Market order in Sim101 filled at a place far from where any transactions occurred

[RunnrX]

Hi, I hope this is the right forum to put this post:

While being aware that market orders can get wildly variant fill prices due to slippage / market liquidity, I had this occur in my sim101 account today and I wanted to throw it out there to see if people knew more about this.

On a 30 minute chart, I have it set to CalculateOnBarClose = true, and at the close of 8:30 (or 8:29:59) it met conditions to issue a market buy order which I would have expected to fill somewhat close to the open of the next bar at 8:30:00. I know that you can have slippage in your fill and not get in right at the open, but this market order got filled 20 pips above the open price (again this was Sim101 not live market).

So I zoomed in on the tick chart to see what happened and according to this picture attached you can see that the execution (and the following profit targets) all got filled in a price vacuum where no ticks or transactions actually occurred. Does anyone know about how this could have been caused, and whether this would happen in non-simluation live accounts? (I would assume that in the worst case, if I got these fills in real life I would be the one printing ticks in those locations and at least it would not be in a white space area anymore)

Thanks for being willing to look at this nitty gritty stuff!

Can't seem to use the insert picture feature so the image is here: http://tinypic.com/r/6ghdl1/6

Or Maybe this will work:

[NinjaTrader_Matthew]

I can't tell from your screen shot, but I'm assuming you have your chart set to Last price.

Your orders are going to be filled on the bid/ask prices that are seen by the simulator at that time. If your executions appear above the last traded price, it would tell us that the ask was higher than whats shown on the last/bid price.

[RunnrX]

That makes sense - good point. So then if it were not sim101 I would have filled at the ask price and then the Last would have printed at whatever fill I got in that case... the only thing that surprises me is that the tick at 8:29:59 (approx) is at 1.2950 and the fill I got (at the ask) was 1.2980 or 30 pips higher than the last. The volume did drop down to about 429 per tick so I guess I can assume that liquidity just dried way up for a second and the best offer was 30 pips above the last price - which is not impossible I suppose. I should probably tell my strategy to only submit market orders when the average volume is above some reasonable level. Thanks!

[NinjaTrader_Matthew]

To be clear, this can still happen on a live account. I only mention the simulator as this is the only thing that determines how your orders are filled. In a live account, you can still get filled well beyond the last price and it this execution would still be reflected above the last traded price (wherever the broker filled you).

[coolmoss]

One other thing to bear in mind: It has been my experience that sometimes the little blue/magenta triangular markers which show the entry price and time on the chart will not correctly align with the time axis.

When I first started noticing this while doing system development, it was rather bothersome and I spent a ton of time trying to figure out what was going on. In the end, I determined that the logs were always correct and the price the markers plotted at were correct, but due to unknown, internal reasons, the markers can and do sometimes plot a bit off on the time axis.

This is particularly noticeable when moving down in time frames from that which the execution originally took place.

HTH