09-10-2010, 09:19 AM
I have sell limit order at 1101.75 and next bar high price was 1101.75, but order not filled.
If I set sell limit at 1101.50 and high price 1101.75 in this case it filled.
Is it ok?
09-10-2010, 09:25 AM
Ups, sorry, I found answer here http://www.ninjatrader.com/support/forum/showthread.php?t=33401
09-10-2010, 09:26 AM
Yes, it should be OK. It depends on fill setting used. See below for a description of fill options.
The two system fill algorithms are:
An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.
•Limit orders only fill if the limit price was penetrated
•Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NinjaTrader will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)
An algorithm that takes a liberal approach to filling limit and stop limit orders.
•Limit orders fill if the limit price was touched
•On gap down bars, buy limit orders will fill at the high of the gap down bar
•On gap up bars, sell limit orders will fill at the low of the gap up bar