Basic questions about limit order parameters

[bluelou]

I'm looking for confirmation on the following backtest order parameters when the OrderType = Limit

Given OrderType = Limit, Fill type = default, and Slippage = 1 then an order must trade through the limit price to the next tick and 0.0001 (6E tick size) will be deducted from each trade as slippage. Is this correct?

For instance if we had a long limit order at 1.3098 then the backtest would only fill if the price touched 1.3099 (i.e., 1 tick higher) and slippage of 0.0001 would be deducted from any profit (or increase any loss). Is this correct?

My goal is to make sure that I'm making the most conservative assumption possible w/o using bid/ask data. That is, I'd like to assume that the fill price was tradeable and that I at least crossed the average spread.

[NinjaTrader_Bertrand]

bluelou, generally for the default type and limit order it would not fill you on a touch - however slippage would not be applied since there's no slippage technically on a limit order.

[bluelou]

bluelou, generally for the default type and limit order it would not fill you on a touch - however slippage would not be applied since there's no slippage technically on a limit order.

Bertrand,
Here's what I'd like to clarify. In the docs it reads as follows:
"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"

Q: What exactly does "penetrated" mean? Does it mean the next tick was touched? For instance if I have a long limit order at 1.3078 does "default' consider the order filled if 1.3079 was touched? I'm trying to determine how conservative "penetrated" is.

[NinjaTrader_Bertrand]

bluelou, it means to trade through the limit price level at least by the ticksize - you would not get a fill on the limit price here.

[bluelou]

bluelou, it means to trade through the limit price level at least by the ticksize - you would not get a fill on the limit price here.

Okay, so given a long limit order at 1.3078 and tick size = 0.0001, if the market traded through at least 1.3077 THEN I would get a fill, right? (sry, I meant 1.3077 the first time around.)

[NinjaTrader_Bertrand]

Correct, it would need to trade through your limit price instead of touching to give you a fill.

[bluelou]

k, thx I just wanted to make sure I understood the semantics correctly

[bluelou]

When trading a strategy live do the Historical Fill Processing params (Fill type, Slippage) have any impact or meaning? If not, why are they in the param window?

[NinjaTrader_Matthew]

These options will apply to the Historical trades that are evaluated when your NinjaScript strategy is started.

[bluelou]

These options will apply to the Historical trades that are evaluated when your NinjaScript strategy is started.

Why would I care about the historical representation of prior trades while running a strategy live? What does that do for me?

[NinjaTrader_Matthew]

Many strategies rely on historical data for calculating its current positions and order states. These are all virtual, simulated trades.

If your strategy does not look at historical data trades when running live, you can ignore these options.

[bluelou]

So, it's a way to determine if you'd already be in a position or flat upon the start up of your strategy? Is that the idea?

[koganam]

So, it's a way to determine if you'd already be in a position or flat upon the start up of your strategy? Is that the idea?

One part of it. You can always ensure that the strategy ignores everything that would have happened, and enters always only on realtime bars, by using the Historical property.

[bluelou]

Or, you could just use Tools -> Options -> NinjaScript -> Wait until flat before executing live. It appears that there's 3 different ways to accomplish the same thing. Or, am I missing something?

[koganam]

Or, you could just use Tools -> Options -> NinjaScript -> Wait until flat before executing live. It appears that there's 3 different ways to accomplish the same thing. Or, am I missing something?

Not quite the same. If, at start, the strategy determines historically that you are in a position, it will not take the next signal, because it is waiting to get flat. If you use the Historical property, it is tantamount to the strategy always having no position when it starts.