MIT Orders on Bid/Ask

[otislauwaert]

Hello.

I would like to request a feature to have MIT orders trigger only on the Bid/Ask price. Buy MIT orders on the Ask and Sell MIT orders on the Bid.

Thank you!

[NinjaTrader_PatrickG]

The current behavior in futures in that a sell MIT is triggered when the bid price reaches the order. a buy MIT order is triggered when the ask price reaches thew order. The chart, by default, plots the last price which may or may not be the current ask/bid price. I used the simulated data feed with the 'Price line' indicator applied which gives us an easy visual way to see where the orders are triggered:

https://www.screencast.com/t/GWzZVGJfAE

If you're experiencing something else, this would be unexpected. Could you provide a screenshot or video as I have which shows the orders filling in an unexpected way?

[otislauwaert]

Hello Patrick,

I did not know that this was the default behaviour of MIT orders. I will go and try it now with my strategy.
This thread may be closed since the error is mine for not having looked clearly enough at the Bid/Ask lines.

Thank you for your reply and time to make the video example.

[otislauwaert]

Hello Patrick,

Taking a closer look at your video example, I notice that this behaviour is not happening in your video either.
Your Sell MIT order is set at 2755.50 but when it is filled the Sell position is at 2755.25. The Bid price doesn't reach 2755.50 while your order was filled.
The same happens for the Buy MIT order. This is happening to me on the Sim account as well right now.
So it doesn't behave as you explained in your post?

[NinjaTrader_PatrickG]

When the MIT order is touched by the ask/bid, it submits a market order which would then fill at the first available price. If the price happens to move in the instant that the MIT is triggered, it is possible that it would not fill at the exact price the MIT order was resting it. This is the case in my video.

Here is another video demonstrating the expected ask/bid trigger behavior:

https://www.screencast.com/t/Wtd87eR63

[otislauwaert]

Hello Paul,

I made a video showing an example of my Buy MIT getting filled by the Last price or Bid price and not the Ask price while there was no slippage in the ticks.

https://youtu.be/kfbzHOnDEPg

[NinjaTrader_PatrickG]

We advise that you reset the Simulation account to resolve this item. Resetting a simulation account will clear all historical trade data from this account. Please follow the instructions below to reset a simulation account.

• From the NinjaTrader Control Center window select the Accounts tab
• Right click on your simulation account and select 'Edit Account'
• Press the "Reset" button

[otislauwaert]

Hello Patrick,

Resetting my Simulation account and restarting Ninjatrader 8 does not seem to have solved the problem.
I recorded a second video showing that the BuyMIT order does not get filled when the Bid touches it, but it does get filled when the Last price touches it, instead of the Ask price.

https://youtu.be/zzBOiAaCKWI

What steps should I take now?

Thank you.

[NinjaTrader_PatrickG]

What exact time did the order in your video fill? You can see this in the Orders tab of the Control Center. Please also tell me what time zone you're in.

[otislauwaert]

Hello Patrick,

The order in the video was filled at 19:51:13.447. My timezone is GMT +1 (Amsterdam, Brussels, Paris).

[NinjaTrader_PatrickG]

On my end, I see that the ask reached 118'120 at ~19:53. I suspect your PC clock may be out of sync. Please use the steps below to change/check your Time Zone and sync the PC clock:

• Shutdown NinjaTrader
• Right-click the clock in the lower right corner of your desktop
• Select Adjust date/time
• For Windows 10 click 'Additional date, time, & regional settings' -> then click 'Set the time and date'
• Select the 'Internet Time' tab at the top
• Set the server to time.nist.gov and then click Update.
• If the message that appears says successful your PC clock should now be updated.
• If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)

Another possible reason for this would be that chart data is lagging for some reason. To confirm this, open a Time and Sales window and observe the time stamps of the incoming ticks in the Time and Sales window when compared to the chart's time stamps. Do they match exactly?

[otislauwaert]

Hello Patrick,

I followed all these steps and updated the time succesfully. I then opened the T&S window and compared the data with Chart data, it's matching exactly.
I am however still having this problem. All MIT orders, doesn't matter on which market, fill at the Last price and never with the Bid/Ask.
Could you record a video of a Buy MIT order filling on the Ask price when the Last price is not equal to the Ask price?

Thank you for your help.

[NinjaTrader_PatrickG]

Here is a chart with an ask and bid line on close data series with the last price indicator displaying the last traded price. My buy MIT order fills when the ask price reaches the order. The last traded price and the ask price are the same when the fill occurs:

https://www.screencast.com/t/Cg9WKkN0t7

If you're experiencing buy MIT orders filling at the bid, then you're experiencing something unexpected. I would suggest that you contact us via email so we may further investigate. Please send me your log and trace files so that I may look into what occurred.

• You can do this by going to the Control Center-> Help-> Email Support
• Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.
• Please reference the following ticket number in the body of the email: 2005584 ATTN Patrick G

[otislauwaert]

Hello Patrick,

Yes, I am experiencing buy MIT orders being filled at the Bid but only when the Last price is equal to the Bid. If the Bid is touching my order but the Last price is not then the trade does not get filled. Hence I come to the conclusion that all MIT orders get triggered by the Last price. I can see in your videos and my own platform that this is the case. Can you confirm a buy MIT order being filled by the Ask while the Last price is not the same as the Ask?

[NinjaTrader_PatrickG]

We discovered that it is expected the MIT order will be triggered by the last traded price then fill at the appropriate ask/bid price. I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.