Sim Exit Price

[mjc4118]

I have in the past during the beta for 7.x raised this issue before and was pretty much blown off by support and dev staff. I would like to raise the issue again as there is a clear instance of SIM reporting a fill price on a stop order at a price where the instrument NEVER traded.

Please see the last trade on this chart. This trade stop price was at 107.68
this was a SIM trade and your simulator exited at 107.67 and the instrument never traded at this price. See the BLUE arrow pointing to the exit price on the chart.

This does happen frequently. Associates of mine have also seen this same thing happen on their setups in SIM so it is not my configuration.

My hopes are that you can take information like this post and improve your simulator because this skews results.

Mark

[NinjaTrader_RyanM1]

Hi Mark,

Unfortunately no chart image was attached. Stop orders should typically only trigger when the last price = the stop price. We are interested in cases where you are seeing otherwise.

I would make sure that your chart display is set for last prices. To check this: Right click on chart > Data Series > Set Price based on Last.

If it's set right and you see this happen frequently, then we can start working towards a reproducible scenario to present to development. Please attach the chart image and let us know how we can see similar results on our side.

[mjc4118]

I have uploaded the chart.
I have also sent a data series properties/settings screen shot. Pictures are worth 1000 words
Sorry for not uploading the chart the first time.

Mark

[mjc4118]

The only way I am aware of that will allow you to see these results is to actually have someone sit and trade for x hours per day. It may not happen for 2 or 3 days in a row, then may happen on the 3 next trades. I think the volatility at the time of the entry or exit will have an effect. If You look at an average of 45 trades per week this may happen on no trades or 5 trades depending on the market movement and price action, volume etc.

[NinjaTrader_RyanM1]

One thing to look out for is if you reload historical data. It can change the prices on the chart but the execution remains at the same price level.

Please keep an eye on it in real time and let us know if you can track down the exact conditions for it to occur.

[mjc4118]

This was done in real time. The time stamps on the chart and the file date/time show the screen shot was taken within 8 minutes of the execution of the trade during a live trading session..

Additionally here is the log ...there were no disconnects or reloads of data.
Check the Time and sales data for the instrument for the times the order was placed and you will see that from the time the order was placed once price passed up through that price to the time the exit was made that the instrument did NOT again trade at that price for over 1000 Ticks prior to the sim selecting that as the exit fill price...

4/1/2011 11:28:23 AM|1|128|Cancelling any remaining strategy orders
4/1/2011 11:28:23 AM|1|32|Order='ac399aaf4817428ca2b729cc88d6e275/Sim101' Name='Target1' New state=Cancelled Instrument='CL 05-11' Action=Sell Limit price=107.89 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:00 AM|1|32|Submitting order by chart trader direct entry
4/1/2011 11:35:00 AM|1|32|Submitting order with strategy id-'3c1d96f9a80d4fce874f2f42983eefb7' (Ticks)
4/1/2011 11:35:00 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101' Name='Entry' New state=PendingSubmit Instrument='CL 05-11' Action=Buy Limit price=107.88 Stop price=107.88 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:00 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101' Name='Entry' New state=Accepted Instrument='CL 05-11' Action=Buy Limit price=107.88 Stop price=107.88 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:05 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101' Name='Entry' New state=PendingChange Instrument='CL 05-11' Action=Buy Limit price=107.62 Stop price=107.62 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:06 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101' Name='Entry' New state=Accepted Instrument='CL 05-11' Action=Buy Limit price=107.62 Stop price=107.62 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:15 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101' Name='Entry' New state=Working Instrument='CL 05-11' Action=Buy Limit price=107.62 Stop price=107.62 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:15 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101' Name='Entry' New state=Filled Instrument='CL 05-11' Action=Buy Limit price=107.62 Stop price=107.62 Quantity=1 Type=StopLimit Filled=1 Fill price=107.62 Error=NoError Native error=''
4/1/2011 11:35:15 AM|1|16|Execution='c6d6d647da05450fa8176696607a6fa b' Instrument='CL 05-11' Account='Sim101' Exchange=Default Price=107.62 Quantity=1 Market position=Long Operation=Insert Order='0bd4a3cd3cd6401d9cf44fac9c25ad93' Time='4/1/2011 11:35:15 AM'
4/1/2011 11:35:15 AM|1|64|Instrument='CL 05-11' Account='Sim101' Avg price=107.62 Quantity=1 Market position=Long Operation=Insert Currency=Unknown
4/1/2011 11:35:15 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=PendingSubmit Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.52 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:15 AM|1|32|Order='790b7c8e0e9448b7a15bde9c8d22d3f7/Sim101' Name='Target1' New state=PendingSubmit Instrument='CL 05-11' Action=Sell Limit price=107.86 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:15 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=Accepted Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.52 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:16 AM|1|32|Order='790b7c8e0e9448b7a15bde9c8d22d3f7/Sim101' Name='Target1' New state=Accepted Instrument='CL 05-11' Action=Sell Limit price=107.86 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:35:16 AM|1|32|Order='790b7c8e0e9448b7a15bde9c8d22d3f7/Sim101' Name='Target1' New state=Working Instrument='CL 05-11' Action=Sell Limit price=107.86 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:38:15 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=PendingChange Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.62 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:38:15 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=Accepted Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.62 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:38:51 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=PendingChange Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.63 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:38:52 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=Accepted Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.63 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:39:16 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=PendingChange Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.68 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:39:17 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=Accepted Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.68 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:39:53 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=Working Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.68 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:39:53 AM|1|32|Order='8e88a10310d9466fa87a05c2dd7eb09f/Sim101' Name='Stop1' New state=Filled Instrument='CL 05-11' Action=Sell Limit price=0 Stop price=107.68 Quantity=1 Type=Stop Filled=1 Fill price=107.67 Error=NoError Native error=''
4/1/2011 11:39:53 AM|1|32|Order='790b7c8e0e9448b7a15bde9c8d22d3f7/Sim101' Name='Target1' New state=PendingCancel Instrument='CL 05-11' Action=Sell Limit price=107.86 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 11:39:53 AM|1|16|Execution='fcdb5f82e4724dbdac52b746eb6e136 8' Instrument='CL 05-11' Account='Sim101' Exchange=Default Price=107.67 Quantity=1 Market position=Short Operation=Insert Order='8e88a10310d9466fa87a05c2dd7eb09f' Time='4/1/2011 11:39:53 AM'
4/1/2011 11:39:53 AM|1|64|Instrument='CL 05-11' Account='Sim101' Avg price=107.67 Quantity=0 Market position=Long Operation=Remove Currency=Unknown
4/1/2011 11:39:53 AM|1|128|Cancelling any remaining strategy orders
4/1/2011 11:39:53 AM|1|32|Order='790b7c8e0e9448b7a15bde9c8d22d3f7/Sim101' Name='Target1' New state=Cancelled Instrument='CL 05-11' Action=Sell Limit price=107.86 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
4/1/2011 12:13:12 PM|1|32|Submitting order by chart trader direct entry
4/1/2011 12:13:12 PM|1|32|Submitting order with strategy id-'57264bee58ed48a8b522ac519a1b0ef3' (Ticks)

