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RC2 Fill Engine bug OrderFillResolution.High

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    RC2 Fill Engine bug OrderFillResolution.High

    The bug:
    Documentation
    under “Understanding order fill resolution” says “The secondary bar series will mimic the 'price based on' setting in your Strategy Analyzer settings”.
    This means that MarketDataType should be the same on (automatically added) secondary as the primary.
    But in the current implementation the MarketDataType of the added series is always Last (it does not ‘mimic’ from the primary).

    Steps to reproduce the problem:
    Run attached strategy sTestFillEngine1 with MarketDataType=Ask, Historical Fill Processing: Resolution=High
    Here is example output using daily USDJPY (resolution type=minute, value=1).
    Configure: sTestFillEngine1
    DataLoaded: BarsArray.Count=2, Dataseries:
    BarsInProgress index=0. Instrument=USDJPY, MarketDataType=Ask, BarsPeriodType=Day, Value=1, Timeframe: From=12/10/2016 00:00:00, To=19/10/2016 00:00:00, TradingHours=IBForex, BreakAtEOD=False, Count=6
    BarsInProgress index=1. Instrument=USDJPY, MarketDataType=Last, BarsPeriodType=Minute, Value=1, Timeframe: From=12/10/2016 00:00:00, To=19/10/2016 00:00:00, TradingHours=IBForex, BreakAtEOD=False, Count=8438
    Setup: A*****t=B******t, Calculate=OnBarClose, MaximumBarsLookBack=TwoHundredFiftySix, BarsRequiredToTrade=0, StartBehavior=WaitUntilFlat (IsAdoptAccountPositionAware=False)
    Historical Fill Processing: Resolution=High, Type=Minute, Value=1, IsFillLimitOnTouch=False, Slippage=0
    Order Handling: (managed) EntriesPerDirection=1, EntryHandling=AllEntries, IsExitOnSessionCloseStrategy=False, StopTargetHandling=PerEntryExecution
    Order Properties: SetOrderQuantity=DefaultQuantity, TimeInForce=Gtc (TraceOrders=True)
    Historical
    OnBarUpdate BarsInProgress=0, CurrentBar=0, Time=12/10/2016 22:00:00 (close of CurrentBar), bar-being-built will close at: 13/10/2016 00:00:00
    12/10/2016 22:00:00 Strategy 'sTestFillEngine1/-1': Entered internal SubmitOrderManaged() method at 12/10/2016 22:00:00: BarsInProgress=0 Action=Buy OrderType=Market Quantity=100,000 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
    OnOrderUpdate Name=Buy, OrderState=Submitted
    OnOrderUpdate Name=Buy, OrderState=Accepted
    OnOrderUpdate Name=Buy, OrderState=Working
    OnOrderUpdate Name=Buy, Qty=100000, filled=100000, avgFillPrice=104.165
    *** Warning: We expected FillEngine to fill Buy at openNew=104.215 but got 104.165 instead
    ...
    You can see that NT has added BarsInProgress index=1 as Last, which in Forex is same as Bid. And seems to route orders placed in BarsInProgress index=0 (which is Ask) into BarsInProgress index=1 (which is effectively Bid). Resulting in some confusing behaviour.
    You can see that the final warning message shows that the Fill Engine has filled the market Buy at the lower Bid price. This would obviouly never happen Realtime and since user specified a Ask series this is not expected.
    Attached Files

    #2
    Hello DaveE, and thank you for your report.

    This behavior was confirmed on our end. We will be investigating this further. Please keep an eye on the NinjaTrader 8 Release Notes page for updates and bugfixes.


    http://ninjatrader.com/support/helpG...ease_notes.htm


    Tracking ID: QA-2340
    Jessica P.NinjaTrader Customer Service

    Comment


      #3
      Hello DaveE,

      This should be repaired with the next release of NinjaTrader 8. Please let us know if this is not the case.
      Jessica P.NinjaTrader Customer Service

      Comment

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