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simulator logics

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    simulator logics

    In the "Simulator" help file, you states:
    "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."
    Can you provide a bit more details on how the simulator uses those variables mentioned to simulate order queue position and fill probability?
    Thanks.

    #2
    Unfortunately we are unable to disclose any further information on that matter, since we consider the fill logic of our simulator as a competitive advantage.
    DierkNinjaTrader Customer Service

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      #3
      Can this simulating order fill logic be applied in the backtesting mode?

      Comment


        #4
        Hello imagineer,

        Unfortunately not. You can select a default and liberal fill type in the Strategy Analyzer upon backtesting a strategy. You can even create your own algorithm. More information can be found at the link below.
        http://www.ninjatrader-support.com/H...AStrategy.html

        Historical Fill Processing

        NinjaTrader provides two system fill algorithms that can be used in a backtest. In addition, if you have some experience programming, you can script your own algorithm.

        The two system fill algorithms are:

        Default
        An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.
        • Limit orders only fill if the limit price was penetrated
        • Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NT will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)

        Liberal
        An algorithm that takes a liberal approach to filling limit and stop limit orders.
        • Limit orders fill if the limit price was touched
        • On gap down bars, buy limit orders will fill at the high of the gap down bar
        • On gap up bars, sell limit orders will fill at the low of the gap up bar
        JasonNinjaTrader Customer Service

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