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Modifying the Ninja Trader liberal fill algorithm
Started:June 7th, 2016 (01:44 PM) by Vispilio Views / Replies:102 / 1
Last Reply:June 7th, 2016 (01:44 PM) Attachments:0

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Modifying the Ninja Trader liberal fill algorithm

Old June 7th, 2016, 01:44 PM   #1 (permalink)
Trading Apprentice
Istanbul / Turkey
Futures Experience: Master
Platform: Ninja Trader
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Modifying the Ninja Trader liberal fill algorithm


I need a small change on the liberalfilltype.cs default file of Ninja Trader fill algorithm. It must be modified in such a way that STOP LIMIT orders will trigger immediately as soon as the Stop level is hit in any of the OHLC points of a minute bar (in the default version 2 conditions are checked during historical fill processing of the backtest: 1) If Stop price is reached, and 2) If on the next bars limit price is reached).

It's essential to do this as in reality Stop Limit orders will always trigger the moment Stop is reached.

Let me know if anyone is interested to do this on a timely manner, I can even send you the default cs. file that needs to be modified.

I know it's a very small task, but would be much appreciated as timing is of the essence.

Warm Regards,

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Old June 7th, 2016, 01:44 PM   #2 (permalink)
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