Moving ATM Stops sometimes Closes a position & I can't fathom under what conditions

[brucerobinson]

Hello,
Could someone kindly give some thought to what may be happening here....
I use ATM Strategies for trades - fairly standard stuff so I won't provide lots of detail unless requested.

So I have DOMs with preselected ATMs basically all the same in principle differing in Stop & Target placement and number of Contracts depending on Instrument, all OCO.
I use Market Orders so to Enter just click on DOM either side of ladder above or below price Long or Short and the ATM Strategy takes care of the Entry.

The ATM Strategy manages the trade with preset partial take profit if I let it, but as likely I'll discretionary manage manually with a middle or left mouse button click for market or limit orders - to take partial profits, and to put in manual targets and stops.
I don't use automated trailing Stops. All fairly straightforward and for the most part no problem.

The issue - very occasionally I'll wish to move the ATM Stop(s) with price to trail. To do this, I simply click on the DOM on 'Price' (i.e. in the middle column), between my ATM Stop and current price, wherever I want it to move to, Here's the thing - mostly behaviour is as I would expect - my Stop (which may be one or more contracts remaining) moves to the price at which I clicked on the DOM. But occasionally doing so closes the remaining position(s).

This doesn't occur very often because usually the trade will exit by hitting target or hitting a stop placed manually above the ATM stop, so I don't have a heap of examples & each time it occurs I scratch my head and wonder what I stupidly did differently such as clicking on left or right of ladder by mistake, or otherwise how did it happen. I kick the dog and move on. But it has happened enough times now that I'm sure I'm not inadvertently placing an opposing order to the remaining contract on the DOM (it's usually one remaining contract, trailing a runner but I couldn't say that is exclusively the case, or otherwise. It is just a matter of behaviour that I won't be doing this until the trade has moved considerably and I think about trailing the remaining ATM Stop(s). I had wondered if it 'mattered' if current price was visible in the ladder when I do this, e.g. much increased ADR so more common that price & Stop exceeds my DOM height) but got lost down that rabbit-hole and decided it shouldn't do this (wherever price actually was even if I couldn't see it)

Any ideas anybody?

Edit: I had a magic moment and have looked at the Trade Performance Entry for the final execution and it shows as Target hit. The ATM in question is 3 contracts, each with the same 2000 tick target which was not reached. So what seems to be happening (and what it seemed to me) is instead of dragging my Stop up, clicking on the DOM below price is dragging my target down to below current price (where I want my Stop to trail) and therefore causing the Target to execute. This rules out me having inadvertently placed a market order. Can anyone explain under what conditions this can possibly be expected behaviour and what to do to prevent it happening? The only way I can see this being expected is if I were to single click on the ATM Target on the DOM to 'grab' it, and then drag it and place it below price (for a long entry)? i.e. simply put if I click on the DOM between price and Stop it moves Stop toward price, if I click on the other side it moves it away, if I click on the DOM between price and Target it moves Target toward price, if I click on the other side it moves it away.

Kind regards,

[NinjaTrader_Kate]

Hello brucerobinson,

Thank you for your post.

I'd like to try to recreate this on my end to see if I can hit the same behavior. Would it be possible for you to create a video demonstrating exactly how you're generally trying to move the stops when this occurs? If you can also provide screenshots of an example ATM strategy that you've encountered this behavior with as well, that would be extremely helpful so we know I'm using the same approach as you for testing.

Thanks in advance; I look forward to assisting you further.

[brucerobinson]

Hello Kate and thanks.
Screenshot of ATM of course, but will be tomorrow now. It's as simple as it comes - 3 contracts all 13tick Stop and 2000tick target. Nothing else!
Video - I'll do my best, but not my forte!

So you have the most complete info to get the most of your testing in case it is relevant/helps to know....

