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Why this simulation fill price difference?

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    Why this simulation fill price difference?

    I'm doing a simple simulation with only 1 contract for better review. So I've found a weird situation and I have a doubt to consult.

    As you can see below, there's a working order below 'c72c50baa5e6487bae8f04dfbf8589af/Sim101' which is filled but NOT at its limit price but a superior one without changing the limit first. Its original limit price is at 2506.25 but it was filled at 2506.50, so my doubt is if this is a simple simulator bug or why does this happen.



    12/20/2018 6:57:02 AM|1|32|Order='c72c50baa5e6487bae8f04dfbf8589af/Sim101' Name='SET SHORT' New state=Accepted Instrument='ES 12-18' Action=Sell Limit price=2506.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''

    12/20/2018 6:57:02 AM|1|32|Order='c72c50baa5e6487bae8f04dfbf8589af/Sim101' Name='SET SHORT' New state=Working Instrument='ES 12-18' Action=Sell Limit price=2506.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''

    12/20/2018 6:57:03 AM|1|32|Order='c72c50baa5e6487bae8f04dfbf8589af/Sim101' Name='SET SHORT' New state=Filled Instrument='ES 12-18' Action=Sell Limit price=2506.25 Stop price=0 Quantity=1 Type=Limit Filled=1 Fill price=2506.5 Error=NoError Native error=''

    12/20/2018 6:57:03 AM|1|16|Execution='2a32b03bd9004c96afd4183f902a088 a' Instrument='ES 12-18' Account='Sim101' Exchange=Default Price=2506.5 Quantity=1 Market position=Short Operation=Insert Order='c72c50baa5e6487bae8f04dfbf8589af' Time='12/20/2018 6:57:03 AM'


    Thanks!

    #2
    There are too many variables involved for me to make any accurate diagnoses with this amount of information, however, this could be due to any of the following:
    • Market conditions/slippage at that moment
    • Simulator engine corruption
    • Database corruption
    I'll need more information to accurately diagnose the root issue:

    What version of NinjaTrader 7 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.X)

    Does this occur on every single fill (1 tick of slippage)? Or does this only occur intermittently/randomly?

    What is the size of your database file? To check, follow these steps:
    • Navigate to Documents > NinjaTrader 7 > Double left click on the 'db' folder
    • Right-click on 'NinjaTrader.sdf' (may only say 'NinjaTrader' depending on your Windows settings) > Properties
    • Tell me the size
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Hi Patrick, thanks for answering.

      - Since the order was a limit order, it's not possible that the cause was Market conditions/slippage, because it will break the basic rule of LIMIT order.
      - Simulator engine corruption or some bug, obviously it's a possibility.
      - Database corruption: I don't think so because it's a new installation, less than a week.

      - Ninjatrader 7: 7.0.1000.39

      - As far I've seen, this is a weird event not seen before, or at least that I'm aware of. I've just found out this by accident, searching for another error.

      - Database is only 15.508kb because it's pretty new.

      This issue is not preventing me to work, but I wanted to let you know when I find weird issues cause it might be of some unknown bug.


      Thanks



      Comment


        #4
        We have simulator code to fill on the bid price for limit orders in a specific scenario. We will review this scenario since it may not be optimal in all cases. Additionally, a sell limit order would fill at that price or better. A higher price would be a better price.
        Patrick G.NinjaTrader Customer Service

        Comment

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