Order Ignored Because Stop Price is Above Bar

[mlprice12]

I know why this error message is usually triggered but in this instance I can't figure out why the code is firing the stop exit order at 11am when the entry doesn't register until 11:26am.

Attached below are the error and trade confirmation screenshots.



Next is the stop exit order code: The error occurs with the "LongentryCeiling"

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
#region Longs

#region Ceiling Break
if (execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
LongCeilingEntry = execution.Order;
}

if (LongCeilingEntry != null && LongCeilingEntry == execution.Order
&& execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
exPriceCeiling = execution.Price;
#region Targets
largeLongCeilingTarget = exPriceCeiling + ((SLNormalCeiling*TickSize)*TargetMultiplierCeilin g);
stopLongCeiling1 = exPriceCeiling - (SLNormalCeiling*TickSize);
stopLongCeiling1a = exPriceCeiling - (NewStopLongCeiling*TickSize);
#endregion

stopOrderLongEntryCeiling1 = ExitLongStopMarket(2, true, (lotLCeiling*2), stopLongCeiling1,"StopExitLongCeiling1", "LongEntryCeiling1"); //should this be an ExitLongLimit?
ExitLongMIT(2, true, lotLCeiling, largeLongCeilingTarget, "ExitProfitLongEntryCeiling1R","LongEntryCeiling1" );
CeilingActive = true;
}
#endregion
#region Basement/Floor1 Break
if (execution.Order.Name == "LongEntryBasement1" && execution.Order.OrderState == OrderState.Filled)
{
LongBasementEntry = execution.Order;
}

if (LongBasementEntry != null && LongBasementEntry == execution.Order
&& execution.Order.Name == "LongEntryBasement1" && execution.Order.OrderState == OrderState.Filled)
{
exPriceBasement = execution.Price;
#region Targets
largeLongBasementTarget = exPriceBasement + ((SLNormalBasement*TickSize)*TargetMultiplierBasem ent);

stopLongBasement1 = exPriceBasement - (SLNormalBasement*TickSize);
stopLongBasement1a = exPriceBasement - (NewStopLongBasement*TickSize);
#endregion

stopOrderLongEntryBasement1 = ExitLongStopMarket(2, true, (lotLBasement*2), stopLongBasement1,"StopExitLongBasement1", "LongEntryBasement1"); //should this be an ExitLongLimit?
ExitLongMIT(2, true, lotLBasement, largeLongBasementTarget, "ExitProfitLongEntryBasement1R","LongEntryBasement 1");
BasementActive = true;
}
#endregion

#endregion

Also an important note is I am running two different Long entries in this one strategy. When I separate the two long entries and run the code as a separate single long entry strategies with the same inputs, the entry price and entry time are the same but the error no longer occurs and the stop exit executes.
Below screenshot shows this instance.


I believe the stop exit code is the exact same in the above instance:

#region Ceiling Break
if (execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
LongCeilingEntry = execution.Order;
}

if (LongCeilingEntry != null && LongCeilingEntry == execution.Order
&& execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
exPriceCeiling = execution.Price;
#region Targets
largeLongCeilingTarget = exPriceCeiling + ((SLNormalCeiling*TickSize)*TargetMultiplierCeilin g);
stopLongCeiling1 = exPriceCeiling - (SLNormalCeiling*TickSize);
stopLongCeiling1a = exPriceCeiling - (NewStopLongCeiling*TickSize);
#endregion

stopOrderLongEntryCeiling1 = ExitLongStopMarket(2, true, (lotLCeiling*2), stopLongCeiling1,"StopExitLongCeiling1", "LongEntryCeiling1"); //should this be an ExitLongLimit?
ExitLongMIT(2, true, lotLCeiling, largeLongCeilingTarget, "ExitProfitLongEntryCeiling1R","");
CeilingActive = true;
}
#endregion

What could be causing the error when the 2 entries are compiled in one strategy? From my analysis it looks like the timing of the stopexit is the issue. Why would it try to place the stop exit at 11am when the entry isn't filled until 11:26am?


Thanks.

[NinjaTrader_ChrisL]

Hi mlprice, thanks for your post.

In a backtest there is not intrabar movement, so try setting the strategy to fill orders on a 1 tick series to increase the resolution. In the strategy settings change Order Fill Resolution to High and pick a 1 tick series. Our colleague Jim gave a few examples on how to debug the specific problem "invalid based on the price range of the bar" here:
https://ninjatrader.com/support/foru...ge#post1104682

Best regards,
-ChrisL

[mlprice12]

Thanks Chris,

High Order Fill Resolution wont work because my strategy is already running on a multi series (1 day, 60 minute, and 1 minute)

[mlprice12]

Here is the weird part. I ran the prints to show current ask and the stop price for both Strategy A (has logic for 2 entries) and Strategy B (logic for a single entry)

Strategy A Output

Strategy B Output


The question is why is there no error for Strategy B?

Edit:

Here is the output including the execution price of the OnExecutionUpdate order.



Would the best fix be to change the timeseries from 1 minute to 1 tick?
But still why is there no error in Strategy B?

Thanks

[NinjaTrader_ChrisL]

Hi mlprice, thanks for your reply.

There is something wrong with the call you are making for the ExitLongStopMarket order. I would recommend making a reduced strategy that focuses on submitting this order properly then once that has been established then it can be added into the strategy as the stop price. In the previous ticket about this error, the user was not inputting a correct stop price for the order. Im not able to tell what your stop prices are because they are in variables.

Best regards,
-ChrisL

[mlprice12]

Thanks Chris,

Please see my edit and I did exactly what you said.

Here is the output for the reduced strategy with no error.


Here is the output for the larger strategy with error. All code is same.