[mjc4118]

I have also emailed the trace file for the appropriate period to support referencing this thread

[NinjaTrader_RyanM1]

Thanks for the files, mjc4118. I'm not able to check historical Time & Sales as it is available in real time only. What is the order ID for the one filled outside of a price bar? You can see below the order ID listed for the first transaction:
0bd4a3cd3cd6401d9cf44fac9c25ad93

[mjc4118]

you can see the initial buy order

4/1/2011 11:35:00 AM|1|32|Order='0bd4a3cd3cd6401d9cf44fac9c25ad93/Sim101'

here is the stop order fill

4/1/2011 11:39:53 AM|1|16|Execution='fcdb5f82e4724dbdac52b746eb6e136 8' Instrument='CL 05-11' Account='Sim101' Exchange=Default Price=107.67 Quantity=1 Market position=Short

Price did not go to 107.67 at that time ...price only went to 107.68

I was speaking with a fellow trader. He informed me he cannot trade NT7 SIM on the DAX as he is getting these type of erroneous fills consistently. You may want to check out that market and price action in that market as it seems that the problem is more consistent over there.

[NinjaTrader_RyanM1]

What we will really need is a reproducible scenario to track this down. We can review logs as well but need the right order ID to check.

What is the order ID for this execution?
4/1/2011 11:39:53 AM|1|16|Execution='fcdb5f82e4724dbdac52b746eb6e136 8' Instrument='CL 05-11' Account='Sim101' Exchange=Default Price=107.67 Quantity=1 Market position=Short

[mjc4118]

Ryan.

Tell me where to find the data you are looking for and i will get it for you. If you do not tell me where to look I cannot assist.

[mjc4118]

is this what you want?

the stop was filled outside price execution ...so as i said the order id is
'fcdb5f82e4724dbdac52b746eb6e136 '

[NinjaTrader_RyanM1]

Thank you for the assistance, mjc4118. Execution shows when it was filled but not the placement or modifications. Order ID should be available using the Orders tab of the control center, ID column.

I should be able to locate the order using the exact time of order placement as well. If you have that let us know. Should be somewhere between 11:35 and 11:39.

I can see more complete details with your full log / trace files. Can send these using Help > Mail to support. Attn: RyanM 461319

[mjc4118]

Ryan

The trace file was emailed to your support referencing this post and addresses to your attention on 4/3/2011. the auto reply appended issue {461982} to that email for your easy reference

The relevant portion of the log file for the period was posted in this thread at:
04-03-2011, 09:48 AM Please see my post made at that time in this thread for the complete log file contents for the relevant time period.

A screen shot of the Trades Tab w/ the order ID's clearly visible for both the original order and the automated STOP order that was filled at a erroneous price was posted Yesterday, 03:58 PM before your reply to me.

It appears that while I am providing you with the information that you require you are not reading my posts to obtain that information. I have come to expect more from your support team in my past dealings with them. Normally I have not had to repeat myself, only clarify. Please take the time to read my entire posts and look at the screen shots when I post them. I am not an idiot and I do not like doing things two times or repeating myself because someone else does not read the entire post or discards 1/2 of what I write, or does not look at an attachment After all I am trying to assist you in improving your software that I paid for. If this seems harsh I do apologize. I am sure we can clear up this misunderstanding and lack of clear communication if you reference the emails and posts and attachments listed in the first part of this reply.

Thank You.
Mark

[NinjaTrader_RyanM1]

Hi Mark,

Thank you for your support with this. I have access to the ticket # you posted. There is no trace / log attached, only the contents of your log tab. The files and Order ID will allow us to see what happened and exactly how the questionable order was formatted. Ultimately we will need a reproducible scenario that we can present to development to move forward on this case.

I'm looking for the actual log/trace files, not the contents of a log tab, and an order ID. Your files will note a lot of information so we will need this Order ID to identify the specific simulated order that was filled incorrectly. We unfortunately can't identify the Order ID from the information you have presented so far. You can use your NinjaTrader control center, Orders tab to locate this.

If you have any trouble getting the files to us, we can arrange a phone call with remote assistance to further support. Please email support 'at' ninjatrader 'dot' com to arrange this.