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Order Fill Resolution High miscalculates target

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    Order Fill Resolution High miscalculates target

    I noticed that if I change the Order Fill Resolution to High in my strategy, the engine miscalculates the 'target'. For example I have the Profit target to 3t, then when I check the "Trades", it's actually achieving a target of 4t. It happens on several types of bars (Range, Tick, etc.). Seems to be a bug/problem with the implementation of Order Fill Resolution.
    Please, check the picture.
    Attached Files

    #2
    Hello ds1111,

    Thank you for your post.

    I am able to recreate the same behavior. I will follow up here when I have further details.
    Patrick H.NinjaTrader Customer Service

    Comment


      #3
      Hello ds1111,

      Thank you for your patience.

      You will need to enable the check box for the option 'Fill limit orders on touch'. This will mean an extra tick is not needed in order to confirm the limit order was hit.

      Please let me know if you have any questions.
      Patrick H.NinjaTrader Customer Service

      Comment


        #4
        This is still a bug to be fixed in the next release, correct?

        Thanks!

        Comment


          #5
          Originally posted by ds1111 View Post
          This is still a bug to be fixed in the next release, correct?

          Thanks!
          Thank you for your response, ds1111,

          This would not be a bug as the additional series for the Fill Resolution is confirming the limit was touched by waiting for the tick past the limit price. This would be why the option for the limit orders to fill on touch exists.

          Please let me know if you have any questions.
          Patrick H.NinjaTrader Customer Service

          Comment


            #6
            Sorry, but I have to disagree.
            If you have a "Limit" target of 3t and you were filled 1 ticked above that price (for a long for example), it's a mistake. You would be filled at touch at the 3t price, not 4t. That would never happen in real life.

            Am I missing something? Please, check with your engineers, that's not the expected behavior.

            Comment


              #7
              Hello ds1111,

              Thank you for your response.

              It is the expected behavior. Please enable the option 'Fill limit orders on touch' to have the limit orders fill on touch.
              Patrick H.NinjaTrader Customer Service

              Comment


                #8
                Experiencing the Same Problem with Order Resolution in NT8!

                I am also experiencing the same issue when backtesting with order fill resolution set to high. When order fill is set to standard, this issue does not seem to occur (which is the opposite of what one would expect)

                Limit orders are executed and filled "on touch" even without the "Fill on touch" option enabled. This seems to be a serious bug and is significantly distorting backtests.. A screenshot is attached

                Comment


                  #9
                  Hello deltamacro,

                  Thank you for your post and welcome to the NinjaTrader Support Forum!

                  Your screen shot did not come through on your post, can you re-attach it to your post?

                  I look forward to your response.
                  Patrick H.NinjaTrader Customer Service

                  Comment


                    #10
                    Screenshot of High Resolution limit orders

                    Screenshot attached
                    Attached Files

                    Comment


                      #11
                      Hello deltamacro,

                      Thank you for your response.

                      Both your entries and exits appear to be off. May we test the strategy on our end?

                      If so, please provide a screen shot of the settings used for the backtest and you can export your strategy by going to Tools > Export > NinjaScript Add On > Add > select your strategy > OK > Export > name the file 'NTsupport' > Save. The file will be located under Documents\NinjaTrader 8\bin\Custom\ExportNinjaScript. Please attach the file to your response.

                      If you do not want to share the strategy here on the Support Forum you can send it over to platformsupport[at]ninjatrader[dot]com with 'ATTN: Patrick H' in the subject line and a reference to this thread in the body of the email.

                      I look forward to your response.
                      Patrick H.NinjaTrader Customer Service

                      Comment

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