We need implement own FillType

[misova]

We need to implement our own FillType, so it would be great to expose this, the same way like it was in NT7.

Reason why it is needed:
We backtest gaps and need to simulate full profit caused by gap.

As Profit order is of type Limit, NT8 simulates conservative filling of the order,
instead of real bigger profit, that would be caused by big gap.

Example:

• Enter position 5 minutes before end of the week and set profit order to 10 ticks.
• After weekend, market opens with 40 ticks gap, which would cause 40+ ticks profit.
• But NT8 default fill strategy simulates conservative filling of old profit = 10 ticks, which is completely wrong. Real profit should be 40+ ticks.

I completely agree, that this default handling of Limit order fills is rational and good as a default behavior. I like it as it is.

But we developers should not be stuck, by inability to alter it. This default conservative handling is not one for all solution. There are many cases (like the one above), where we really need to alter this default conservative handling of fills, to correctly simulate situations, we need to backtest.

• We need to expose FillType and be able to create our own FillTypes for all strategies, the default behavior is not usable.
• Valid cases are, when the strategy results in incorrect fills (too much conservative), that do not reflect reality. Results of such strategies implemented in NT8 using default FillType are completely skewed and invalid.

So allow for implementation of custom FillType(s) please.

NT8 is about progress, evolution and improving old concepts to new more professional level.
so don't hesitate to make FillType accessible, because it requires experienced/advanced coding.
We need powerful framework, the enables us to do, what we need in daily practice.

As NT8 gets more adoption (after final release of NT8), rising community of developers find out anyway, that without custom FillType, they are restricted and completely unable to implement advanced things, that they could do in NT7.

Remember and this is important:

• The default fill strategy is not correct for every strategy and it is definitely not one-for-all solution.
• It just rational default = good point to start with. Tthere are many valid cases, where it does simulates real fills correctly and we need to alter this default filling strategy.

If there is clear, rational and practical need for implementation of custom FillType, it should be accessible.

[NinjaTrader_JessicaP]

Hello misova,


I have submitted a feature request to the product management team for the following feature :

This customer would like the ability to specify custom fill algorithms, such as that provided by NT7's @LiberalFillType.cs

Reference

http://ninjatrader.com/support/helpGuides/nt7/?fill_types.htm

I will follow up with more information as soon as it's available. If the feature requests already exists, a vote will be added to it.


Please let us know if there are any other ways we can help.

[NinjaTrader_JessicaP]

Hello misova,

This feature is being reviewed by the product management team and has been assigned the following unique tracking ID


SFT-983



Please let us know if there is any other way we can help.

[misova]

Thank you

If possible, please add my arguments to the issue or link to this thread.


It is important to see this issue as not nice-to-have wish of customer - but as critically important thing, that was needed in NT7 and is also required in NT8.

Hiding this feature from developers, makes NT8 less powerful to express and simulate many practical advanced scenarios, that were done in NT7.

Because of this, we just cannot migrate our GapStrategy to NT8 and we are locked to stay with older NT7, until fixed.

It is important to understand - whole our development team is stuck on this.
This is BLOCKER issue. We can't progress with migrating strategies, that work in NT7 nicely, until this is fixed, because we got completely unrealistic and incorrect fills when backtesting gaps.

No alternative solution exists now in NT8. This is simply must-have.

[NinjaTrader_JessicaP]

Hello misova,

The responsible teams have been made aware of this thread. Any feedback you post here will be made immediately available to everyone developing this feature.

[GrumpyTrader]

I would add my vote to this as well as I've ran into similar issues.

[misova]

Hi, we have came with another useful scenario,
where we need to implement our own FillType.

Scenario: Simulate conservative fill in case of bar, that goes over both Profit and Stoploss order.

• In case of very volatile market or small profit/stoploss, it happens quite often, that one 1-minute bar goes over both orders: Profit order and Stoploss order too.
• As it is not possible to say, if Profit or Stoploss was hit first, so we always need to simulate, that Stoploss was filled, not Profit.
• In case it is Doji bar with Open/Close exactly in the middle, there even less chance to predict, how bar developed... so we have to prefer filling Stoplos over filling Profit in almost all cases.
• We already do this using NT7 and it works great ! . We need to be NT8 equally capable and we will implement our custom FillType.