I use a gamepad with keys mapped to take my mouse to the various DOMs (pre-programmed screen coordinates), mouse click on the sidebar to make the DOM active and then move the cursor to the DOM centre column and hover. This should hopefully make more sense with accompanying video, but the purpose in telling you this is that a lot is removed from human error - I hit the appropriate hotkey and my mouse is automatically on the DOM no scrolling around and possibly accidentally left or right or centre clicking accidentally somewhere I shouldn't along the way. Then a mouse click and the Stop should, and most times does, move to the mouse position.

Kind regards,

[NinjaTrader_Kate]

Hello brucerobinson,

Thank you for your reply.

I'll do some testing with the information I have and keep an eye out for any screenshots/video you can provide.

Thanks in advance; I look forward to assisting you further.

[brucerobinson]

[brucerobinson]

Hello Kate,
Forum file size restriction is too small for video so I've sent by email.
Regrettably I don't have a mic on my trading PC so no narrative, but I hope it gives sufficient idea as to typical actions and conditions
Early in the video I move ATM Stops to breakeven in typical fashion and manner in which I discussing - except that current price and Stops are both visible in the DOM.
At 2:20 you will see me move Stops to a price which is above their current position i.e. moving them up to trail and current price above is not visible in the DOM window (too far above).
The rest is just showing how I will also use left & right mouse clicks to manage positions.

It is the '2:20' type scenario where I encountered the problem with this trade and as reported have seen at other times. The video isn't an exact replication but an indication of the type of activity - I click on the DOM expecting the behaviour you see in the video, but it exits the trade. Trade Performance shows it did so by 'hitting my target'. It seems to me there is only one possible way this could be so as a result of clicking on the DOM and that is pulling my target down to below current price.
It cannot be 'coincidental' e.g. I had a stray manually placed Limit order on the DOM which happened to be hit at the exact same millisecond or other such fantastical explanation.

Whilst I can't be sure of precise details as I mentioned I've seen it before doing the same basic thing - moving Stops to trail, to the extent that if I remember and it isn't a major scrolling exercise to go find them, I will scroll to the Stops so that I can manually click on them and drag and place them to prevent this from knocking me me out of the trade. But of course it doesn't always (rarely) happen.

Any ideas?

Thanks

[NinjaTrader_Kate]

Hello brucerobinson,

Thank you for your reply.

Looks and sounds like you have single click order modification active in the SuperDOM. Is it possible this occurs when the price you want to move the stop to is closer to the target than it is to the stop?

Single click order modification will move the closest stop OR target to the selected price. So if you're clicking within a range that would be closer to the target, the target would move and close you out of the position.

You can take a look at our help guide here that references this behavior:

https://ninjatrader.com/support/helpGuides/nt8/index.html?modifying_and_cancelling_orders_superdom.htm#HowToModifyStopLossAndProfitTargetOrdersWithASingleClick

Please let us know if we may be of further assistance to you.

[brucerobinson]

Hello Kate and thanks.
“Is it possible this occurs when the price you want to move the stop to is closer to the target than it is to the stop”
It is possible. I can’t easily confirm either way. It seems highly plausible it is the explanation for what I couldn’t fathom wth is going on.

“Single click order modification will move the closest stop OR target to the selected price. So if you're clicking within a range that would be closer to the target, the target would move and close out your position’

This isn’t what I want.

What I want is:
For a Long Entry
- click above current price, target moves to price clicked irrespective of whether that is above or below target at time of clicking
- click below current price, stop moves to price clicked etc as above

Can it be configured to do this?
(I don’t see the Use Case for how it operates, can you enlighten me? Usually helps in the long run)


Thanks for your attentiveness and diagnostics.

Kind regards,
Bruce

[brucerobinson]

Bump - Kate, please?

With a little further thought now understanding how this allegedly operates, I have now managed to un-convince myself.

