SIM vs Real World

[caveroute]

If I test on the SIM [account] using instrument x on exchange y how do I verify that the operation will be faithfully replicated in the live environment.

After all every exchange is potentially different to any other - that's just how it is.

For example [these work fine on the SIM btw]:

On the FTSe [liffe] you need to use orders with a TIF of day and not Gtc or the order will be rejected.

On the SFE you cannot submit vanilla market orders, if you do they are rejected..

I had an order overfill problem with my live account the other day which cost me money. This has never occurred on my SIM account despite extensive testing. So I've now reverted to a vanilla managed order approach - will this work - I don't know, but I would rather find out out before putting real money on the line.

My question really is - if something works on the SIM how can I guarantee the operation will be faithfully replicated when I run live ?

Also, is there a list of exchange constraints / limitation anywhere ?

Thanks for any response.

[NinjaTrader_Matthew]

Hello,

Thank you for your post.

There is no way to completely simulate an exchange and different exchange specifications are not added into our simulation engine. Various requirements such as the TIF, supported order types, banding limits, etc, will not be simulated.

I'm not aware of any list of exchange constraints or limitations anywhere and these constraints will different not only from exchange, but from brokerage technology. I'd suggest working with your broker's trade desk who is going to be most familiar with any rejections that would be seen for an exchange/instrument.

Regarding your overfill, just be sure your strategy is never canceling an order that may be potentially filled soon. For example if you have a working profit target, and price was very close to this level, but you attempted to cancel the order for one reason or another, you would receive an overfill. Other reasons for the order canceling may be OCO pairing, or orders expiring, etc.