NinjaTrader Stop Loss Bug - You May Looose $$$$

[rsagi 10]

Hi All,

 

I'm using NinjaTrader 6.5.10008 (latest)

 

and I'm doing trade management using two target points and trailing the second target while using a stop loss that comes to break even+1 tick.

 

I ran into two issues today @ the FOMC day trading the ES:

 

1. I scalped the first few times in the heavy spikes of 2:22pm after the FOMC announcement and all was good (made money) - then a few times my target was hit (you hear the women voice ":target hit) so automatically I'm @ breakeven+1 tick - but then suddenly I see I lost $$$ !!! (this doesn't make sense - I went from +$720 to $120 and then -$120 -this problem occurred several times.

 

2. After the target was hit - there were some open orders - but I couldn't cancel them - so I figured they weren't active and disconnected from broker and connected again - and the problem was solved.

 

Needless to say I am angry with this problem - any1 else experience same thing?

[thrunner 10]

Using IB/TWS ?

 

http://www.ninjatrader-support2.com/vb/showthread.php?t=1238&highlight=superdom

[BlowFish 10]

Maybe you got slippage on the stop? Price can jump a bit round fomc. Don't stops need to be sent as stop limit to reside locally on Globex? Can't remember off the top of my head but I think that's correct.

[rsagi 10]

Hi Blowfish,

 

Well, I thought the do reside on the exchange - thats the whole idea of the stop isn't it...

 

If that is the case (slippage) that cannot be protected then I'll never trade FOMC days again.

 

Thanks fort he reply.

Steve

[ckait 10]

price needs to trade through your target not just to it i had the same issue when i first started using auto break even so have it move to BE at 7 ticks instead of 2 pts or what ever your number. also you will get slippage during FOMC days if your not prepared for that better to sit those days out.

[BlowFish 10]

Hi Blowfish,

 

Well, I thought the do reside on the exchange - thats the whole idea of the stop isn't it...

 

If that is the case (slippage) that cannot be protected then I'll never trade FOMC days again.

 

Thanks fort he reply.

Steve

 

No, it varies exchange to exchange you need to check with your broker to be sure. From memory and unless its changed a stop will be held at your brokers or client platform, not on Globex. Eurex is the other way round. Over time exchanges are adding more order types but it used to be quite sobering to see how few are handled natively.

 

You would probably be surprised to find some exchanges don't even support market orders, they are converted to limit orders with wide limits .

 

Believe what you please but I would check personally

 

Edit: OK I checked for you (senility makes you question yourself sometimes) Globex does not support stops or market orders nativey, so there you go. (guess I should have trusted my memory)

Edited December 18, 2008 by BlowFish

[Infinity_Tom 10]

No, it varies exchange to exchange you need to check with your broker to be sure. From memory and unless its changed a stop will be held at your brokers or client platform, not on Globex. Eurex is the other way round. Over time exchanges are adding more order types but it used to be quite sobering to see how few are handled natively.

 

You would probably be surprised to find some exchanges don't even support market orders, they are converted to limit orders with wide limits .

 

Believe what you please but I would check personally

 

Edit: OK I checked for you (senility makes you question yourself sometimes) Globex does not support stops or market orders nativey, so there you go. (guess I should have trusted my memory)

 

Globex supports "Stops with protection" & "Market orders with protection"

 

Stop orders at CME Group are implemented using a “Stop with Protection” approach. Unlike a conventional Stop order, where customers

are at risk of having their orders filled at extreme prices, Stop with Protection orders are filled within a predefined range of prices (the protected range). A Stop with Protection order is triggered when the designated price is traded on the market. The order then enters the order book as a Limit order with the limit price equal to the trigger price, plus or minus the predefined protected range.

 

Market orders at CME Group are implemented using a “Market with Protection” approach. Unlike a conventional Market order, where customers are at risk of having their orders filled at extreme prices, Market with Protection orders are filled within a predefined range of prices (the protected range)

 

http://www.cmegroup.com/globex/files/GlobexRefGd.pdf

[beyondMP 10]

If you are using an ATM strategy in Ninja Trader it sets a Stop Limit order as folows: it places the stop side of the order at the price you asked for-in this case breakeven+1...it places the limit side of the order 20 ticks away in this case breakeven-19. This essentially makes this a market order that can be filled anywhere from your price to your price minus 20 ticks. In a fast moving market this can be disastrous, as you found out.

