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Explain TraceOrders "Ignored" & Replay Speed Impact on Fills

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    Explain TraceOrders "Ignored" & Replay Speed Impact on Fills

    I'm using CalculateOnBarClose = false. I am issuing all orders with a Limit order and only reissuing the orders on the FirstTicOfBar unless there is a change in the target or entry price.

    Question - I thought that unchanged orders should be re-issued every bar but only on the FirstTicOfBar (CalculateOnBarClose = false) but I'm seeing "Ignored" trace entries with a reason of "There already is a matching order in place". Please clarify when duplicate orders should be re-issued for both CalculateOnBaClose = false and true.

    Question - I notice if I use different REPLAY speeds with the same data I get different fills on Limit orders. Specifically, the faster the replay the more slippage I sometimes get in my favor - as much as 3 tics. Is this expected?

    Question - Are the REPLAY files stored in a format that can be copied or exported to another computer? If so, where are they stored?

    Thanks

    #2
    1) You should always re-issue orders (calling order methods) on call to OnBarUpdate() if you want them to be live. Internally, they are ignored if required. If an order is not re-issued on on the first tick of a bar when CalculateOnBarClose == false, then it will be cancelled.

    2) Expected since the simulator operates in real-time not fast forward time.

    3) Yes. My Documents\NinjaTrader 6\db\data
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