Fill time for LIVE SIM vs. LIVE

[maranuvian]

NT or users
how much difference is there between live fills vs live SIM fills? It has been frustrating using LIVE SIM on chart trader and watching price hit my targer 2-3 times without filling. It is almost like it had to punch through to next tick in order for it to be filled some of the time.
Maranuvian

[NinjaTrader_Kyle]

Hello Maranuvian,

Thank you for your post.

The simulation account is designed to function as realistically as possible.

[NinjaTrader_Ray]

In addition to Kyle's response...

From our Help Guide -

NinjaTrader provides a state of the art internal simulation engine that you can use to test trading ideas and hone your skills. The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. The engine uses a scientific approach to determine fill probability by including a number of variables including ask/bid volume, trade volume, time (to simulate order queue position) and random time delay for switching between order states.

[bigbopper]

Originally Posted by NinjaTrader_Ray

In addition to Kyle's response...

From our Help Guide -

NinjaTrader provides a state of the art internal simulation engine that you can use to test trading ideas and hone your skills. The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. The engine uses a scientific approach to determine fill probability by including a number of variables including ask/bid volume, trade volume, time (to simulate order queue position) and random time delay for switching between order states.

Is there a statistical quotient for this?
Example: Over xxx amount of simulated trades, the margin for error will be +/- xxx% ??

[NinjaTrader_Ben]

Hello,

No, I do not believe so. I will have someone confirm this assumption on Monday. Thank you for your patience.

[NinjaTrader_Ray]

Originally Posted by bigbopper

Is there a statistical quotient for this?
Example: Over xxx amount of simulated trades, the margin for error will be +/- xxx% ??

No there is not.

[bigbopper]

Thank you.

[miker]

Maybe it's my imagination, but the SIM seems to fill stops much quicker than limit targets get filled (often on the first touch). Any idea why this may be the case?

[NinjaTrader_Jason]

Hello miker,

I do not experience this on my end; the execution of orders is random as per post #3.

I suggest to test a bit more and check if you can reproduce it on a consistent base.

[TAJTrades]

Originally Posted by miker

Maybe it's my imagination, but the SIM seems to fill stops much quicker than limit targets get filled (often on the first touch). Any idea why this may be the case?

May be a little off topic here but with Live Trading (Real Money) I have never had a Stop NOT get filled if the price was touched. On the flip side using Real Money Account I occasionally do not get filled on a Limit if price is touched unless I have been sitting on the order (primarily do to volume at the price point). So as far as I am concerned the SIM is realistic.

[miker]

Thanks for your replies - very interesting...

[rsi77]

Hello,
Is it possible to backtest a strategy such that limit orders are only filled if the market exceeds the limit price by 1 tick? I have a strategy which shows good results if I consider all "touched" limit orders as filled, but live trading has shown that many of these are not actually filled. I would like to back test and determine the worst possible outcome by assuming that no limit orders are filled unless the price is exceeded by one tick...which is also fairly realistic based on my experience.

thanks,
rsi77

[NinjaTrader_Bertrand]

Hi rsi77, you want to backtest this then with the 'default' fill algorithm as it demands penetrating the limit price to fill the order - http://www.ninjatrader-support.com/H...AStrategy.html

[rsi77]

Thanks for the fast reply.
I don't have my strategy coded yet in NinjTrader--I've been testing on the "other" platform which doesn't have the very useful option which you just informed me of. I will quickly get this thing coded in Ninja and start testing.
Thanks again.
rsi77

[NinjaTrader_Bertrand]

You're welcome - you can also code your own fill algorithm if needed - http://www.ninjatrader-support.com/H...FillTypes.html