Code in larger stratgy

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
#region Longs

#region Ceiling Break
if (execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
LongCeilingEntry = execution.Order;
}

if (LongCeilingEntry != null && LongCeilingEntry == execution.Order
&& execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
exPriceCeiling = execution.Price;
#region Targets
largeLongCeilingTarget = exPriceCeiling + ((SLNormalCeiling*TickSize)*TargetMultiplierCeilin g);
stopLongCeiling1 = exPriceCeiling - (SLNormalCeiling*TickSize);
stopLongCeiling1a = exPriceCeiling - (NewStopLongCeiling*TickSize);
#endregion
Print("CeilingBreak Ask" + GetCurrentAsk() + "Time" + Times[2][0]);
Print("CeilingBreak Execution Price" + exPriceCeiling + "Time" + Times[2][0]);
Print("CeilingBreak Stop Price" + stopLongCeiling1 + "Time" + Times[2][0]);
stopOrderLongEntryCeiling1 = ExitLongStopMarket(2, true, (lotLCeiling*2), stopLongCeiling1,"StopExitLongCeiling1", "LongEntryCeiling1");

ExitLongMIT(2, true, lotLCeiling, largeLongCeilingTarget, "ExitProfitLongEntryCeiling1R","LongEntryCeili ng1" );
CeilingActive = true;
}
#endregion

Code in condensed strategy

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
#region Longs

#region Ceiling Break
if (execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
LongCeilingEntry = execution.Order;
}

if (LongCeilingEntry != null && LongCeilingEntry == execution.Order
&& execution.Order.Name == "LongEntryCeiling1" && execution.Order.OrderState == OrderState.Filled)
{
exPriceCeiling = execution.Price;
#region Targets
largeLongCeilingTarget = exPriceCeiling + ((SLNormalCeiling*TickSize)*TargetMultiplierCeilin g);
stopLongCeiling1 = exPriceCeiling - (SLNormalCeiling*TickSize);
stopLongCeiling1a = exPriceCeiling - (NewStopLongCeiling*TickSize);
#endregion
Print("CeilingBreak Ask" + GetCurrentAsk() + "Time" + Times[2][0]);
Print("CeilingBreak Execution Price" + exPriceCeiling + "Time" + Times[2][0]);
Print("CeilingBreak Stop Price" + stopLongCeiling1 + "Time" + Times[2][0]);
stopOrderLongEntryCeiling1 = ExitLongStopMarket(2, true, (lotLCeiling*2), stopLongCeiling1,"StopExitLongCeiling1", "LongEntryCeiling1"); //should this be an ExitLongLimit?
ExitLongMIT(2, true, lotLCeiling, largeLongCeilingTarget, "ExitProfitLongEntryCeiling1R","");
CeilingActive = true;
}
#endregion

[NinjaTrader_ChrisL]

Hi mlprice, thanks for your reply.

Using ExitLongStopMarket works fine when your order is below the bid price, I just tested it in a simple strategy, so the strategy you are posting here must be reduced further to find the issue. I notice you are using the Ask price for the stop price which would result in a rejected order, sell stop market orders must be at or below the bid price. Also using GetCurrentAsk/Bid will only work in real-time mode, for historical bid/ask prices, see the Developing for tick replay page or add a 1 tick bid and ask series to the script.

Best regards,
-ChrisL

[mlprice12]

Just to be clear I'm only using Print - GetCurrentAsk. Nowhere else is ask or bid logic used.

The Output data for the condensed version is the exact same as the larger version so the question is why is one producing the error and not the other?

Here is more output data.


How is the execution price higher than the candle high?

If you look in the execution page of the backtest results it shows that the execution actually takes place at 11:26am
Why is the print data from 11:25?

Thanks

[mlprice12]

After editing out code to pinpoint the issue I have found that if Entry1"BasementBreakout" has an active stop and target then the error occurs after the entry2 "CeilingBreakout" tries to submit its stop.

If Entry1 doesn't have the active stop and target the error doesn't occur. The error still occurs when either Entry1 stop OR Entry1 target is active.
This code fires in OnEecutionUpdate.
See above for actual code.

Here is the output when Entry one doesn't have stop and target code


Here is the output when Entry1 does have stop and target code


Any idea why the Entry1 code is creating this interference with the Entry2 stop?

[mlprice12]

Code works perfectly when I change second timeseries to 1 tick from 1 minute and let Entry1 submit its stop and target.

The problem is I want to backtest 2 years and 2 months of data so a 1 tick series is too finite.

Why does including the Entry1 stop and target only create an error at the 1 minute series?

Here is the output when using 1tick series

[NinjaTrader_ChrisL]

Hi mlprice,

The historical bar only has the OHLC values of the bar so the stop price you are submitting to the 1 minute series is falling out of range of the bar. We use this backfill algorithm to fill orders on historical bars, so you must go through this algorithm with the bar series you are backtesting on to see where it's getting this price from. The 1 tick series fills properly because it has the full movement of price and this stop price is not falling out of range.

Best regards,
-ChrisL

[mlprice12]

Thanks Chris,

I should have clarified my question better. I understand why obviously the tick series works better than the 1 minute series. What I don't understand is why my strategy1 logic works on a 1 minute series without errors but my strategy2 creates an error on the same entry with identical output window data?

[NinjaTrader_ChrisL]

Hi mlprice, thanks for your reply.

If there is a difference in the data series added or the BarsInProgress you are submitting the order to that would be the source of the trade rejection. Be sure to note the order the data series are added (which will affect the BarsInProgress index being used) To further investigate it you can make a copy of the strategy that will solely focus on one timestamp and submit an order at that timestamp while running the same stop and target logic. Also running a diff checker on the two scripts can help find differences:
https://www.diffchecker.com/ (publicly available link)

[mlprice12]

Thanks for the further assistance.

I'll keep digging.