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Srategy terminated "price below stop price" How can I fix?
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Srategy terminated "price below stop price" How can I fix?
I missed a good trade at 2:00 am because the order attempted to execute and the current price was below the stop price (I was going short) and the strategy terminated itself? Should I have used a stop limit order or is there a better solution? (The strategy uses a stop order as a trigger to go short 1 tick below the low of the prior bar)Tags: None
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Originally posted by ninjablanks View Post(The strategy uses a stop order as a trigger to go short 1 tick below the low of the prior bar)
Limit orders will get your *improved* prices. Stop orders get you *worse* prices but will get you in the trade in a fast moving market or if you are waiting for a certain condition like the close of a range bar where you know exactly where price will be. You can also use a stoplimit order, so that if a (higher) price is triggered, your limit (improved) order will be placed.
I like buy and sell stops but you also need to be incredibly careful when using them in ninja strategies. If you backtest something that looks awesome, it is probably because it didn't use market orders and Ninja isn't handling the fills correctly. I have spent a lot of time on this.
Anyway, if you want a quick fix, just test the GetCurrentBid() first before placing your order to make sure your sell stop is ABOVE the bid, or you can just do GetCurrentBid() + TickSize in your order itself.
Mike
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Thanks for the input here Mike - I'm not sure I follow on your fill statement - did you look into the different fill algorithms offered (Historical Fill Processing in the link below)? http://www.ninjatrader-support.com/H...AStrategy.htmlBertrandNinjaTrader Customer Service
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