Sell stop at 88.90 and filled at 89.13

[cw30000]

Was doing SIM on CL and enter a sell stop order at 88.90, then I heard ordered filled and followed by target filled. I look at the chart and notice price touched 88.90 but didn't go down. Chart trader indicated the sell stop was filled at 89.13, 20+ ticks in favor.

This probably don't affected live account, but just want to reported.

Below is the log of it.

Log:


1/20/2011 11:00:00 AM|1|32|Order='448530df04164923a32b0d589c44f9de/Sim101' Name='Entry' New state=Working Instrument='CL 03-11' Action=Sell Limit price=0 Stop price=88.9 Quantity=2 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:00 AM|1|32|Order='448530df04164923a32b0d589c44f9de/Sim101' Name='Entry' New state=Filled Instrument='CL 03-11' Action=Sell Limit price=0 Stop price=88.9 Quantity=2 Type=Stop Filled=2 Fill price=89.13 Error=NoError Native error=''
1/20/2011 11:00:00 AM|1|16|Execution='d6cced416f1f45db9458aaee32686ff 1' Instrument='CL 03-11' Account='Sim101' Exchange=Default Price=89.13 Quantity=2 Market position=Short Operation=Insert Order='448530df04164923a32b0d589c44f9de' Time='1/20/2011 11:00:00 AM'
1/20/2011 11:00:00 AM|1|64|Instrument='CL 03-11' Account='Sim101' Avg price=89.13 Quantity=2 Market position=Short Operation=Insert Currency=Unknown
1/20/2011 11:00:00 AM|1|32|Order='847fcc4d347e488c90dce0502a5b4598/Sim101' Name='Stop1' New state=PendingSubmit Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.33 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:00 AM|1|32|Order='20b78d6241714540a218fad63585d97c/Sim101' Name='Target1' New state=PendingSubmit Instrument='CL 03-11' Action=Buy Limit price=89.03 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:00 AM|1|32|Order='b512f15486a44f57bfaa9efd96e793cc/Sim101' Name='Stop2' New state=PendingSubmit Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.33 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:00 AM|1|32|Order='abf0af12c04c444e93fa05972dbebf72/Sim101' Name='Target2' New state=PendingSubmit Instrument='CL 03-11' Action=Buy Limit price=88.73 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='847fcc4d347e488c90dce0502a5b4598/Sim101' Name='Stop1' New state=Accepted Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.33 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='20b78d6241714540a218fad63585d97c/Sim101' Name='Target1' New state=Accepted Instrument='CL 03-11' Action=Buy Limit price=89.03 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='20b78d6241714540a218fad63585d97c/Sim101' Name='Target1' New state=Working Instrument='CL 03-11' Action=Buy Limit price=89.03 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='b512f15486a44f57bfaa9efd96e793cc/Sim101' Name='Stop2' New state=Accepted Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.33 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='abf0af12c04c444e93fa05972dbebf72/Sim101' Name='Target2' New state=Accepted Instrument='CL 03-11' Action=Buy Limit price=88.73 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='abf0af12c04c444e93fa05972dbebf72/Sim101' Name='Target2' New state=Working Instrument='CL 03-11' Action=Buy Limit price=88.73 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='20b78d6241714540a218fad63585d97c/Sim101' Name='Target1' New state=Filled Instrument='CL 03-11' Action=Buy Limit price=89.03 Stop price=0 Quantity=1 Type=Limit Filled=1 Fill price=88.94 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|32|Order='847fcc4d347e488c90dce0502a5b4598/Sim101' Name='Stop1' New state=PendingCancel Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.33 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:00:01 AM|1|16|Execution='2975d8a527274d2b90ee8fe9c87e100 a' Instrument='CL 03-11' Account='Sim101' Exchange=Default Price=88.94 Quantity=1 Market position=Long Operation=Insert Order='20b78d6241714540a218fad63585d97c' Time='1/20/2011 11:00:01 AM'
1/20/2011 11:00:01 AM|1|64|Instrument='CL 03-11' Account='Sim101' Avg price=89.13 Quantity=1 Market position=Short Operation=Update Currency=Unknown
1/20/2011 11:00:01 AM|1|32|Order='847fcc4d347e488c90dce0502a5b4598/Sim101' Name='Stop1' New state=Cancelled Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.33 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:01:13 AM|1|32|Order='b512f15486a44f57bfaa9efd96e793cc/Sim101' Name='Stop2' New state=PendingChange Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.25 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:01:13 AM|1|32|Order='b512f15486a44f57bfaa9efd96e793cc/Sim101' Name='Stop2' New state=Accepted Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.25 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:01:13 AM|1|32|Order='b512f15486a44f57bfaa9efd96e793cc/Sim101' Name='Stop2' New state=Working Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.25 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:01:13 AM|1|32|Order='b512f15486a44f57bfaa9efd96e793cc/Sim101' Name='Stop2' New state=Filled Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=89.25 Quantity=1 Type=Stop Filled=1 Fill price=89.29 Error=NoError Native error=''
1/20/2011 11:01:13 AM|1|32|Order='abf0af12c04c444e93fa05972dbebf72/Sim101' Name='Target2' New state=PendingCancel Instrument='CL 03-11' Action=Buy Limit price=88.73 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:01:13 AM|1|16|Execution='29ee642658ba4de4aaf993dacce66a9 e' Instrument='CL 03-11' Account='Sim101' Exchange=Default Price=89.29 Quantity=1 Market position=Long Operation=Insert Order='b512f15486a44f57bfaa9efd96e793cc' Time='1/20/2011 11:01:13 AM'
1/20/2011 11:01:13 AM|1|64|Instrument='CL 03-11' Account='Sim101' Avg price=89.29 Quantity=0 Market position=Short Operation=Remove Currency=Unknown
1/20/2011 11:01:13 AM|1|128|Cancelling any remaining strategy orders
1/20/2011 11:01:13 AM|1|32|Order='abf0af12c04c444e93fa05972dbebf72/Sim101' Name='Target2' New state=Cancelled Instrument='CL 03-11' Action=Buy Limit price=88.73 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:02:18 AM|1|32|Submitting order by chart trader direct entry
1/20/2011 11:02:18 AM|1|32|Submitting order with strategy id-'c79b7adee4324c828cb6d23d80480491' (Ticks)
1/20/2011 11:02:18 AM|1|32|Order='9a74d343406d4b01bf6ebde93a581c5f/Sim101' Name='Entry' New state=PendingSubmit Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=90.04 Quantity=2 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:02:18 AM|1|32|Order='9a74d343406d4b01bf6ebde93a581c5f/Sim101' Name='Entry' New state=Accepted Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=90.04 Quantity=2 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:02:19 AM|1|32|Order='9a74d343406d4b01bf6ebde93a581c5f/Sim101' Name='Entry' New state=PendingCancel Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=90.04 Quantity=2 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
1/20/2011 11:02:20 AM|1|32|Order='9a74d343406d4b01bf6ebde93a581c5f/Sim101' Name='Entry' New state=Cancelled Instrument='CL 03-11' Action=Buy Limit price=0 Stop price=90.04 Quantity=2 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''