 

I have complained about this major flaw in NT for sometime and Ray has posted(in another forum) that this will be corrected in NT7. (it is important to remember that is the way NT handles ATM generated Stop/Limit orders on Globex, as some other exchanges do not allow Stop/Limit orders at all)

 

This only applies to a Stop/Limit generated by an ATM strategy, if you manually enter a Stop/Limit order you can select the offset you want in the preference window on the DOM.

[BlowFish 10]

There are only really two options use a stop with no limit (or a wide limit on exchanges that don't natively support stop market) Then you risk slippage. Or use a stop with equal or tight limit and risk not being filled at all. Most people would prefer to be filled when there stops are hit unless perhaps stopping in to a position. There is no other way sadly. Knowing how your broker and the exchange handles various order types where they reside how they are elected etc. is pretty crucial imho.

[ckait 10]

Ive been trading the ninja platform for a year using amp, I use stop market orders and have rarlely gotten any slippage occasionally i got a couple ticks. The biggest problems ive heard of from peolpe is usually that they get stoppped when placing orders if they're using a tight stop when theres a spike in activity and the screen freezes do to insufficiant computer.

[beyondMP 10]

If you are using an ATM strategy in Ninja Trader it sets a Stop Limit order as folows: it places the stop side of the order at the price you asked for-in this case breakeven+1...it places the limit side of the order 20 ticks away in this case breakeven-19. This essentially makes this a market order that can be filled anywhere from your price to your price minus 20 ticks. In a fast moving market this can be disastrous, as you found out.

 

I have complained about this major flaw in NT for sometime and Ray has posted(in another forum) that this will be corrected in NT7. (it is important to remember that is the way NT handles ATM generated Stop/Limit orders on Globex, as some other exchanges do not allow Stop/Limit orders at all)

 

This only applies to a Stop/Limit generated by an ATM strategy, if you manually enter a Stop/Limit order you can select the offset you want in the preference window on the DOM.

 

Not only hasn't this bug been fixed, The other forum banned me and deleted the threads regarding this issue.

[nyctrader 10]

Not only hasn't this bug been fixed, The other forum banned me and deleted the threads regarding this issue.

 

Thanks BeyondMP for enlightening us on this issue. I have been testing several such ATM strategies on NT with stop limit orders using various futures (crude, yen, euro, etc) to be executed at fast moving news times. They have worked out pretty well on SIM. I gather I shouldn't get my hopes up when it comes to live trading though, correct?

[beyondMP 10]

Thanks BeyondMP for enlightening us on this issue. I have been testing several such ATM strategies on NT with stop limit orders using various futures (crude, yen, euro, etc) to be executed at fast moving news times. They have worked out pretty well on SIM. I gather I shouldn't get my hopes up when it comes to live trading though, correct?

 

This major flaw imposes a mandatory 20 tick offset for all Stop Limit orders submitted thru an ATM. Consequently, if your profit target is less than 20 ticks away from entry, it is possible for a winner to turn into a loser in highly volatile and thinly traded market.

 

This flaw has the effect of turning those Stop Limit orders into market orders. In normal trading this can cause the trader to lose a tick or two on a very regular basis. This creates a "hidden" cost for using NT that can be many times the monthly fees.

[nyctrader 10]

This major flaw imposes a mandatory 20 tick offset for all Stop Limit orders submitted thru an ATM. Consequently, if your profit target is less than 20 ticks away from entry, it is possible for a winner to turn into a loser in highly volatile and thinly traded market.

 

This flaw has the effect of turning those Stop Limit orders into market orders. In normal trading this can cause the trader to lose a tick or two on a very regular basis. This creates a "hidden" cost for using NT that can be many times the monthly fees.

 

Might there be a difference between data feeds, eg zen-fire vs some other feed when it comes to this issue? Also, what futures platform have you found that is superior in getting fills? (You mentioned something on another forum).

