CME Banding, NT error with moving stop on TT

[JoshDance]

Yesterday I noticed this error, in the attached screenshot, after attempting to move an ATM stop order: "Order price is outside bands 'Difference between stop and limit price is larger than banding value of 600.0 using Delta 1.00.' The order was a sell stop, and was simply moved one tick higher, and was rejected. I was able to move the order lower.

I also got the same error today, so I called my broker, who referenced me to this:

http://www.cmegroup.com/tools-information/lookups/advisories/electronic-trading/20120904.html#PRI

On Sunday the CME changed the values, and this is obviously affecting things with how NT internally manages ATM strategies. My broker said that there was an associated or attached limit that was well below the market and perhaps this is related.

The takeaway is that an ATM stop order cannot be properly moved as it is, which is obviously unworkable. What is the next step to resolving this as quickly as possible?

By the way, I am still using .10 -- I did not see any release notes in version 11 that would indicate that this is addressed in the newest release, and I do not need any enhancements in .11 as they are mostly adapter related, so I am still running .10.

[NinjaTrader_Joydeep]

Hello JoshDance,
Please send the log and trace files to support[AT]ninjatrader[DOT]com so that I can further look into what has happened.

• 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"

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

[JoshDance]

Just sent the email, thank you for your quick response.

[NinjaTrader_Joydeep]

Hello JoshDance,
This is to confirm I have received your email and have replied to it.

[JoshDance]

Just for public record, there is no solution to this problem, and the solution suggested by Joydeep is to use a stop-limit as the stop loss order in an ATM strategy. There is no plan to correct this problem and Joydeep says "there is no way to resolve this"--so I suggest everyone beware if you are using a stop market as stop loss in your ATM strategy.

[NinjaTrader_Brett]

Hello,

I would like to further follow up on this to clarify.

This occurs due to the exchange does not allow stop market orders and as such TT turns the order into a stop limit behind the scenes. When the TT broker turns the order into a stop limit then NT when it modifies the price will only modify the stop price and does not modify the limit price since the order was returned a accepted a different order type then NT submitted.

Therefor its a good idea in the first place to use the right order type with the right market to begin with so this would only apply to markets that do not accept stop market.

As far as this scenario this is scheduled to be looked into by development for next major release of NInjaTrader so that if the order does change that we are aware of it and modify the limit price as well.

-Brett

[JoshDance]

Brett, thanks for your reply, very logical. I was aware that the CME did not have true stop market orders, but rather what they call "stop with protection." I did not know that they implemented it with a stop limit, though maybe TT is the one who actually implements it this way. Either way, your point is well taken and makes sense. Thanks for the clarification.

[gsreddy]

Hi,
I am new the TT and planning trade with TT supported broker. I have couple of questers related to my order exit process. I am planning to use the below process for entry and exit. It will be great if some one who has good understanding of NT ->TT->CME will look into the process and suggest any needed changes to order types.
Long Entry/exit:
• Calculate entry Price, Stop Price, and profit target price and direction
• Use below method to submit Long Order EntryOrder=SubmitOrder(0,OrderAction.Buy,OrderType .Limit,1,entryPrice,0,"","EL");
• Use below method to submit Short order
EntryOrder=SubmitOrder(0,OrderAction.SellShort,Ord erType.Limit,1,entryPrice,0,"","ES");
• If the market condition change and need to move my entry price, using the below call
ChangeOrder(EntryOrder,EntryOrder.Quantity,entryPr ice,0); ); // Limit order, limit price change
Once the entry order is filled I am setting the Stop and PT orders , PT and Stop orders will span within 20 ticks
Exit orders:
• Initial OCO order as soon as the long entry gets filled
PTOrder=SubmitOrder(0,OrderAction.Sell,OrderType.L imit,execution.Order.Filled,exitPrice,0,
"OCO","BPT");// limit order, Limit price
StopOrder=SubmitOrder(0,OrderAction.Sell,OrderType .Stop,execution.Order.Filled,0,stopPrice,"OCO","BS T"); // Stop Order , stop price
• If the market condition changes and need to move the PT order I am using the below method to modify the Limit price on PT order
ChangeOrder(PTOrder,PTOrder.Quantity,exitPrice,0); // Limit order, limit price change
• If the market condition change and need to close the open Long position, I am using the below method. Moving the Stop order Stop price above current BID price. Does this work? Do I need to change the OrderType .Stop to OrderType .StopLimit ?
ChangeOrder(StopOrder ,StopOrder.Quantity,0,currBid+2*TickSize);
This is working as expected in SIM with market replay data.

Similarly I am moving the stop price below current ASK to close the Shot entry order.
ChangeOrder(StopOrder ,StopOrder.Quantity,0,currAsk-2*TickSize);[/B]

It will be great if you can think of this order exit process by moving the Stop Orders with respect to TT and CME and suggest any changes to the stop order types. Planning to use the same concept for overnight and RTH trading. Do I need to change my STOP order type to STOPLIMIT?

Thanks
gsreddy

[NinjaTrader_Joydeep]

Hello gsreddy,
Yes, please change the stop order to stop limit orders if your connectivity provider is TT.

[gsreddy]

Hi thanks for the quick reply,
I my strategy, I am changing the stop price to get the market fill.
So to Close the Long Open Position @ market, do i need to change the existing stopLimit order, STOP price to above the current BID ( to make sure STOP will get triggered ) and LIMT price below Current ASK (to make sure this will get filled at market) to cover the LONG position.
Initial stop limt order for long open position
StopOrder=SubmitOrder(0,OrderAction.Sell,OrderType .StopLimit,execution.Order.Filled, stopPrice,stopPrice,"OCO","BS T"); // stopPrice may be 10 ticks below current Long position price
Market conditions has changed and need to convert this stop limit order to get it executed at market.
ChangeOrder(StopOrder ,StopOrder.Quantity, currAsk-2*TickSize,currBid+2*TickSize);
Does the above changeorder gets fill at market to close the LONG position on a very slow moving market condition?
Thanks
gsreddy

[NinjaTrader_Joydeep]

Hello gsreddy,
The sell stop price must be lower that the current market price.
You cannot change the order with a stop price of Current Bid + 2 * TickSize as it will get rejected.

Its better to modify the initial stop order

StopOrder=SubmitOrder(0,OrderAction.Sell,OrderType .StopLimit,execution.Order.Filled, stopPrice - [B]10 * TickSize[/B],stopPrice,"OCO","BS T");

[JoshDance]

Hello gsreddy,
Yes, please change the stop order to stop limit orders if your connectivity provider is TT.

Wouldn't this problem affect all connectivity providers who trade through the CME?

[NinjaTrader_Joydeep]

Hello JoshDance,
It is how the connectivity provider handles the situation. For TT, one needs to submit a stop limit order. Please go through posts #6 which describes in details how TT handles the scenario.

[gsreddy]

Hi,

Do i need to Use 32 bit version of NT to trade using TT connection?

when i try to connect to TT, i am getting below message, i am using NT 7.0.1000.10 version.
"Login Failed, TT is not available in 64 bit version of Ninja trader. you must use 32 bit"

thanks
gsreddy

[NinjaTrader_Joydeep]

Hello gsreddy,
Unfortunately TT works with 32 bit version only. Please refer to the section "Understanding the data provided by your connectivity provider" to know more about it

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

I will however send your suggestion to development for future consideration.