NT7 Problem Still Not Addressed: Zero Bid triggers limit orders

[cgeorgan]

Hi guys-

I addressed this issue several months ago, and actually thought it was fixed as I hadn't had the problem spring up in about a week here of using NT7. Turns out I just didn't get any "zero bids."

If you have a short order, and you have a standing limit order to cover, a bid price of zero from your data provider will trigger the limit order to fill at zero.

I've attached a very easy to follow screen shot of exactly this issue in GC.

The only way around this "error" (it cannot be 'avoided') is to create a reversing trade in the historical trade log, where I short GC @ zero, then re-fill it (cover) at the original price. Then I need to enter a new, real trade that reflects the prior short as well as the price the trade would have covered at. As you can imagine, this wreaks havoc on trade statistics.

It's so bad that you'll see I use separate SIM accounts for every commodity type - because this error is not uncommon and I don't want errors from one instrument messing up trade statistics from other instruments.

Any idea on fixing this guys? A simple tick filter that eliminated zero prices would work.

[NinjaTrader_Bertrand]

Thanks for the screenshot and case scenario cgeorgan - I'll review it and your original one from the beta days and get back to you.

[cgeorgan]

Bertrand -

Thanks for looking into this.

CG

[NinjaTrader_Bertrand]

CG, you're welcome -

1. On which instruments are you seeing this regularly happen in your setup?

2. Is the target order placed by a NS strategy? Then please confirm the limitprice of this order is, not even for a split second, set to a price of 0 - as this could cause the issue seen as well.

[NinjaTrader_Bertrand]

In addition - please send your log / traces with the approx time of the issue via Help > Mail to Support to my Attn.

Thanks in advance,

[cgeorgan]

CG, you're welcome -

1. On which instruments are you seeing this regularly happen in your setup?

2. Is the target order placed by a NS strategy? Then please confirm the limitprice of this order is, not even for a split second, set to a price of 0 - as this could cause the issue seen as well.

I can tell you for certain it's most common with NYMEX metals (GC, HG, SI). I can't recall if I've seen it with other instruments (I haven't worked on this in about 3 months), but my gut tells me it has happened at least a couple of times with other instruments.

My strategies are all unmanaged. The only orders that are adjusted in real-time are stop orders. Target orders are set immediately upon execution, and are based on position average prices (that's provided by NT). I've never had this happen anywhere near execution...usually I'm sitting in a position and ... zip ...zero bid comes, order filled.

In prior examples where I've picked this out, each time I've gotten a zero fill, it's been because of a zero bid on a short (a zero offer on a long would not trigger a fill, logically speaking). It's not even a zero "last" - just zero "bid."

[cgeorgan]

In addition - please send your log / traces with the approx time of the issue via Help > Mail to Support to my Attn.

Thanks in advance,

I sent it to support AT ninjatrader . com, Attn: Bertrand.

[NinjaTrader_Bertrand]

Thanks - just replied directly to your note sent to support.

[cgeorgan]

CG, you're welcome -

1. On which instruments are you seeing this regularly happen in your setup?

Ahh, it came back to me -

In addition to NYMEX metals, I had this spring up a lot with CME Agricultural products (ZW, ZC, ZL, ZS).

[NinjaTrader_Bertrand]

Thanks for the additional input, we are looking into it.