Wrong level at BUY LIMIT order

[polxx]

This should be resolved very soon.

Ninja Trader is very powerful, calculates very quickly and is very professional, but with this bug after doing a data analysis we get false statistics, so it is not valid.

I trust that future versions will solve this.

Thank you

[cls71]

It continues without working in NT 8.0.12.0
Is there a plan to solve this bug in the short term?
Thanks

[NinjaTrader_PatrickH]

Hello cls71,

Thank you for your post.

This behavior is currently expected as we discussed earlier in this thread. The behavior expressed as the desired behavior in this thread has been assigned the internal tracking id of SFT-1137. There is no guarantee this behavior will be implemented and is a considered a feature request.

Please let me know if you have any questions.

[NinjaTrader_PatrickH]

To expand on my explanation of this being expected please read below.

The fill engine in NinjaTrader 8 attempts to fill the order at the orders limit price. However, in this case fill bar is a gap bar and there are no trades occurring at the order's limit price. In this case we clamp the fill price of orders to be inside the fill bar. Which is the low price (gap up bar) or high price (gap down bar) of the bar to be conservative and ensure that trades do not occur outside of the bar.

As far as filling on the open there are two possible considerations (perhaps more):

• If the gap bar is the first open bar of the day. One could argue that filling on the open would be the right thing to do.
• If this was a gap up during the session. One could argue that if it was live simply by having an order in the market would ‘make a market’ and you could have been filled at your limit order price (or slightly higher) thus effecting the OHLC of the bar. Hence forcing it to fill on the open would be not what would be desired in that line of thinking.

We do not view this as a bug but as a trade-off/decision on how to handle the case. We have several items suggested from customers to consider with fill engine such as adding more options to customize behavior or opening up access to the fill engine so customer could have complete control (Which we did not expose for NT8 as the fill engine is many factors more complex then NT7).

Please let me know if you have any questions.

[cls71]

Thanks Patrick for your explanation. Opening up access to the fill engine would be the solution.