Trades Wrongly Filled Above High of Bar

[KBJ]

One of my clients has been using NinjaTrader in simulation mode with a live Forex data feed from Gain.

He has shown me several cases of a problem where his trade was filled above the high of the bar, which clearly should be impossible.

I've attached two examples.

I checked the log, which says the trade is being stopped out exactly where the blue triangle is displayed in the trade visualization. The problem is that this value is 2 or more ticks above the high of the bar.

The earlier $AUDJPY trade shows both his entry and his exit at prices which are 2 or more ticks above the corresponding bars.

This problem seems similar to the one found in thread [http://www.ninjatrader-support2.com/...ad.php?t=4570], but I thought that had long ago been fixed.

Any ideas?

[NinjaTrader_Jason]

Hello KBJ,

Am I correct the client is trading an automated strategy? If so, does it only occur using that particular strategy?

What happens if you right click in the chart and select 'Reload Historical Data'. Could it be, the bars now reach the prices of 86.57 and 64.98?

[KBJ]

He's not using any automated strategies.

The trades shown were placed using the chart trader Buy Market and Sell Market buttons with at ATM Strategy specifying a stop loss of 20 ticks, which got triggered when apparently it shouldn't have been.

Since these trades would have been winners for my client, he's a little bent out of shape that trades keep getting stopped out when they shouldn't be. He's trying to get past simulation mode so he can move on to live trading, but this situation is not inspiring confidence for him.

The attachments were made by right-clicking on a chart and clicking on 'Save As Image...' and the charts that were displayed were created by clicking on 'Chart...' after right clicking on a particular execution in the Executions tab of the Account Performance tab of the Control Center. This particular chart does not have a 'Reload Historical Data' selection as part of its right-click menu. I reloaded the historical data from a chart created from the Control Panel -> File -> New -> Chart... selection, which refreshed the other chart as well, but it didn't change the trade visualization on either chart (the high of the bars are still a couple of ticks below where the stop loss gets filled.)

I've attached the chart from this morning for which I just did the 'Reload Historical Data' operation. As you can see it has the same problem as the others.

[NinjaTrader_Ray]

FX charts are driven by the bid price since there is not "last" price. Thus, buy market orders are filled at the ask price which are not charted and thus the order will be displayed at whatever the ask price was at that point in time. If the FX broker and currency pair is quoting three pip wide spread, I would expect to see the execution marker 3 pips above the chart price.

Hope this clarifies things.

[KBJ]

Ray, Thanks for your explanation.

I'm having trouble figuring out why the $EURUSD would have a 7-pip spread. It's usually 2 pips from Gain (sometimes 3), and when we looked at the spread immediately after the trade was stopped out, it said 2 pips.

Is there some funny business that they're doing here regarding the spreads?

[NinjaTrader_Ray]

You would have to contact GAIN to discuss their spreads, for sure things can get wider in volatile markets and during news events.

[KBJ]

Ray, that's a good insight about the news.

I didn't look at this before, but it's possible that there was a news event on this particular trade, as there was quite a price movement for the Euro right at 03:00 AM (EST), and he was stopped out less than a minute later.

So I guess this probably explains the extreme spread for that moment in time.