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Pending orders and market price

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Richards Laudurgs
1324
Richards Laudurgs 2014.10.09 03:20 
Hello. 

I often set pending orders and keep on an expert that registers each tick. 

I was wondering if it is possible that a pending order like sell stop gets executed with a price, that has not been registered by the tick expert, which means that the exact price didnt exist at that moment.  I have market execution

 

For example:

 

03:29:59,0.88254,0.88276
03:30:00,0.88255,0.88296
03:30:01,0.88254,0.88296
03:30:01,0.88255,0.88296
03:30:01,0.88255,0.88259
03:30:01,0.88256,0.88259
03:30:01,0.88099,0.88121
03:30:01,0.88074,0.88091
03:30:01,0.88080,0.88091
03:30:02,0.88061,0.88085
03:30:02,0.88006,0.88095
03:30:02,0.88010,0.88072
03:30:02,0.88016,0.88072
03:30:02,0.88016,0.88072
03:30:02,0.88016,0.88072
03:30:02,0.88027,0.88077
03:30:02,0.88027,0.88067
03:30:02,0.88017,0.88056
03:30:02,0.88012,0.88068
03:30:02,0.88015,0.88068
03:30:02,0.88015,0.88054
03:30:02,0.87979,0.88046
03:30:03,0.87968,0.87995

 

 

thats the tick data.

Heres the trades data:

 

03:30:00.054 'trade number': pending order sell stop (lots) AUDUSD-ECN at 0.88189 sl: 0.88289 tp: 0.87689 

03:30:07.146 'trade number': order #number sell stop (lots) AUDUSD-ECN at 0.88189 activated at price 0.87995 

Is this possible? 

Shouldnt the order been executed 

03:30:01,0.88074,0.88091?
Because thats the next price after the order is triggered at price -  
03:30:01,0.88099,0.88121







*I have removed trade and lot data for privacy. 
Rodrigo Malacarne
Moderator
9904
Rodrigo Malacarne 2014.10.09 05:56  
Richards95:

03:30:00.054 'trade number': pending order sell stop (lots) AUDUSD-ECN at 0.88189 sl: 0.88289 tp: 0.87689 

03:30:07.146 'trade number': order #number sell stop (lots) AUDUSD-ECN at 0.88189 activated at price 0.87995 

Is this possible? 

Hello Richards95, it's a very interesting question... I'm wondering why your trade was only confirmed at 03:30:07.146... I mean, you show us a small tick history varying from 03:29:59 until 03:30:03, but in fact your trade ocurred later than that...

It it possible to check your ping with the trade server? It would also be interesting to check if the time information you linked is related to your local machine time or to the trade server time ...

Regards,
Malacarne

Richards Laudurgs
1324
Richards Laudurgs 2014.10.09 06:26  
Malacarne:

Hello Richards95, it's a very interesting question... I'm wondering why your trade was only confirmed at 03:30:07.146... I mean, you show us a small tick history varying from 03:29:59 until 03:30:03, but in fact your trade ocurred later than that...

It it possible to check your ping with the trade server? It would also be interesting to check if the time information you linked is related to your local machine time or to the trade server time ...

Regards,
Malacarne

03:29:59,0.88254,0.88276
03:30:00,0.88255,0.88296
03:30:01,0.88254,0.88296
03:30:01,0.88255,0.88296
03:30:01,0.88255,0.88259
03:30:01,0.88256,0.88259
03:30:01,0.88099,0.88121
03:30:01,0.88074,0.88091
03:30:01,0.88080,0.88091
03:30:02,0.88061,0.88085
03:30:02,0.88006,0.88095
03:30:02,0.88010,0.88072
03:30:02,0.88016,0.88072
03:30:02,0.88016,0.88072
03:30:02,0.88016,0.88072
03:30:02,0.88027,0.88077
03:30:02,0.88027,0.88067
03:30:02,0.88017,0.88056
03:30:02,0.88012,0.88068
03:30:02,0.88015,0.88068
03:30:02,0.88015,0.88054
03:30:02,0.87979,0.88046
03:30:03,0.87968,0.87995
03:30:03,0.87978,0.87995
03:30:03,0.87920,0.88018
03:30:03,0.87920,0.88014
03:30:03,0.87920,0.88018
03:30:03,0.87916,0.88019
03:30:03,0.87916,0.87996
03:30:03,0.87929,0.87982
03:30:03,0.87922,0.87982
03:30:03,0.87923,0.87982
03:30:04,0.87993,0.87999
03:30:04,0.87993,0.88016
03:30:04,0.87948,0.88005
03:30:04,0.87948,0.88002
03:30:04,0.87960,0.88002
03:30:04,0.87962,0.88002
03:30:04,0.87965,0.87992
03:30:04,0.87958,0.88014
03:30:04,0.87944,0.88002
03:30:05,0.87933,0.88009
03:30:05,0.87933,0.88004
03:30:05,0.87945,0.88004
03:30:05,0.87952,0.88005
03:30:05,0.87950,0.87980
03:30:05,0.87947,0.88006
03:30:05,0.87942,0.87997
03:30:05,0.87942,0.87973
03:30:06,0.87941,0.87970
03:30:06,0.87944,0.87983
03:30:06,0.87946,0.87982
03:30:06,0.87949,0.87982
03:30:06,0.87979,0.87982
03:30:06,0.87984,0.88010
03:30:06,0.87984,0.88014
03:30:06,0.87973,0.88009
03:30:07,0.87998,0.88027
03:30:07,0.87994,0.88021
03:30:07,0.87994,0.88020
03:30:07,0.87994,0.88019
03:30:07,0.87987,0.88005
03:30:07,0.87959,0.87991
03:30:07,0.87952,0.87979
03:30:07,0.87969,0.87992
03:30:08,0.87942,0.87972
03:30:08,0.87959,0.87985
03:30:08,0.87949,0.88002
03:30:08,0.87942,0.87966
03:30:08,0.87932,0.87955
03:30:08,0.87939,0.87955

