Sim filling my targets at the top/bottom tick almost every time

[cunparis]

When I run my strategy on sim, I get filled on the top/bottom tick of a move. When I run the strategy with a real account, I don't get the fills (surprise).

Is it possible to set the simulator so it won't fill my target unless price trades through it? That way I know a worst case performance for my strategy.

[NinjaTrader_RyanM1]

Hello cunparis,

Yes, it's possible to change the fill algorithm. There are two built in available.

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, NinjaTrader 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

Slippage can also be set to mimic market conditions. The value is expressed in "ticks", the minimum value of fluctuation for an instrument, and is only applied to market and stop market orders since slippage is not possible when using a limit order.

[cunparis]

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

there is a bug then because I'm filled at the top when the price is not penetrated. It's happening repeatedly. So much that I decided to lower my target by 1 tick. But I'd like to get this fixed.

I see the same on the DOM. I'm filled and the price isn't penetrated. Not instantly though. I thought ninja had an intelligent fill algorithm like X_Trader's epiq which would estimate my place in the queue. But it appears to be too generous. Sometimes I see I'm filled and checking T&S shows that only 250 filled at that price (on ES) which makes it unlike I would have been filled if I join the queue in 1000+ position.

[NinjaTrader_RyanM1]

The fill algorithms are for backtesting only. When running the strategy live, it will use the simulator engine for determining fills. Are you having issues backtesting or running live?

[cunparis]

My issues are when running live on sim101 account and running market replay which I assume is the same as live?

[NinjaTrader_RyanM1]

Yes, market replay should work the same as real time trading.

Unfortunately there's no user control on live simulated fills. The fills are based on the simulator engine which is not available for view / edit.

Your approach for more realistic fills (submitting at one tick worse) is a good way to work the simulator fills closer to what you expect.