You'll recall below. Sounds a plausible explanation to what seemed to be happening.
But, on further thought, if you recall, I posted an image of my ATM Strategy with all Targets at 2000 ticks (i.e. so they'll likely never get hit)
This was on S&P500 Futures with an ADR of currently around120 points/500 ticks. I was clicking below current price thinking it would bring my Stop up to trail, price having moved in my favour a suitable distance. (You may want to refer back to the video I sent - Enter with a 13 tick Stop, price moves in my favour and want to move my Stop up. There's no way when clicking below current price the ATM Target set 2000 ticks above entry could have been nearer to my click than the Stop.....)
When I think it through. Make sense?

Quote:
“Single click order modification will move the closest stop OR target to the selected price. So if you're clicking within a range that would be closer to the target, the target would move and close out your position’

This isn’t what I want.

What I want is:
For a Long Entry
- click above current price, target moves to price clicked irrespective of whether that is above or below target at time of clicking
- click below current price, stop moves to price clicked etc as above

Can it be configured to do this?
(I don’t see the Use Case for how it operates, can you enlighten me? Usually helps in the long run)
Unquote

Kind regards,

[NinjaTrader_Kate]

Hello brucerobinson,

Thank you for your reply.

I've been doing some additional testing with this to see if I can reproduce what you're describing but have not yet been able to do so. There are no adjustments that can be made to one click order modification other than turning it on and off, so I am looking further into this to see if I find unexpected behavior but have not had much time to test yet as we've been quite busy. As soon as my testing is completed I will let you know any further findings.

Thanks in advance for your patience.

[brucerobinson]

Hello Kate and thanks.
No problem, I look forward in due course.
I still don’t understand the Use Case for the way you describe it is designed however, and why it isn’t as I would expect/have described would like. Perhaps you could enlighten me meantime when you have time.
Kind regards,

[brucerobinson]

Hello Kate,
FYI I experienced the same again today in a very similar situation to that which I replicated in Market Replay and recorded/sent to you.
Using the ATM Strategy posted above, 3 Contracts with Stops at 13 ticks and Targets at 2000, OCO, I entered Long after the last swing Low after the NY Open.
Having exited 2 contracts manually and with one contract remaining, coming into the London Session Close (around 2:20pm EST) I clicked on the DOM below price to tighten my Stop. Doing so exited the one remaining contract. Trade Performance Workspace shows this exit due to Target1.

With an ATM Target of 2000 ticks, the target would have been some 1840 ticks above price (2000 Tick ATM Target, current price at time of Exit 160 ticks in profit). My Stop would have been 173 ticks behind price (13t ATM Stop + 160 ticks in profit at time of Exit).

I am clicking on price on the ladder below current price, so clearly I am doing so closer to the Stop than the Target hence the reason cannot be per your above/Help File explanation of nearest of Stop/Target

What I suspect is happening is that the Target is becoming 'grabbed', i.e. it is 'active' as if I had clicked on the Target itself with my mouse on the DOM and dragged it. When I then click on the DOM, it 'places' the Target there - which of course is below current price and thus 'drags' the target there and exits. I hope that makes sufficient sense to convey what I suspect may be causing what I'm experiencing.

Obviously I'm not scrolling up the ladder 1800 ticks to click on the Target and drag it down, and certainly not by accident. However I did share at the outset that I felt that if I did so on the Stop I could ensure the Stop would be the one that moved (which if I'm right doing so would maybe cancel the Target 'grab'?

Do you have any thoughts/insight on how this may be occurring along these lines i.e. could clicking on the DOM in certain circumstances/locations make the Target 'active'/'grabbed' so that the subsequent clock on Price in the ladder below current price 'moves the target'. It sounds plausible that it is something along these lines, if as yet only half-baked. I do have a macro programmed to click on the 'blank' part of the ladder so that scrolling is automatically active, also Centre price, also Windows Mouse 'activate on hover' iirc.

Kind regards,

Bruce

[NinjaTrader_Kate]

Hello brucerobinson,

Thank you for your reply.

I'm totally unable to reproduce the behavior you've described, but I'm using a regular mouse. To eliminate the possibility that your mapped joypad controls may be affecting the behavior, are you able to replicate this with a normal mouse using clicks directly on the SuperDOM?

