Slippage on DOM for LIVE orders

[cnecorp]

Hey Guys

I had 2 incidents involving significant slippage while trading LIVE on my DOM today.

I trade the 6E (EUR/USD currency futures) with MIRUS on a ZEN Fire feed. I do not trade the FOREX.

Incident 1

• Placed limit buy order at 1.2251 and got filled at 1.2257

Incident 2

• Places limit sell order at 1.2294 and got filled at 1.2278

I rang MIRUS Emergency and was advised of the following:

• Incident 1 was a real slippage i.e. I got filled at 1.2257
• Incident 2 was NOT a real slippage, I got filled at 1.2294

When trading LIVE

• I set my DOM Stop Limit Offset to off
• I placed the orders by placing a trade on the buy/sell column at the limit price i.e. 1.2251 in the buy column in incident 1 and 1.2294 in the sell column for incident 2
  
  I DID NOT use the Market Order or the quick buttons

My understanding is that by placing my orders as described with the stop limit offset set to OFF, that I could not be entered at a price other than my entry price or better (not worse)

Please advise if this is not the case and what I need to do to prevent this from recurring in the future.

I'd also like to know what caused the DOM to display a false entry as occurred in incident 2 and what I can do to prevent this from happening again.

[NinjaTrader_Bertrand]

cnecorp, were those two independent trades or did you add to your position with the second entry?

To review what exactly occurred and to see which order types you were placing, please send us your trace and logs via the Help > Mail to Support feature.

Thanks

[cnecorp]

Thanks Bertrand. Sending trace now.
They were independent orders:

Correction to my posted details, both were short orders.

Incident 1 was just after market reopened
- Short@ 1931 (Just prior to Asian Market)
- Exit @ 2057

Incident 2 was during the Euro market:
- Short @ 0443
- Exit @ 0516

[NinjaTrader_Chip]

Hello cnecorp,

Thank you - We have receive the diagnostic files you sent & will review them. After we have an opportunity to go through them we will report back.

Please let us know if we can answer any additional questions in the mean time.

Thank you,

[cnecorp]

Thanks Chip. This is my immediate concern atm so any assistance is most appreciated.

[NinjaTrader_Chip]

You’re very welcome cnecorp. We will report back as soon as we complete the review.

Thank you for your patience.

[NinjaTrader_Bertrand]

cnecorp, thanks for providing those files, you're correct on indicent 2 you placed a regular limit order at your price and got filled at it, however the displayed avg position price was off, I suspect likely an issue with your database here (please try a compact / repair under Tools > Options > Misc while in a disconnected state).

Your other order 1.2251 I could unfortunately not locate, was it placed as entry order on the 23rd, too? I could only find this price as related to a stop in an ATM and those would use StopLimit with an offset per default, can you please clarify?

Thanks

[cnecorp]

Bertrand
My limit order was at for a short at 1.2263, not a long at 1.2251. I know i had a 6 tick slippage and quoted it in the report the wrong way i.e. 1.2257 - .0006 = 1.2251 instead of 1.2257 + .0006 = 1.2263

I do apologise for the confusion.

And yes, the order was on the same day i.e. short at 19:31/exit at 20:56.

I will compact and repair my MDB as advised though,

[NinjaTrader_Bertrand]

Sorry - on this price level I see a Sim101 order and execution exactly on the specified price (lmt order) and a some StopLimit stoploss orders created by an ATM (which would have an offset per default).

[cnecorp]

Bertrand
Sim trades should not affect my live entries should it?

So if understand you correctly, you can see my short at 1.2257 but not limit order at 1.2263.

Question is, did the DOM see 1.2257 as my limit order, if not what did it register my limit order at. I know I placed it at 1.2263.

[NinjaTrader_Bertrand]

cnecorp, correct in the files provided there are no live account entry orders at either those price levels - orders placed on the Sim101 would be independent - please check your broker statements from the day at which exact time and price the execution on your live account took place.

[cnecorp]

Bertrand
Broker statements (or at least the emergency desk) confirm entry at 1.2257 at the times quoted.

It is concerning that the trace have no records of orders placed.

I would as a minimum have expected the trace to at least confirm an entry at 1.2257 if not the order at 1.2263.

I guess thats as far as you can take it. At least we tried.

Thanks so much for you effort.

[NinjaTrader_Bertrand]

You're welcome - however to clarify : there are live trades / executions at this level on your live account, however those were placed by your ATM's as StopLimit exit orders and thus those would use a default offset.

[cnecorp]

Thats what I meant though, that there was no record of my limit entry at 1.2263 nor a "manual" entry at 1.2257 but yet it did enter me into the market in a live order at 1.2257.

From my understanding of what you have said, it seemed like the system thought it was an ATM that put me into the trade. Furthermore, that still does not explain the real 6 pip slippage.

Hopefully the MDB repair will do the trick.

Thanks again for you effort on this Bertrand