I have an interesting question regarding the statistics that are obtained using various settings in NinjaTrader. I have enclosed a sample code so that others may see this phenomena. It uses random entries for longs and shorts based on a random number generator and a limit 2 ticks below the close of the last bar.
Here are the statistics it hits: When enforce Immediate fills is checked it hits around 58% - 62% wins in any time frame in any market, when enforce immediate fills is not checked it shaves off almost only winners and the statistics hit around 42% to 48%.
I would assume that flipping a coin using a code such as this you would typically be at 50% / 50% either way so my initial question was why is such a huge discrepancy in the fill algorithm... Then after doing some digging I came to understand that NT is trying to simulate latency and compensate for less than optimal fills, so un-checking the box will hurt more than help.
So here is my question: This NT fill algorithm must baseline the odds of getting fills at some sort of universal average so it's not overstating what a guy in Australia would achieve, but at the same time this may be understating what a guy in Chicago trading the ES would get. Since there is no way to pick your location, a global average fill approach would beat down the statistics for traders closer to the exchange to offset fills for those trading far away. I found the following post where a guy bought a server near the exchange in Chicago and claims to get nearly perfect limit fills. This would imply that (enforce immediate fills = true) may be more in line with traders close to the exchange, while unchecked may be more in line with traders far away. Take a look at the link below.... I am skeptical of course, but I do wonder if there is any merit in this.
I don't know if anyone has any experience with this, or if there is far more to it than just proximity, but I think it would be interesting to get feedback on the following:
A: Why such a huge difference running this code both ways. (Checked / Unchecked)
B: Would being closer to the exchange help to hit statistics closer to checked vs. unchecked?
C: Are there other factors outside of proximity to the exchange / getting in the que quicker that would impact / nullify limits from getting higher fill rates that the algorythm is trying to compensate for?
Any advise or opinions from the technical team or other traders are welcome.
Thanks,
Ian
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