Simulated Trading/Market Fills

[Bmatheny]

I don't know what the heck is going on with NT, but I've developed numerous systems for myself and clients and I'm getting really strange fills for Market entry orders.

For example, today, my NQ system fired a BUY MARKET order (@ a price of 2312.00) and NT Simulated Trading filled that order at 2288.25. WTF??

How in the world did NT fill that market order 23.75 PTS away from the market?? I've also seen this happen in the opposite direction where it will get into a trade and show an immediate -pt LOSS.

I'm using 6.5 NT and want to know if any changes to this feature have been made in the newer version of NT?? I've looked around trying to find a way to prevent this, but I believe NT just looks at the ASK/BID and pulls ANY PRICE while in simulated mode.

BTW, this is not SIMULATED TRADING. You need to wait for a trade to come thru the broker, then see if the volume is big enough with that trade to SIMULATE my fill.

Also, the clients I have working with NT are all screaming about this bug and are trying to work thru this issue. Kinda sucks when you are watching your system in simulated mode and it takes a good trade only to report a -23 pt loss because NT fills the entry order at some screwy price.

HELP?? Is the newer NT version any better at this??

[NinjaTrader_Jason]

Hello Bmatheny,

What prices were listed for Last, Bid and Ask when your market order was filled at 2288.25? Can you please tell me to what data feed provider you connect in NinjaTrader as well.

I am not sure if I follow. You mention this is not simulated trading. Am I correct you trade the sim101 account, however you are connected to a real data feed (so not the Simulated Data Feed)?

Please see the link below for more information regarding the simulation fill engine.

http://www.ninjatrader-support.com/HelpGuideV6/SimulatorOverview.html

This has not changed in NinjaTrader 7.

[Bmatheny]

I'm running NT 6.5 connected to eSignal's RT data feed. I'm running NT in simulated mode (SIM101) and trading the "NQ 03-11" symbol. How would I find the price data you are asking for. I've included two screen captures for you to review. First is the screen showing the fill price. The second is my esignal chart showing where the trade was fired (green line) and where NT filled the order (magenta line).

I've seen this happen many times and it gets worse overnight. I believe what is happening is that NT does not look at WHERE THE MARKET TRADES, it just looks at ask and bid prices (with market orders) and thus can select some really messed up prices. Check out the esignal chart. How can NT fill an order at a price that has not been touched or traded at for OVER 24 HOURS?? Something has to be wrong with the Market Order fill system.

[Bmatheny]

Interesting reading that help file....

"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."

Curious how this "state of the art engine" can fill me 20+ pts away from the market price on a market order?? I think my original theory is correct... you are just looking at ask/bid values (probably as far away as possible) and filling on any random ask or bid.

In my honest opinion, you should use the MOST RECENT TRADED PRICE for all simulated order fills. Why in the world would NT think I got filled at some off the wall price when in reality my order would probably be within 1~3 ticks of the last traded price thru any broker?

OK, I'll let you guys figure this one out... But I think this should be addressed in your next release because it sure screws with people building automated trading systems.

[NinjaTrader_Jason]

Yes, buy market orders will fill at the ask price. Unfortunately, you must have receive an ask price of 2288.25 for the order to be executed at that price.

Please note that NinjaTrader acts like a radio receiver and displays the data it receives.

[Bmatheny]

if I switch my market orders to limit orders, will the simulation engine act any differently??

In the ATM settings, there is a BAD TICK feature, I've set this to 0.1% and enabled it. is there any other way to filter out these strange fills??

Please understand, I'm willing to live with some odd pricing for the simulation engine, but this is just wacky. Plus, as I stated, it works in the opposite form as well. I can fire a buy order and if an ask comes in 20 pts above the market, then I could get filled there too.

Could you possibly "strongly suggest" your development team review this to see if there is something the can do about it? There has to be a better way than it is currently handling these and I'm sure many of your subscribers run into the same issues.

[NinjaTrader_Jason]

If you submit a buy limit order above the ask price, it will fill right away at the ask price since it would be a better price. You could submit a stop market or stop limit order instead.
Can you please send me your log and trace files for the day the fill occurred. You can find log and trace files at the following locations.

Start Menu--> My Documents--> NinjaTrader 7--> Log--> log.20110126 for today. (log.yyyymmdd for any other date)

Start Menu--> My Documents--> NinjaTrader 7--> Trace--> trace.20110126 for today. (trace.yyyymmdd for any other date)

Please send them to support[at]ninjatrader[dot]com. Put 'Attn Jason' in the subject header and reference this thread.

What happens if you manually submit a market order in NinjaTrader? Please check what ask price is listed and submit the order. Check if the order fills at the ask price at that moment.

Am I correct it only occurs when using automated trading? Are you using automated strategies within NinjaTrader or do you perhaps make use of the Automated Trading Interface?

You are correct. The spread should not be that much, but 1-3 ticks as per the NQ.
The real-time tick filter can exclude real-time ticks, but it will not exclude fills.

[Bmatheny]

Sent to you via email. The log file looks like it contains many days because I let my systems run. If you have any questions, just let me know.

Thanks.

[NinjaTrader_Jason]

Thank you for sending the files. I will check into it and investigate further.

Please expect a response later today.