can you explain a NinjaTrader bad fill ?

Discussion in 'Order Execution' started by Wallace, Oct 5, 2009.

  1. demo trading the 6E during the NFP release last Friday, a Market Order Buy was filled
    at 1.4521 when the price bar - a horizontal line - was 1.4505 - see attached

    i'm asking the same question on the Ninja forum mostly wondering why the bar wasn't
    drawn up to 1.4521, more importantly i want to know if it's possible for a real market
    order to get hit so far out of the price range of the previous and following trades, presuming
    the 12 tick chart is truly reflecting all the B/S orders being filled
  2. the chart
    • fill.png
      File size:
      11.4 KB
  3. maxpi


    I'm of the opinion that demo accounts aren't very accurate, they are simulations of a market really, probably the designers of them consider them more useful for testing user scripts or practicing order entries.. one broker's demo account can be entirely gamed in some ways.. you can get fills that are very, very far from the real market...

    Were you using the Ninja demo account or were you connected to a broker's demo account?
  4. demo accounts use simulated (demo) data.
  5. Bullshit answer. Whether they rely on demo data is per case dependant. I have some that rely on demo data, some that rely on fake orders by all people in the demo system but real data (actually a demo environment by the CME for testing programming).

    If you use the NT demo, it relies and fills based on the maket data it has - it is actually pretty good simulating things like positions in the order list if properly configured.

    That being said:

    If there is only a wide bid/ask that is NEVER really traded...

    ...the bar will show the executed trades only, but your fill will be based on bid/ask/orderbook, so CAN theoretically fall outside of the bar.

    Now, I would say "that is unusual under normal market conditions", but playing NFP is pretty much totally not normal market conditions.

    You would have to go back and have a look at more than trades (best bid, ask, order book) to see whether the decision of the NT simulator was bogus. Especially during spikes it may be that your tade WOULD be realistic IF real, but as it was not it does not show up in the charts.

    Take that as a warning - those times the markets are truly dangerous.
  6. Jym


    Were you trading at night or did 6E have some lighter volume at that point?

    Sometimes especially at night the bid and ask for futures will actually be different than the number showing on your chart since the chart seems to only recognize the "last price"
    As far as i can tell a certain number of contracts must be sold for a new "last price" to register. Like sometimes the YM will be stuck on the same one for a minute+ at night even though trades are clearly being made. Seems to be somewhere between 10 and 20 contracts but I'm not certain.
  7. Well, put "the certain number" to 1 and you have it.

    Especially currency futures (mini variant).... are often trading only every 10 or 20 ticks in the night. The bid/ask is moving as the market makers automatically adjust their offering based on the interbank data they have (with a little wider spread)... basically you would buy, they would hedge immediately.

    So, bid/ask move in concert with forex prices, but as noon makes trades..... the changes do not register in the chart.

    Btw., STOPS are ALSO NOT EXECUTED - same issue, they get triggered by a... trade. That is - exchange stops. If you use Rithmic/Zen-Fire and program against the Rithmic API, you can enter a virtual stop that is based on bid/ask into the system. Actually you an even trigger the stop on another symbol, but that is REALLY a different story ;)
  8. Mirus demo NT + Z-F, the Mirus demo uses the realtime data feed

    thanks NetTecture:
    "If there is only a wide bid/ask that is NEVER really traded...
    ...the bar will show the executed trades only, but your fill will be based on
    bid/ask/orderbook, so CAN theoretically fall outside of the bar."
    that's what i'm afraid of, even though my Buy was entered at least 10 seconds after
    the last time the price was at the 1.4521
    btw, no one's offered a better explanation ; )
    could this if a real trade by challenged or would the fill stand ?

    news just in: NinjaTrader 7 is starting a formal 4 week beta trial and if all goes well
    will be Public beta released in November; said to be much improved, will still use
    XP Pro, 32 and 64bit versions
  9. Jym:
    Did you bother to even read the OP's post before responding?
  10. Wallace don't be fooled by anyone out there trying to explain or justify why candles don't reach the filled price because it is in the demo. I have had - no lies - this happening in my real live account happen over a hundred times over the last year and 4 months ever since Ninja upgraded their version in May/08. I have on many occassions tried to get my broker, Ninja and Zenfire try to solve this but they all are alot of hot air about helping and blame each other for it happening. Noone wants to take the blame. As I trade off the charts, it is imperative that they are correct, if candles don't reflect the correct prices, then I am making trades with wrong information and it has cost me money. In one day, I had 20 one way trades, and 19 of the 20 did as your example, candles did not show to the prices being filled. I definitely want people to be aware of that as they should not have to deal with arrogance that I have had to deal with. If someone thinks I am blowing hotair, I have around 50 saved screened images of this happening in a real live trade. Don't know if can name my broker, but they were TOTALLY useless as far as help was concerned. Would love to hear of someone else who has had this problem and if they have ever got it fixed
    #10     Oct 6, 2009