[beyondMP 10]

Might there be a difference between data feeds, eg zen-fire vs some other feed when it comes to this issue? Also, what futures platform have you found that is superior in getting fills? (You mentioned something on another forum).

 

This flaw is built in NT, it occurs regardless of data feed. Please understand, NT might be fine for some. If precise Stop Limit orders aren't important to you than NT might be ok. If precision is important than you will have to check with your broker, to find, which platform has the features you need.

 

As for me, I'll probably be switching to Sierra Charts when they can interface with my broker(which has an ETA of the end of the month).

 

I would not have even started this information campaign if Ray(the #1 guy at NT) hadn't lead me to believe this flaw would be fixed in NT7. I kept using NT for the past

1 1/2 years to show my support for his willingness to fix the flaw.

[BlowFish 10]

This major flaw imposes a mandatory 20 tick offset for all Stop Limit orders submitted thru an ATM. Consequently, if your profit target is less than 20 ticks away from entry, it is possible for a winner to turn into a loser in highly volatile and thinly traded market.

 

 

Thats boggling. Are you sure it is not up to 20 ticks (a 20 tick cap)? Most people would want to set the stop and limit at the same price I would guess (zero offset).

 

One has to ask why Ninja is using synthetic orders (simulating them on the client)? They should be submitted to the brokers system (or exchange if a native order) and modified if necessary. (certainly for stops and exits, some people might want the option to hold entry orders on the client so infrastructure problems mean unmanaged orders aren't left at thr broker/exchange). Reported all that in the beta of version 1 let alone 7!

[beyondMP 10]

Thats boggling. Are you sure it is not up to 20 ticks (a 20 tick cap)? Most people would want to set the stop and limit at the same price I would guess (zero offset).

 

I'm absolutely sure. as a matter of fact NT tries to explain this limitation(flaw) as a benefit to the trader. I suppose it is to some...but, they fail to explain the added it costs it can impose to the trader's profitability.

[BlowFish 10]

I'm absolutely sure. as a matter of fact NT tries to explain this limitation(flaw) as a benefit to the trader. I suppose it is to some...but, they fail to explain the added it costs it can impose to the trader's profitability.

 

Wow so more like a Market if Touched order than a stop limit. Couple that with it being held on the client (presumably?) is a recipe for slippage.

[beyondMP 10]

One of the major reasons traders use a trading platform like NT is it's ability to place bracket orders and to automate multi-step strategies. It is when using these strategies, the flaw comes into play.

 

Using the ES, which has a tick value of $12.50; a 20 tick stop equals $250. The problem comes into play on profit targets. These are sent out as Stop Limit orders. Because, the Stop side of the order is a mandatory 20 ticks away from the Limit side of the order....when the markets hits the Limit price, the 20 tick offset has the effect of turning the Limit order into a market order. This causes the Limit order to be filled at the best price available (within those 20 ticks).

 

This can cause a loss of a tick or two on a regular basis....Or, an extra $12.50-25.00 per contract traded. This can add substantially to the effective cost of using NT.

 

To be fair, you can change this offset after the order is submitted, but this is cumbersome and easy to forget to do in the "heat of trading." Remember, the reason you are paying NT is to automate these functions and make trading less stressful and reduce the steps of placing multiple orders.

 

You can take the position that slippage is inevitable. And, this is exactly the justification NT states...however, I know from my experience-and the way I trade- the market will come back and fill me at my Limit price, thus, achieving my full profit target.

 

There are traders that are happy to get filled at the "best price" but there others that trade with a greater precision and want the option to determine their own trading fate.

[BlowFish 10]

Not sure why a target would be sent as a stop limit? Is there not an option to send it as a simple limit order? Not got Ninja installed at the moment.

[kuro 10]

beyondMP,

Are you sure you are not thinking about a stop market with protection? What you are saying does not make sense. An order sent out as a stop limit is a stop limit.

[BlowFish 10]

I am not sure why you would want to use a stop limit as a target? (unless you wanted to hide the order). Limit would accomplish what you need.