Limit entries below bid

[egan857]

Hi, I created a strategy that enters a long position with EnterLongLimit and the price is, say, 10 cents below the current price, which may also be below the bid. When I run this strategy on Sim101, it appears to be working correctly - NinjaTrader shows the order moving around underneath the price. It may be just my imagination, but I'm pretty sure that when this strategy is running live, I don't see the order active in the Interactive Brokers window until the moment before the entry, even though the strategy says it has been adjusting the limit order for minutes. I'm only dealing with equities on NYSE and NASDAQ.

Is there a market rule that says you can't place the limit order until it is within a certain distance from the bid? If so, what is the maximum distance allowed? If there is no market rule, does NinjaTrader refuse to place the limit order because you think the order has no chance of being filled, and is there a way for me to override that?

[NinjaTrader_PatrickH]

Hello egan857,

Thank you for your post.

Are you running into any instance that shows the limit orders are not being filled?

As far as a maximum distance for the limit order to visualize or be accepted you will need to contact Interactive Brokers, as NinjaTrader does not have such a limit built in.

Please let me know if I may be of further assistance.

[egan857]

Hi PatrickH,

When the limit order is for a valid price, Ninja Trader always places it correctly, and it always gets filled.

The strategy is designed to stay a certain distance (different for each stock) below the current price in hopes of a lucky fill. It adjusts whenever the price moves more than 3 cents in either direction, and the limit order is cancelled after about 10 minutes. So, there are many instances where I don't get filled and should not have gotten filled.

I ran it live today for the first time. The condition was triggered and the limit order was placed and adjusted for about 4 minutes. I was not paying attention to the log file, so I didn't pull up the chart to see if NinjaTrader was adjusting the limit order. I was watching the Interactive Brokers screen and did not see the order until the moment the position was filled. I will pay more attention next time.

Thank you for letting me know that NinjaTrader does not have a maximum distance limit built in; if I see this problem again it is either because IB is rejecting the order or is just not displaying it.