|04-28-2009, 09:38 AM||#1|
Join Date: Jan 2009
Thanked 21 times in 12 posts
how to simulate/test partial fill
Sometimes during trading I see a good occasion and I enter a position by hand via SuperDom.
I could then have an ATM strategy attached to it, but frankly speaking the ATM strategies are much too limited and cannot reflect my position managment ideas properly.
I could also sit in front of the PC and follow the position by hand. Very boring and why should I use NT then.
So I am thinking of writing a normal trading strategy instead of an ATM strategy (lets call LongFollowUp) where I can codewise realise everything I want, but there is one problem:
The position was not opened from within the strategy and Strategy Position and account position will always be out of sync.
Basically one has to programm the Position offset into the strategy, e.g.
the (LongFollowUp) strategy starts immediately with a EnterShortStop() to set a Stop Loss and once Strategy Position is short the strategy has finished its work. For example a function PositionsExitOnClose() cannot rely on the default behaviour and must be rewritten and one must be sure to leave the strategy with a short position in the end.
Well, all working fine and my testing is OK, but I do not know how to properly test the strategy for partial fills and for rejected orders for example.
Is the a possibility to configure the simulated account Sim101 in such a way that orders are partially filled or rejected?
Someone has a better Idea how to implement a LongFollowUp strategy except for waiting for NT7 where we still don't even know the features and hope in a much improved ATM solution.
I am happy to receive ideas!
|04-28-2009, 09:44 AM||#2|
NinjaTrader Product Manager
Join Date: May 2007
Location: Denver, CO
Thanked 107 times in 70 posts
Tools->Options->Enforce partial fills. Check that box.
NinjaTrader Customer Service
|Thread||Thread Starter||Forum||Replies||Last Post|
|Ameritrade - Partial Fill||zinkr||Connecting||8||09-02-2009 01:08 PM|
|Partial fill||nfeldberg||Strategy Development||21||06-04-2009 08:55 AM|
|How to test partial fill||xewoox||General Programming||1||12-11-2008 06:08 AM|
|Simulate Partial fill ... with ease.||ltemme||Automated Trading||4||08-16-2008 10:04 AM|
|ATM cancels entry after partial fill||Futures_Shark||ATM Strategies (Discretionary Trading)||4||09-06-2007 04:47 PM|