Auto trail Error - slippage probably?

[fredyyy]

Hey guys

This one happened to me last week:

I was short on the ES futures, had a few points protective stop and had set auto trail to lower the stop as the price kept comming down.

I had quite a profit already and the auto trail was doing great, trailing the price and protecting part of the profit ive conquered so far.

Suddently the price reversed, and started rallying again.

I was not online at the time since this trade happened in like.... 2 or 3 days, but since the auto trail was on and by the last time i checked, it had already protected a nice profit, i figured that even if the price started comming up, the stop would get filled and i would still get the profit at that point.

This has worked out a lot of times before, but this time the price just went trough the stop as if it wasnt there at all and back to break even.

i closed the trade at the market cause the auto trail was useless.....

Im having a confidence crisis in auto trail right now, since i just like to get on the trade and let auto-trail do the exits....

does this happen to anyone else?

Ive checked if the market gapped up and jumped over the stop or something.....but i cant find anything that explains it....
maybe just slippage.....but it kinda sucks anyway!

[NinjaTrader_Kyle]

Hi fredyyy,

Thank you for your post and welcome to the NinjaTrader support forum.

Please send a note to Support [AT] NinjaTrader [DOT] com with 'ATTN: Kyle' in the subject line.

In the message, please include the following:
1.) A link to this forum thread.
2.) Your log and trace files from the date this occurred.
You will find the log file here: My Documents > NinjaTrader 6.5 > Log > log.YYYYMMDD.txt
You will find the trace file here: My Documents > NinjaTrader 6.5 > Trace > trace.YYYYMMDD.txt

[fredyyy]

this situation happened again!

these are from the latest time it happened.

The trade took place from the 12th to the 14th of October.
Today (14) i already had a lost, so i closed at the market.

Im sending the trace and log youve requested as well as a printscreen of the trade itself:

Day 12: I enter short in the market, and by the end of the day im already having a nice profit, so auto trail takes the protective stop to breakeven + 2 ticks (as i defined).
Day 13: I had almost 6 points profit, but the market turns. But the protective stop was at BE + 2 ticks so i didnt worry if price reached that point.
Day 14: I log on to find out im having 9 point loss! because price rallied up and trough the protective stop as if it wasnt there...

I hope you can help me, because im losing faith in auto trail....

[NinjaTrader_Jason]

Hello fredyyy,

Yes, please send us the log and trace files for all three days, so we can investigate what happened.

Please include what estimated time you submitted the entry order, what instrument you traded and at what price it filled as well.

[fredyyy]

How can this be correct?

If im short at 1073,25 (with a stop loss at 1076,25 = 3 points), auto trail should have pulled the stop to BE+2ticks PROFIT .... BUT you say that in the 13/10 the auto-trail changes my protective stop to 1077.25 (4 points LOSS away from BE)! This cant be correct!

Thank you for your response.
I checked your log files and it listed the following:
On 10/12, you submitted the entry order at 19:11:59,, which executed 14 seconds later.
12-10-2009 19:12:13|1|16|Execution='9fb001314d5e423883db6b941 3cacdbc' Instrument='ES 12-09' Account='Sim101' Exchange=Default Price=1073,25 Quantity=1 Market position=Short Operation=Insert Order='75e282c384544bf7beef1ca688de721f' Time='12-10-2009 19:12:13'
It results in the position below.
12-10-2009 19:12:14|1|64|Instrument='ES 12-09' Account='Sim101' Avg price=1073,25 Quantity=1 Market position=Short Operation=Insert Currency=Unknown
Your stop loss is resting at 176.25.
12-10-2009 19:12:14|1|32|Order='64f3930b1e8d43fea470accb37b11 274/Sim101' Name='Stop1' New State=Accepted Instrument='ES 12-09' Action=Buy Limit price=1081,25 Stop price=1076,25 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
On 13/10, the stop loss is modified.
13-10-2009 14:44:46|1|32|Order='64f3930b1e8d43fea470accb37b11 274/Sim101' Name='Stop1' New State=PendingChange Instrument='ES 12-09' Action=Buy Limit price=1077,75 Stop price=1072,75 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
13-10-2009 14:44:46|1|32|Order='64f3930b1e8d43fea470accb37b11 274/Sim101' Name='Stop1' New State=Accepted Instrument='ES 12-09' Action=Buy Limit price=1077,75 Stop price=1072,75 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
It is now resting at the price of 1077.25
On 14/10, you are still in the same position and the stop loss is resting at 1077.25 as well.
At 11:01:56 you hit the Close button.
This caused the stop loss to be cancelled. Subsequently a Close market order is submitted to close the position. The order filled at the price the market was trading at that moment, which was 1082.50.
14-10-2009 11:01:57|1|16|Execution='3f574724d2714d8e9f451117a d8f9b2f' Instrument='ES 12-09' Account='Sim101' Exchange=Default Price=1082,5 Quantity=1 Market position=Long Operation=Insert Order='f4e441565e5046efa4241f87a660c4d0' Time='14-10-2009 11:01:57'
NinjaTrader worked as expected.



What is auto trail for then??


I expect the protective stop to keep coming DOWN when im short... not to go further up increasing my loss... (from 1076 to 1077..)



In my desktop the auto trail DID pull down the stop as i wanted: placing it at BE + 2 ticks profit... the stop should be filled AT LEAST at 2 ticks profit.... it could never enter a loss after auto trail placed it there...



Even if that was correct and my stop was indeed at 1077,75 , the price STILL went up to 1082,50 (at the time i closed), which means that either way the stop was inefective...


Contrary to what you say, on 14/10, im still in the same position and the stop loss is resting at BE+2 ticks profit! as you can see in the print screen ive sent, even tough in this day, price had already ignored that stop and kept going up.


The Trade should have worked like this:

• Enter at 1073,25 with stop at 1076,25.

• I did have enough profit to trigger the auto-trail, which brings the stop loss DOWN to BE+2ticks as i see it in my desktop (you say it pulled the stop UP to 1077,25... this shouldnt have happened to start with)

• Price turns around, i loose my profit, BUT at least i've got the stop at BE+2 ticks, which mean im getting stopped there and the trade is over. (this didnt happen: altough the stop was indeed at BE+2 ticks profit in my screen, price just ignored it and kept going up without stopping me out. Even if the right stop was at 1077,25 as you say, price STILL ignored it, as it went up to 1082,50 when i hit close. Price shouldnt have been able to reach 1082,50 with my trade still active, because the stop was way bellow that level)

So Ninjatrader did not work as expected, because if it did, we wouldnt be discussing this...

Please help me understand this, because a few months ago it did work as expected and i havent changed my settings so far..
In my screen it STILL happens as i expected.... only that now i dont get stopped out when i should...

[NinjaTrader_Kyle]

Hello fredyyy,

Thank you for your reply.

Please continue to work with Jason via the email string you already have going.