NT seems to suggest order sits with exchange if I use ZenFire - so only issue on getting filled is position in queue. - is this correct.
Order is a Limit order though - which means it will fill you at this price or better. Hence you wait your turn in the queue and you possibly may never get filled. But is there a way to have a Limit order that fills at market? ie on ES if current price is 1050.00 and you have a Limit order at 1050.75 to go short, currently it will try to fill you at that price or higher. But is there a way it can fill you at Market if price has traded at 1050.75. In theory should get no worse than 1050.50 ie the BID due to liquidity in ES. I guess this is Market if Touched.
Also I noticed that I seem to get filled less often using Live data under SIM than I did when I replayed the same time period under Market Replay. Does Live data (under SIM) not use the same algorithms as Market Replay to emulate position in the queue?
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