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.
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