Forex quantity mismatch between DOM & PnL?

[toughcookie]

Hi,

I entered a forex trade in the dynamic DOM using the SIM101 account. The default order quantity was set to 0.1M, which I took to mean 1 standard lot (=100,000 currency units). I entered a limit buy on the EURUSD, but when it triggered, it started doing a bunch of partial fills with quantities of 3, 4, 6 units at a time. After around 15 mins, it had filled around 200 units and showed 99,800 still remaining to be filled.
At first, I thought it was my mistake and that the original quantity of 0.1M actually meant 100,000 lots, but then when I checked the positions tab on Control Center, the PnL was clearly multiplying by individual currency units rather than lots (the trade was 6 pips down on 190 "lots" and the PnL showed -$0.11).
I'm using DTN IQ feed and I have the FX unit display parameter set to "pip". Can you tell me what quantity I should enter if I want to trade 1 standard forex lot on the DOM?

Thanks in advance.

[NinjaTrader_Jason]

Hello toughcookie,

Please use the current order quantity of 0.1M to trade standard lots.

However, please go to Tools-->Options-->Simulator-tab and check if 'Enforce partial fills' is enabled. If so, please disable it.

In addition, you could also enable 'Enforce immediate fills' to avoid partial fills. More information can be found at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/SimulatorTab.html

[toughcookie]

Hi Jason,

Thanks for your reply. I didn't have the "Enforce Partial Fills" or the "Enforce Immediate Fills" checked. I checked the latter, and that seems to work correctly now, so it looks like partial fills are the default if you don't select either one.

In the link you provided, it mentions the Advanced simulation fill engine. Do you know where I can get more information on this?

Many thanks for your help.

[NinjaTrader_Jason]

Please see the link below for more information regarding the simulation fill engine.

http://www.ninjatrader-support.com/HelpGuideV6/SimulatorOverview.html

[toughcookie]

I may have been too hasty in saying that the problem was solved. It appears to do immediate fills for market orders only. Limit orders are still being partially filled, 3 units at a time. Could take quite a while even to process one mini lot at this rate...

I have the "Enforce Immediate fills" parameter checked, and the "Enforce Partial fills" parameter unchecked.

Any ideas?
Thanks

[NinjaTrader_Jason]

Hello toughcookie,

Can you please go to Tools-->Options-->Simulator-tab and check if 'Enforce immediate fills' is still enabled.

I tested it on my end and was only able to reproduce this behavior when 'Enforce immediate fills' was disabled.

When I enabled the option, 0.1M limit orders were filled as a whole. I did notice that when the bid prcie was not equal to the order price it did fill a few contracts partial, but when bid price was the same as the limit order price, it filled almost instantly.

[toughcookie]

Hi Jason,

Yes, I've checked the "Enforce immediate fills" is enabled.
I've attached a couple of screenshots from a sample EURJPY trade for a short trade on 2 mini lots (0.02M) one just after it triggered and one as it approached a fill of the 2 minis... a sort of before and after

The first is timestamped at 9:28PM -see bottom right of screen (I'm in Central European Time zone, 6 hours ahead of ET) and you can see the short trade at 131.96 shortly after it triggered, where 304 of the 20,000 units have been filled.
The second is six minutes later when it has filled 18,096 units and the average price is now above 131.98 (fortunately moving in my favor). As you can see, the Enforce immediate fills is checked on both screenshots.

Don't know about you, but I figure six minutes is one helluva long time to fill 2 minis on a quiet news day...

Also, note the PnL. On the second screenshot, we have 1.8 minis active with 1 pip of profit. Normally, this would equate to a profit of approx $2, but the PnL shows $249...

Weird.

Thanks for any help.
TC

[NinjaTrader_Jason]

Hello toughcookie,

Does the order fill immediate when bid price is equal to the order price? When the bid price is not equal to the order price, I experience the same on my end.

[toughcookie]

Hi Jason,

I've run a number of tests entering orders at the bid price from the chart (clicking Buy Bid or Sell Bid), on the DOM (clicking on the Bid quick entry button), and on the order bar in Control Center.
On the chart entries, it often filled immediately or very quickly - maybe a very small partial fill and then the whole order was filled a couple of seconds later. However, it didn't work 100% of the time (probably 6 trades out of 8).
On the DOM and order bar, it always did partial fills, quantities varied from 3 to over 900 units. On occasions, it would fill a very small amount like 3 units of the 100,000 of a standard lot and the rest would remain unfilled because price had moved, so the trade was effectively missed.
Also, on the other point I noted in my previous post regarding weird PnL values, I noticed that this is only on some pairs. EURJPY for example shows PnL values 100 times greater than they should be, but EURUSD and USDJPY are correct.

Thanks
TC

[NinjaTrader_Jason]

Hello TC,

When you submit market orders instead of limit orders, do the orders fill at once?

Unfortunately this can be as expected with limit orders; it still can be executed partially.

I tested the PnL of the EURUSD and EURJPY on my end, but it is reflected as expected. See screenshot, the first red column is the inidividual PnL. The EURJPY contained commissions, that is why $64.96 is reflected instead of $60.

Did you modify any settings as per the EURJPY in the Instrument Manager?

[toughcookie]

Hi Jason,

Yes, market orders fill immediately, and in all the tests I've done so far today, all stop orders filled immediately too, but the limit orders are always partial, and sometimes unbelievably slow. Sure, it can happen that you get partial fills on limit orders, particularly in equities, but in my experience it's very rare on forex. In fact, in all the time I was trading forex on Tradestation and MetaTrader platforms, I can't remember partial fills, ever, even in the "dead zone" between the NY close and the Asia open.

Just to be sure I hadn't inadvertantly set something incorrectly, I reinstalled NT, reset the Sim account, reset the Instrument List, set the Enforce immediate fills parameter and tried again, but it's still the same (although resetting the instrument list seems to have fixed the PnL problem I had on the EURJPY pair).

If the rest of the NT user community is getting rapid fills on forex limit orders, then I'll accept that something (though I've no idea what) is incorrect in my set up, but it looks very much to me as if limit orders default to enforced partial fills.

Thanks
TC

[NinjaTrader_Jason]

Only when a buy limit order is located above the bid price (or vice versa), I experience the same behavior; unfortunately it is not possible to have this disabled.

When I manually modify the limit order to the bid price, the order fills immediately.

Note that you trade the sim101 account and not a live account. Most likely behavior when trading live is different; limit orders will not fill in executions of 1.

[toughcookie]

OK, I can live with this on the Sim account, and hope that on live trading it works correctly (I'm sure you would have heard from someone by now if it didn't )

Thanks again for your help.
TC