Chart is showing Entry prices that could not have existed

[Matheyas5]

Hello NT,

The chart in attached 1.jpg (generated from a market replay) shows a short entry happened at price 1905.00 while the current bid price was 1904.5. This is not possible because a short entry price cannot be for a higher amount then the current bid.
Why is the chart showing this?

Here are some notes on how to read the attached 1.jpg chart.

1. The Red squares show every Ask tick.
2. The Green squares show every Bid tick.
3. "Arrow 1" points to a 30 second candlestick bar.
4. "Arrow 2" points to the 1905.00 short entry price mentioned above.
5. "Arrow 3" points to the 1904.5 bid price mentioned above.

Look forward to your thoughts. Thanks!

[sledge]

I don't think market replay uses bid/ask.

I thought I read that here recently.

update:


uslander8 had some issues.

http://ninjatrader.com/support/forum/showpost.php?p=440677&postcount=8

http://ninjatrader.com/support/forum/showthread.php?t=81190

[sledge]

I found this thread here:

http://ninjatrader.com/support/forum/showthread.php?t=79945&highlight=market+replay+bid+fills

NT_Jason posted this up:

NinjaTrader provides a state of the art internal simulation engine that can be used to test trading ideas and hone your skills. The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. The engine uses a scientific approach to determine fill probability by including a number of variables including: ask/bid volume, trade volume, time (to simulate order queue position), and random time delays for switching between order states.

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

When replaying data if the Last price reached 1905.00 the simulation engine could have triggered a fill for the resting order at that price even if the Bid price never reached that level.

To attempt to slow down the fill speed of the simulator please go to Tools->Options->Simulator tab->Uncheck "Enforce immediate fills" if currently checked then click Ok.

[Matheyas5]

Hi Christopher,

The "Enforce Immediate fills" was not checked when I ran the simulation.

I think the problem my be with charting. Here is why:

In the Account Performance>Executions tab it shows this trade closed at 1905 a few seconds before the bar closed. This makes sense, because you'll see the first two green dots on the left of the screenshot are at 1905.
However, why is the 1905.00 entry that "arrow 2" points to not located on one of these first two green dots to the left?

Thanks!

[NinjaTrader_ChristopherJ]

If the price had reached the price prior to the fill occurring this just indicates the simulation engine did not fill on those occurrences of the price being at that level.

[Matheyas5]

Can you please elaborate a little on your last post Christopher?

I'm not sure I fully understand.

Thanks.

[NinjaTrader_ChristopherJ]

Are the two prior green dots indicating the Last price did trade at that price? If so the simulation engine may have not triggered an execution the previous 2 times the price reached that level even though other executions did occur at that price.

[koganam]

Can you please elaborate a little on your last post Christopher?

I'm not sure I fully understand.

Thanks.

Was that a Limit Order?

[Matheyas5]

Was that a Limit Order?

Yes. A trailing stop order to be exact.

[koganam]

Yes. A trailing stop order to be exact.

Limit Orders are filled at "price or better", so it can happen that a fill occurs that is better than the limit price you stated. As in, if you are the first in the queue and someone places a buy order above the Ask, you could get filled at the price at which someone is overly anxious to buy, said price even possibly higher than the Ask. Such a chance happens especially if you are not the very first in the queue, but instead are filling the overlap that was not filled by the order that was actually first. More usually, you will get filled at the Ask, which will still be better than the Bid.

There really is no telling what happens with market dynamics, especially when things really speed up.

[Matheyas5]

Are the two prior green dots indicating the Last price did trade at that price?

Hi Chris. All Green dots/squares represent Bid tick prices (as explained in post #1). They do not represent Last prices (although Last prices may have happened at the exact same time/price they represent)

Attached screenshot 2.jpg is the same as the 1.jpg attachment in post #1, but with a blue circle around the 2 green dots/squares I mentioned in post #5.

Please let me know if this changes your thoughts on anything.

[NinjaTrader_ChristopherJ]

If you replay the same replay data when this occurred originally do you see the same execution occur at the same time and price?

[Matheyas5]

Hi Christopher,

I forget what date the first replay is from, but I did a new replay and was able to re-recreate the problem(s). Here are all the details on the new replay.

1. Attached “TrailingExampleV2.zip” is the strategy I ran during this replay.
2. The replay was done on symbol ES 03-16 covering the date of 1/11/2016.
3. Attached item 1.jpg shows the “Simulator” setting I used during this replay.
4. Attached item 2.jpg shows the part of the Execution report from this simulation.
The area circled in blue in 2.jpg will be explained below.
5. Attached item 3.jpg is a chart from this simulation. Here is what it shows:
-The bars at 01:16:00 and 01:17:00 are 1-minute bars.
-The green squares show 1 tick Bid bars
-The red squares show 1 tick Ask bars
-The blue squares (which appear in back of the red and green squares) are 1 tick Last bars.
-The two areas circles in yellow will be explained below


Here are two problems:

1. The area circled in blue in 2.jpg shows a short exit happened for 1913.75 at 1:16:02am, but the area circled in yellow at the lower right of 3.jpg shows it happened at 01:17:00am. Why did the area circled in yellow on the lower right of 3.jpg not show up in the area circled in yellow on the top left of 3.jpg (this would have made sense)?

2. The area circled in yellow at the bottom right of 3.jpg shows the short exit happened at 1913.75 while the ask price was 1913.00 (which could not have been possible)


I look forward to your thoughts.
Thanks.

[NinjaTrader_ChristopherJ]

Within your strategy settings do you have Calculate on bar close set to True or False? If you currently have this set to True can you please change this setting to False and let me know if the issue persists.