[rsagi]

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]

Using IB/TWS ?

http://www.ninjatrader-support2.com/...light=superdom

[BlowFish]

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]

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]

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]

Originally Posted by rsagi »

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)

[Infinity_Tom]

Originally Posted by BlowFish »

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]

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.