Why this simulation fill price difference?

[pstrusi]

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!

[NinjaTrader_PatrickG]

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

[pstrusi]

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

[NinjaTrader_PatrickG]

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.