I'm submitting an unmanaged market order to enter the market using ActiveOrder = SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Market, OrderQuantity);

I check, and confirm, the average fill price is at the ask, 5502.

Then I submit an unmanaged stop loss order one point below my entry location at 5501.

stopLossOrder = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.StopMarket, OrderQuantity, 0, 5501);

The problem is, the stop loss order is immediately being filled at the Close[0] value of 5500. Is this just a characteristic of order fill simulation in back testing or will this happen in real time as well? Shouldn't the bid/ask value have to come down to 5501 to trigger the stop loss order?

[NinjaTrader_Jesse]

Hello lahmannjohn,

The bar prices are used directly in a backtest for fills so Close should be used in addition to other bar values to help calculate the prices for fills.

https://ninjatrader.com/support/helpGuides/nt8/historical_order_backfill_logic.htm

I couldnt say if that will also happen in realtime, you would have to test the strategy and see if when the stop is submitted if it is filled right away.