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Would Getting a Server near the Exchange Help?

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    #16
    The market is very dynamic and in flux. Computers change their minds and switch levels on bid/ask. Sometimes it's disproportionate at some levels which are key levels to many.
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      #17
      Originally posted by iantg View Post
      Chelsea,

      Thanks for your prompt response. We are on the same page with the differences between back-testing with the strategy analyzer and using market replay. I use market replay and typically run 3 months at a time in 500X speed over the course of several hours to see my results.

      Regarding the feature request (Or to clarify my understanding if this already exists in the simulation engine).
      What I am looking for is a way to simulate how different resting limit orders or resting stop orders may end up closer to the front of the line to get filled. For example my understanding is that if volume is thin at a specific price (There are 20 sellers but 100 buyers). So only 20 buyers would get filled the other 80 don't. In the real market my assumption is that these 100 buyers would arrive something to the effect of this example:

      10 buyers: 5 to 10 bars ago placed their order (Front of the line)
      20 buyers 3 to 4 bars ago placed their order (Middle of the line)
      70 buyers 1 bar ago placed their order (Back of the line)

      With the current NT simulation, it might say if there are 20 sellers and 100 buyers at a price, then don't fill because the odds are 80% against you. And this makes perfect since and I assume this is the way it works currently.

      What would be nice to see is some sort of probability weighted adjustment based on when you got in the cue. So in the above example if I placed a resting limit 10 bars ago I would have a much higher probability of getting one of the 20 orders because I would be in the front of the proverbial line.

      The complexity of something like this may be too much trouble as it would likely require level 2 data, and it might slow processing speeds down to the point that it would run too slow. But I think it might be neat if users could just turn this feature on or off.

      Does this explain the scope of the idea and is there any merit in this thinking at all?
      EPIQ is supposedly implemented in NT8. I am not sure how it affects Replay.

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        #18
        Hello Ian,

        I've submitted your feature request to our development. The request to display the order in which different orders displayed in the Level II window were actually placed, to determine the order's place in line and that we display the probability of the order being filled, is being tracked with ID #SFT-1179.
        Chelsea B.NinjaTrader Customer Service

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