Bracket order SL mechanism

I had a SL Buy order on Nifty Sep Fut at 9894 today i.e. 25 Sep 2017

The SL was placed as a part of a bracket order at the price 9894

It was triggered on the time below:
Time: 2017-09-25 11:21:12
Order ID: 170925000579053
11:21:12 75 9894

But in the historical data on Kite, if you see the one minute candle for 11:21, the High is set to 9893.65

Then I confirmed the same on - the High for 11.21am candle is 9893.65

So 9894 price had not reached - and never reached for more than the next 10 minutes after 11.21 am, but then how is my trade executed at price/avg.price of 9894 as 11:21:12?

So question is - how could the SL trigger when the price never reached that point?
Is there something in the bracket-order mechanism that triggers these SLs?

Is the SL (5 points in this case) calculated based on the entry price I placed or based on the avg. execution price ? I don't remember what price I had placed for order entry

If yes, what should be the added % margin of safety we should keep in the algos to prevent this kind of problem? (The above order was placed manually)

P.S: I will be raising a support ticket too
  • anupshinde
    Thanks @sujith, @haribabu. The links do make sense. I can understand that not all ticks are received by the platform.

    But then on both links are concluding: "NSE is deliberately sending wrong intraday data to all brokers and their retailers". And I have no doubt that NSE could have an implementation issue - i.e. not sending the statistically important ticks. Or may be they deem certain ticks as outliers and hence not important.

    As far as the difference is very small in percentage, it does not matter much. In this case it was just below 0.004%. Do you know if this scenario occurs with a larger percentage difference? i.e. like something greater than 0.01%
  • sujith
    Hi @anupshinde,
    It is not error implementation, it is lack of infrastructure. You may capture all the ticks only if you are at exchange co-location. With current infrastructure, it not possible for anyone to broadcast hundreds of ticks per second over the internet.
    As far as I know, the difference will be very less. SInce nothing in the flow is guaranteed, it is not possible to come up with a particular number. Maybe you can monitor it for a couple of days and check if it suits your purpose.
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