Slippage with StopLimit order?

[gain247]

Hi,

I use StopLimit orders (offset=Off) when entering CL (crude oil) trades in real time SIM mode. I've noticed several times that when the price moves fast, the entry "jumps" a few ticks forward, ie I get worse fill than where I exactly placed my StopLimit order. In all of these cases the order book (DOM) has had good volume and all prices should have traded even when my order would not have filled at my entry point.

Question: is this the way StopLimit order will work also in real $$ mode, ie there is sometime some "slippage"? Or is this "slippage" only happening in SIM account?

I've tried and tried to find out answer to this from NT Guide and elsewhere but no luck. I hope you could clarify to me how exactly StopLimit order works, ie can there be slippage or just skipped entries?

Thanks!

-Tim

[NinjaTrader_RyanM1]

Hi Tim,

StopLimit orders submit a limit order when market price reaches the stop price. The limit portion of the order says you're only willing to accept that price or better. Offset = off doesn't necessarily mean that your limit price = your stop price, only that you have to manually specify the limit offset.

When you place the stop limit order, a small window appears that is commonly mistaken for order quantity. This is actually the limit offset - the number of ticks your limit price is placed compared to the stop price.

You should not expect to see limit orders filled at worse prices than you specified, either in Sim or live. If there's a particular scenario where you feel this has happened, we can review your trace / log files to see exactly what values were used for the stop, limit and the actual fill prices. Please let us know if you would like to review a recent transaction.

[gain247]

Thanks Ryan. I take it as StopLimit should really give the Limit price or better fill. I gotta check out other possible reasons why my trades sometimes had "slippage". It may have been because of the strategy I'm using. I'll let you know if I have further questions. Again, thanks for your quick answer.

-Tim

[koganam]

Hi,

I use StopLimit orders (offset=Off) when entering CL (crude oil) trades in real time SIM mode. I've noticed several times that when the price moves fast, the entry "jumps" a few ticks forward, ie I get worse fill than where I exactly placed my StopLimit order. In all of these cases the order book (DOM) has had good volume and all prices should have traded even when my order would not have filled at my entry point.

Question: is this the way StopLimit order will work also in real $$ mode, ie there is sometime some "slippage"? Or is this "slippage" only happening in SIM account?

I've tried and tried to find out answer to this from NT Guide and elsewhere but no luck. I hope you could clarify to me how exactly StopLimit order works, ie can there be slippage or just skipped entries?

Thanks!

-Tim

Is your limit price, by any chance, a positive offset from the trigger price?

[gain247]

Koganam, I use no offset, ie it's '0'. I know how negative and positive offset works as I've used them all with Chart Trader. In this case my offset=0. But as I said in my earlier message, this problem may be caused the way my strategy works at the close of the bar, if StopLimit order is not immediately filled at Limit price.

[koganam]

Koganam, I use no offset, ie it's '0'. I know how negative and positive offset works as I've used them all with Chart Trader. In this case my offset=0. But as I said in my earlier message, this problem may be caused the way my strategy works at the close of the bar, if StopLimit order is not immediately filled at Limit price.

I think that I understand what you are saying, so you might want to take a closer look at your code. StopLimit orders should fill at the Limit price or better, or otherwise not fill at all. In my experience so far, if a strategy submits a StopLimit order in the wrong place, (e.g., behind the market, because the market has moved ahead before the order could reach the exchange), the order is usually rejected, and I have even on occasion had NT shut down the strategy.

[gain247]

Yes, you are right. However, I always place the StopLimit orders well in advance so I haven't experienced 'behind the market' entries. It's just that when market (CL) occasionally spurts, price runs through the Stop (&Limit price) and fills the (Limit) order with perceived slippage, sometimes even 2-3 ticks, typically 1 tick. However, it looks as my code modifies the StopLimit order when starting a new bar, and moves it to the next "pivot' beyond the current price, the new Limit immediately triggers order fill at the current price, ie with slippage from original StopLimit point. What puzzles me though is that when modifying the existing StopLimit order (where Stop has already hit, but Limit not filled), the new StopLimit seem to bahave like there is only new Limit price, which then immediately triggers the fill, rather than waiting for also the new Stop to be touched first.

[koganam]

What puzzles me though is that when modifying the existing StopLimit order (where Stop has already hit, but Limit not filled), the new StopLimit seem to bahave like there is only new Limit price, which then immediately triggers the fill, rather than waiting for also the new Stop to be touched first.

That does sound about right, but I wonder why. Essentially, as soon as the Stop is triggered, the order IS a Limit Order. However, I would expect that if you tried to modify the (now Limit) order as a StopLimit order, that it would generate an error rather than just submit it as a Limt Order at the new price, which because it is ahead of the market will execute immediately at the (better than new LimitPrice) market price.

Maybe, NT just looks at it in that context, as chasing the market, so allows it, rather than reject it? I guess they will have to tell us.

[NinjaTrader_RyanM1]

We can use your trace log files here to see exactly how everything was submitting. Can you send to support 'at' ninjatrader 'dot' com and let us know the exact date / time of a recent order you'd like for us to investigate.