Error : Price execution

[Ikinaw]

Hello,

I am using NINJATRADER 7 for execute my strategy; my instrument is ES 09-16. After many executions I had orders (ExitLongLimit) were executed at an incorrect price (every time at the same price 2085.5!)
I specify that all the time of my execution, the market price of ES 09-16 was lower than 2085.5 .
can you explain to me what's the problem?

Thanks.

[NinjaTrader_JessicaP]

Hello Ikinaw, and thank you for your question.

Limit orders always place at the specified limit price or better, where "better" holds to the adage "buy low, sell high", and as such only provide slippage protection in one direction. In this case, you were on the short or sell side of the market with both of these orders, and each sold at a higher price than the limit price after reaching the limit price.

If you need a price to be filled as close as possible to a market average, you will want to use a market order instead of a limat order. Slippage is more likely to occur, since you are not protected in either direction as opposed to being protected in one direction, but is also more likely to be contained, since brokers can act quickly and fill you at the earliest available price with market orders.

If slippage protection is a concern of yours, many exchanges have a "built-in" limit called a "no-bust range". I would highly recommend searching for the no-bust range for the instruments you trade should you decide to use market orders.

As an example, here is a publicly available link to a page CME puts out discussing their no-bust range policies. Each exchange may have their own rules. You will want to skip ahead to page 12 to see CME's rules, and why it may be worthwhile to think of this range as a sort of "built-in limit order"

http://www.cmegroup.com/rulebook/NYMEX/1/11.pdf

With this added understanding, limit orders are still a valuable order type.

[Ikinaw]

Thanks for your response!

I think I didn't explain my problem very well. The problem is that executions are illogical and in real world it would have been impossible.

It’s illogical because, the market price was around 2081 (Between 2079 and 2081) and the limit orders (ExitLongLimit) were executed at 2085!
I had these illogical executions several time (see attachments).

Notes:
Date: 2016-06-22
Time in attachment: GMT

[NinjaTrader_JessicaP]

This is usually caused by a discrepancy between your PC's clock, which Ninja relies on, and the clock the data provider is using on their timestamps.

Please use the steps below to change/check your Time Zone and sync the PC clock:

• Close NinjaTrader.
• Open the Windows Control Panel
• Select Date and Time
• Press 'Change time zone...'.
• Set the time zone and press 'OK'.
• Click on Internet Time tab.
• Set the server to time.nist.gov and then click Update.
• Ensure to check for a message under the Update button that says it was successful.
• If it did not properly sync, even after a few tries, try manually setting your PC clock and then syncing.

Your PC clock should now be updated.

[Ikinaw]

I'm surprised that this is the cause of the error. I will change my PC’s clock and keep you updated.
Thanks for your response!