ATM Trailing Stop error
Patrick, I've attached two pics which clearly displays that the underlying did NOT tick up during this fast move. Therefore, the Stop1 should not have initiated a Trail Stop.
What we do see is that the current price (per the Chart) was still at 2730 and proceeded lower. Since the current price (as captured by Close[0]) was still at 2730, the ATM saw this as having met the 3-4 tick spread required to move Stop1.
Now, here's the kicker, the Stop1 was place 1-tick below the fill in response to the error; it should have returned it to 8-ticks below the fill price.
So, here's the correction: either use a TickPrice value that provides the current fill price since Close[0] lags (as does the Chart showing tick bars); or, recognize that there has been a sudden move and delay the read of Close[0] for 2-3 milliseconds.
If NT8 chooses the former, then the Stop1 should be placed back at 8-ticks behind the fill price (which my software does since the Stop1 price change is ignored).
So, in conclusion, the current price lags causing this problem; and the solution could be to place the Stop back to where it was initially placed (8-ticks below).
Ron
PS: I am still asking: Is there a TickPrice variable that could be used instead of Close[0]?
Patrick, I've attached two pics which clearly displays that the underlying did NOT tick up during this fast move. Therefore, the Stop1 should not have initiated a Trail Stop.
What we do see is that the current price (per the Chart) was still at 2730 and proceeded lower. Since the current price (as captured by Close[0]) was still at 2730, the ATM saw this as having met the 3-4 tick spread required to move Stop1.
Now, here's the kicker, the Stop1 was place 1-tick below the fill in response to the error; it should have returned it to 8-ticks below the fill price.
So, here's the correction: either use a TickPrice value that provides the current fill price since Close[0] lags (as does the Chart showing tick bars); or, recognize that there has been a sudden move and delay the read of Close[0] for 2-3 milliseconds.
If NT8 chooses the former, then the Stop1 should be placed back at 8-ticks behind the fill price (which my software does since the Stop1 price change is ignored).
So, in conclusion, the current price lags causing this problem; and the solution could be to place the Stop back to where it was initially placed (8-ticks below).
Ron
PS: I am still asking: Is there a TickPrice variable that could be used instead of Close[0]?
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