[NinjaTrader_RyanO]

Hi cw30000,

Thank you for your post.

In reviewing the log files you attached this is expected behavior. When the Sell limit order was placed at 88.90 the market was trading at a better price relative the Limit Price, and as a result was filled immediately at that better price.

If you wished to place a sell order at 88.90 while the market was trading at 89.13 you will want to place a stop-limit order. The limit order portion of a stop-limit order will not be submitted until the stop price is achieved.

However, a limit order without a stop price would be an active order to be filled immediately if the last traded price was better than the limit price. More information on submitting a stop-limit order at:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?sub.htm

[cw30000]

The order is a sell stop. see screen shot

[NinjaTrader_RyanO]

Hi cw30000,

Thank you for that screenshot, and based on that can you please forward me your trace files, as well as attach the log files. You can send an email to support[at]ninjatrader[dot]com, and then please reference this forum post.

You will find the log file in the Documents > NinjaTrader 7 > Log folder.

• The log file will be named ‘log.YYYYMMDD.txt’

You will find the trace file in the Documents > NinjaTrader 7 > Trace folder.

• The trace file will be named ‘trace.YYYYMMDD.txt’

I will want to review those trace files in light of the log file, and then when sending that email can you please put ATTN Ryan O, and please let me know which provider you are presently using.