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Stoploss Limit Order Price Bracket by ATM Strategy


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Stoploss Limit Order Price Bracket by ATM Strategy

  #1 (permalink)
Montréal Québec
 
 
Posts: 6 since Mar 2019
Thanks: 21 given, 5 received

Stoploss Limit Order Price Bracket by ATM Strategy

Hello! I am now live and fully automated since a few days, a big step for me after several months of backtesting the ES. So far, so good, even the execution are a little bit in my favour compare to the backtest results of the same trades

Ok here is what puzzle me:

I am using the Ninjatrader ATM order management. When I get in the market, a stoploss and a profit target are sent to the exchange along with my entry order (in my case, I can confirmed on my broker portal (Ironbeam) where I see the working order details. The order type for the profit target is a Limit Order. But the Stoploss order type is set as a Stop Limit Order, with two prices stated, here is the exact wording: SELL 1 [XCME:ES.U19] 2910.50 STOP LIMIT 2907.50

On my broker portal (Ironbeam), the definition of the Stop Limit Order is:
6.Stop with Limit Order (Stop Limit)
Use this order when you want to give the floor broker a limit as to how far through your stop he may fill your order. When you place this order, two prices must be stipulated: the stop price and the limit price. When your stop is elected, the broker will fill your order if it is possible to do so without exceeding your limit price. If the broker is unable to do so, the limit portion of your order goes into effect. Now, the market must turn around and surpass your limit price in order to be filled, just like a regular limit order.

First question:
If I well understand, It could happen that my stoploss order will not get filled if the broker is not able to fill the order between the stop price and the limit price (in my example, 2910.50$ - 2907.50$). So if the price pass trough 2907.50$ without being executed, then I end up with an open position without any protection. Can anyone confirm?

Second question:
Is there a way in Ninjatrader with the ATM managed approach to change the price bracket? Does that price bracket is defined within the ATM strategy? I would ratter prefer to give a bigger price bracket than being exposed to substantial losses, or even send a Market Order instead...

Let me know your thoughts about that, anyone fearful about that?


Thanks for your help

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  #2 (permalink)
ITAJAI SC/BRAZIL
 
Experience: Intermediate
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MartinHHH View Post
Hello! I am now live and fully automated since a few days, a big step for me after several months of backtesting the ES. So far, so good, even the execution are a little bit in my favour compare to the backtest results of the same trades

Ok here is what puzzle me:

I am using the Ninjatrader ATM order management. When I get in the market, a stoploss and a profit target are sent to the exchange along with my entry order (in my case, I can confirmed on my broker portal (Ironbeam) where I see the working order details. The order type for the profit target is a Limit Order. But the Stoploss order type is set as a Stop Limit Order, with two prices stated, here is the exact wording: SELL 1 [XCME:ES.U19] 2910.50 STOP LIMIT 2907.50

On my broker portal (Ironbeam), the definition of the Stop Limit Order is:
6.Stop with Limit Order (Stop Limit)
Use this order when you want to give the floor broker a limit as to how far through your stop he may fill your order. When you place this order, two prices must be stipulated: the stop price and the limit price. When your stop is elected, the broker will fill your order if it is possible to do so without exceeding your limit price. If the broker is unable to do so, the limit portion of your order goes into effect. Now, the market must turn around and surpass your limit price in order to be filled, just like a regular limit order.

First question:
If I well understand, It could happen that my stoploss order will not get filled if the broker is not able to fill the order between the stop price and the limit price (in my example, 2910.50$ - 2907.50$). So if the price pass trough 2907.50$ without being executed, then I end up with an open position without any protection. Can anyone confirm?

Second question:
Is there a way in Ninjatrader with the ATM managed approach to change the price bracket? Does that price bracket is defined within the ATM strategy? I would ratter prefer to give a bigger price bracket than being exposed to substantial losses, or even send a Market Order instead...

Let me know your thoughts about that, anyone fearful about that?


Thanks for your help

First question
I understand exactly like you wrote

Second question
Maybe @NinjaTrader can help

Sent using the futures.io mobile app

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  #3 (permalink)
Denver, CO
 
Experience: Advanced
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: ES
 
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Posts: 1,510 since May 2010
Thanks: 177 given, 2,283 received


ATM Strategies scan send Stop Market orders, best to reach out to our support for specific help on how to accomplish that. There was a time where the CME only accepted STOP LIMIT orders resting at the exchange which is why ATM strategies supported that. The spread between STOP/LIMIT price was wide enough for in liquid markets like ES, the odds of not getting filled was negligible.

Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
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