Simulated Stop Orders Firing Early

[Json]

using 5.2.1000.3 w/ TT connectivity

Simulated Stop Orders are executing without respect to Bid/Ask Size

any ideas?

[NinjaTrader_Ray]

imported post

Simulated stop orders will execute:

For sell stops (when long)

- last price < stop price
- last price = stop price and bid size < volume trigger

Forbuy stops (when short)

- last price> stop price
- last price = stop price andask size< volume trigger


Ray

[Json]

imported post

Ray,

I understand the logic of the execution, what I'm saying is they are executing early.

They execute at the right price just way before the volume leve is breached.

Could some delay in quotes or other factors cause them to fire early?

[NinjaTrader_Ray]

imported post

Sorry, did not mean to imply that you didn't. I guess what I am saying is that the logic I outlined is the only way that these orders can trigger. What that really means is the triggerconditions really occured. Market data/depth can move so fast that a trigger can occur and it may not even be noticeable to the human eye.

For example, the bid size can change 20 times inasecond. If your trigger is 500 contracts, you could see something like this:

700
734
781
489 <--- triggered
781

All this happening in 200 ms.

Ray

[Json]

imported post

Ray,

please test this scenario and see what you find.

Use simulated stop limits in ZN 12-06 with a volume trigger of 1. Setorders at the next few ticks on both sides of the market. look at the time and sales as you watch these orders execute. On my setup they are executing very irregularly. For this to occurwithout a market turning trade(not shown on T&S) the entire bid/ask must be canceling and replacing within a time slice so small I can't perceive it.

Is that what you think is happening?

[NinjaTrader_Ray]

imported post

Simulated stops have nothing to do with T&S. It executes on bid or ask size (depth) not last trade size. You will not see change in bid or ask size on T&S in NinjaTrader.

See attached image, ran this for sometime and all works as expected.

Ray

[Json]

imported post

Ray,

Explain this.

I crossingthe market here to prove a point.

I'm 8 bid for 1 contract

I'm selling 1 SS at 8 with a volume threshold of 1

How is it possible that the SS executes and I'm left unfilled on my 8 bid?

[NinjaTrader_Ray]

imported post

1. Can't compare the processing of a limit order in sim to the triggering of a sim stop in simulation. Two different algorithms.

2. Where do you set the value of 1 for the volume trigger?

Ray

[Json]

imported post

Ray,

SuperDom_Properties_SImulated Order Volume Trigger

[NinjaTrader_Ray]

imported post

Thanks. I will open a case in the event that we have other reports of this. I can't reproduce and its working as designed on several PCs I have tried.

[Json]

imported post

Ray,

I have verified with the ECBOT that these orders are being received as Stop orders resting on the exchange server. that explains why they are executing early.

[NinjaTrader_Ray]

imported post

Then what this means is that you are not using a simulated stop. You can verify a simulated stop is used if the size marker on the edge of the DOM is yellow as per my image earlier. Enable Simulated stop entry orders via the right mouse click menu.


Ray

[Json]

imported post

Ray,

Thanks for your help, sorry I didn't catch that earlier. Keep up with the great product.