Thanks in advance; I look forward to assisting you further.

[brucerobinson]

Hello Kate and thanks.
"To eliminate the possibility that your mapped joypad controls may be affecting the behavior, are you able to replicate this with a normal mouse using clicks directly on the SuperDOM? "

I could not tell whether it happens only, or even if/when I am using the gamepad (because whether when this happens I have used the gamepad or not I could not tell you - if I did, it is 'history', and not my focus of attention at the time )

I use the gamepad and its macros simply to replicate mouse and keyboard actions, so it should make no difference whether these are carried out by the macros or carried out manually.

Those actions are
MoveMouseToVirtual (35620, 7300) -- Middle Upper Screen Upper DOM centre position
Sleep (10)
Note - moves mouse to 'inert' sidebar of DOM to RHS of Price and Market Depth Columns, at the vertical centre of the ladder

PressMouseButton(1)
ReleaseMouseButton(1)
Sleep (10)
Note: makes the DOM active, in order to receive the next instruction

PressKey ("lctrl", "lshift", "c") -- centre DOM
ReleaseKey ("lctrl", "lshift", "c")
Sleep (10)

MoveMouseToVirtual (35060, 7300) -- Repeat in case mouse has to move to different Monitor
Note: change in x-axis co-ordinate from instruction above - moves mouse pointer to middle Price column
end

I could just as readily move the mouse manually to each of these locations and manually use the Ninja Hotkey Ctrl+Shift+C to centre price on the DOM, programming it simply does the same thing but makes it easier on multiple monitors.

But it is simpler than that (I don't even know if I'm using the gamepad when this happens).
What is pertinent (imho, if even at all) is that the gamepad moves my mouse to the RHS of the ladder in the vertical middle, clicks the DOM to make the DOM active, and issues the Hotkey macro instruction to center current price

I have re-read your earlier comments regarding Ninja being programmed to move the 'nearest' Stop OR Target, and the wording in the Help File. Whilst the wording could be seen as ambiguous and your interpretation could be correct, I fear (with respect), it is not. Firstly because as stated before - to me it does not make any sense and cannot see a Use Case (in what situation would you wantthis behaviour?), and secondly upon re-read what I think it is intending to say is the 'either or' is 'if you're Long and above BID it will move your Target, if Short and below Ask it will be your Stop. Think about the logic of what we would be doing.... (again with respect, the written word is a flat medium). I can certainly make that interpretation of the explanation, and it makes more sense to me. If we're Long and above current price we want to move our target - not whichever is nearest. I would suggest that the 'OR' statement in the Table is not in the context of the narrative statement.

But, again, to the (simple) problem at hand - my Target is 3000 ticks away and cannot possibly be being moved below price because it is 'nearer' to current price than my Stop. So what is the explanation?

And under what circumstances can Target1 be moved by clicking on the DOM below price? I cannot see any circumstance where this would be expected behaviour, and certainly not when part of an ATM OCO Strategy.

I see there was a recent Post ATM Order(s) Cancel when Changing (Dragging) Stop - NinjaTrader Support Forum about what happens when positions are added and removed and ending up with a 'naked position' or similar. I suspect it needs some similar thought here, but above my paygrade to fathom I'm afraid

May I suggest someone in Development give some thought to what I'm reporting and what may be 'going on.....,' and how it may be so.

A final piece of info fwiw - I believe I've only experienced this when in a Long trade - but could not be sure

Kind regards,

Bruce

[NinjaTrader_Kate]

Hello Bruce,

Thank you for your reply.

In order to understand the issue, we need to simplify this down to the fewest moving parts possible. As I cannot replicate this with just a normal mouse, we would need you to try to reproduce with just mouse clicks, not using any kind of macro or joypad. Please confirm if you are able to reproduce this with just mouse clicks.

Thanks in advance; I look forward to assisting you further.