Liquidity problem when executing market orders

[7robert]

have been presenting a problem executing market sell orders on certain instruments: BKNG, IBAA

The problem is that the order is executed well above the real price, however with AAPL or other instruments this does not happen.

What makes me think that it is due to liquidity, however I see that these BKNG, IBAA markets have a large daily volume.

I would like to know if the problem is liquidity and if it is, how can I identify these markets that execute market orders at prices well above reality?


Could you avoid this situation by executing directly in the order book?

[NinjaTrader_Jim]

Hello 7robert,

Thanks for your post.

Is this a strategy issue or a PnL reporting issue?

In a previous thread we discussed mapping IBAA and how the symbol mapping can be different for some symbols and how you could make 2 instruments, one for order submissions and the other for price action.

Do you see this issue with NinjaScript strategies only, or also with manual order submissions?

Do you see the same behavior when you are just connected to Interactive Brokers?

How about when Sim trading? Do you see these differences when connected to Kinetick Sim trading or with IB data Sim trading?

I loo forward to your reply.

[7robert]

The problem is that when the strategy decides to exit the market position, it executes a totally different price than at the moment, I remember what we talked about IND but I was able to do the mapping with IBAA. However, I consider that the problem of executions at different prices is not because another instrument is being mapped, but because of a matter that perhaps at the moment there are no orders in the order book and therefore the exchange is the one that executes it. at the price he wants but I'm not sure

[NinjaTrader_Jim]

Hello 7robert,

Thanks for clarifying.

You could consider using a VOL indicator on a small timeframe to see how volatile the market is when you want to place your trade, and that will let you know if the volume is too low which may influence when/where your order will fill.

If you want to peek at the order book, you can use OnMarketDepth. I have linked an example below.

Creating your own Level 2 book - https://ninjatrader.com/support/help...vel_ii_dat.htm

As for submitting orders directly to the order book, there wouldn't be any way to do this from NinjaTrader since the order has to be sent to the broker first.

For clarity on why the order filled outside of where you expected it, I suggest contacting the broker's Order Desk so they can give their insight on why the order filled where it did. They would have access to more information regarding your trade and could give you the most accurate answer.

We look forward to assisting.

[7robert]

Hello Jim,
In order to make the example you sent me work, do I need to acquire the Kinetick level 2 data?

[NinjaTrader_ChrisL]

Hello 7robert, thanks for your reply.

Correct, Level 2 data will be required to get data from the OnMarketDepth method.

We look forward to assisting.