 

My ping with the server is around 60ms and the time information is taken from the market watch clock, which should be the server time. 

Alain Verleyen
Moderator
30743
Alain Verleyen 2014.10.09 10:25  

What is the filling policy used ? Maybe your order was not executed earlier as the available volume is not enough to fill your order.

It's the only valid explanation I can see, otherwise you have to ask to your broker.

Stanislav Korotky
17925
Stanislav Korotky 2014.10.09 19:44  
You have the price 0.87995 at 03:30:03, which is between the moment you have sent the order and the moment you received notification about execution. Shouldn't this make sense?
Richards Laudurgs
1324
Richards Laudurgs 2014.10.09 19:55  
marketeer:
You have the price 0.87995 at 03:30:03, which is between the moment you have sent the order and the moment you received notification about execution. Shouldn't this make sense?
That's not the price for opening a sell order.
Stanislav Korotky
17925
Stanislav Korotky 2014.10.10 15:06  
Richards95:
That's not the price for opening a sell order.
You have a stop order. By trading rules it can be executed at a price which is worse than requested. Only limit orders are executed at exact or even better price.
Alain Verleyen
Moderator
30743
Alain Verleyen 2014.10.10 15:38  
marketeer:
You have a stop order. By trading rules it can be executed at a price which is worse than requested.

19.4 pips is a big difference for a Forex symbol when there is existing better prices.

So my question about volume, but it seems that doesn't deserve an answer from the OP.

Only limit orders are executed at exact price.

To be more precise, limit orders can be exectued at exact price or better price.

Stanislav Korotky
17925
Stanislav Korotky 2014.10.10 15:52  
angevoyageur:

19.4 pips is a big difference for a Forex symbol when there is existing better prices.

So my question about volume, but it seems that doesn't deserve an answer from the OP.

To be more precise, limit orders can be exectued at exact price or better price.

Thank you for pointing out my omission about better price (I corrected my answer). The difference in points is not a problem - for example AUDUSD shows approx 1000 points H1 bar at 8.10.14 20:00 CET. Shouldn't this give a clue about potentially large and quick movements?
Alain Verleyen
Moderator
30743
Alain Verleyen 2014.10.10 16:02  
marketeer:
... The difference in points is not a problem - for example AUDUSD shows approx 1000 points H1 bar at 8.10.14 20:00 CET. Shouldn't this give a clue about large movement? I don't know the broker timezone, so this could be exactly this moment.

I don't understand what you mean ?

03:30:00.054 'trade number': pending order sell stop (lots) AUDUSD-ECN at 0.88189 sl: 0.88289 tp: 0.87689 

03:30:07.146 'trade number': order #number sell stop (lots) AUDUSD-ECN at 0.88189 activated at price 0.87995 

The sell stop was placed at 03:30:00.054 and the terminal received notification of the triggering at 03:30:07.146. Between this 2 date/time, we can see from the tick data provided that the pending order price 0.88189 was reached as soon as :

03:30:01,0.88099,0.88121

and a lot of ticks after that also. It's already 9 pips worst, but it can happens as you said. But why the pending order was not triggered before 0.87995 ? Isn't the only valid answer : no required lot size available ?

Maybe I missed something.

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