Strategy fills above market price for Market Replay

[anyaM]

Hi,

The strategy executes above the market price.
I did read this : http://www.ninjatrader.com/support/f...ad.php?t=42337

I do understand that my chart is based on last, and strategy will execute at best bid/ask for more realistic result. But isn't chart then supposed to catch up with that executed price at some point?
In my case it never does for next 2 bars (See the picture attached).

This is market replay on forex 10 min bar.
Filled at 1:11:24 @ 1.3243

Is there anything I don't know? Some special execution rules?

Thanks!

[NinjaTrader_Bertrand]

Hi anyaM, you're correct you see this as the chart is showing the last price, while executions are done on the bid / ask (in replay, live / sim trading).

The chart would not catch up, in FX the bid price is normally charted since no real Last exists. Thus the Ask price series would always run higher than the bid / last in your case.

[anyaM]

Originally Posted by NinjaTrader_Bertrand

Hi anyaM, you're correct you see this as the chart is showing the last price, while executions are done on the bid / ask (in replay, live / sim trading).

The chart would not catch up, in FX the bid price is normally charted since no real Last exists. Thus the Ask price series would always run higher than the bid / last in your case.

Thanks Bertrand, just to repeat so we are on the same page. In real life situation the chart will catch up since it would be a real trade executed on a market, but since its just a simulation, and the trade doesn't affect the market, the price doesn't reach that point. Is that right?

[NinjaTrader_Bertrand]

No, in FX the charts are driven by the bidprice, so the Ask quoted would always be higher (as it includes the spread you pay), thus any execution on the buy side will be charted out of the bid based bars then.

[anyaM]

Originally Posted by NinjaTrader_Bertrand

No, in FX the charts are driven by the bidprice, so the Ask quoted would always be higher (as it includes the spread you pay), thus any execution on the buy side will be charted out of the bid based bars then.

Sorry, im confused.
If my chart is showing best bid price, instead of last. and the order that i mention BUY 1 @ 1.3243 gets filled, shouldn't the chart reach that price mark then?

In my mind for buy order to execute, the price of this order has to become the best bid price for awhile, am i wrong?

[NinjaTrader_Bertrand]

You are not trading a futures contract or equity here, but spot FX directly with your broker - so there's no unified exchange / price / market available. You get a quote to buy and one to sell from your broker directly who participates 'for you' in the bigger interbank market.

[anyaM]

Originally Posted by NinjaTrader_Bertrand

You are not trading a futures contract or equity here, but spot FX directly with your broker - so there's no unified exchange / price / market available. You get a quote to buy and one to sell from your broker directly who participates 'for you' in the bigger interbank market.

Ok, stops on FX logic. Does a sell stop wait until = best bid and a buy stop wait until = best ask as i would expect?

thanks

[NinjaTrader_Bertrand]

Yes, Buy Stops would be triggered by the ask and Sell Stops by the bid.

[neoikon]

Originally Posted by NinjaTrader_Bertrand

Yes, Buy Stops would be triggered by the ask and Sell Stops by the bid.

In SIM, is there a way to change this behavior to "last" or an actual executed trade before triggering a stop?

It's frustrating to get stopped out many pips away from actual market movement, especially when the market never trades at the price set by the stop.

Thanks!

[NinjaTrader_Bertrand]

Unfortunately that would not be configurable neoikon. I will add this request though to our feedback tracking lists in product management.