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Default Fill Type and Market Replay

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    Default Fill Type and Market Replay

    After reading this thread..., I'm a bit confused. So my question is...


    If I'm using Market Replay (NT 7) and the Default Fill Type, does a limit order fill only after the level has been passed through? I.e. Bid/Ask is 1.01x1.02, you have a buy limit order sitting at 1.01. The order is only filled when the ask hits 1.01?

    That thread seems to suggest that it uses some other calculation based on bid/ask size and price. But looking at the code for the default order type, it says:

    * Limit orders are filled if the limit price is traded through
    Can someone clear this up for me? Again, I'm only talking about Market Replay.

    Thanks

    #2
    I may of answered my own question. I ran my strategy with "Liberal" and the results were identical. And then I noticed that fill processing is under the heading of Historical.

    Argh.

    Does this mean I cannot change the behavior of the Replay fills? I don't want to see my limit orders fill unless the level is passed through. Can I force that to happen somehow?

    Comment


      #3
      Hello lookOutBelow,

      Yes, the Default Fill Type setting applies to the Strategy Analyzer and not to the Market Replay. Unfortunately, I do not see a way to force this with the Market Replay. When trading the Replay101 account, orders are execute as per the simulator fill engine. Please see the link below.
      http://www.ninjatrader.com/support/h...simulation.htm

      NinjaTrader provides a state of the art internal simulation engine that can be used 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 delays for switching between order states.
      JasonNinjaTrader Customer Service

      Comment


        #4
        That's what I was afraid of. Can you send in a request that we can select pass-through fills? I'm afraid the simulator is much too liberal compared to how real fills happen.

        Whatever the case, I'd rather, and I'm sure I'm not alone, have a worst case fill scenario - waiting for a fill after the bid/ask has run it over. An option to do this would be helpful.

        thanks

        Comment


          #5
          I will forward the suggestion to support such an option for the simulator fill engine to development. Thank you for your feedback.
          JasonNinjaTrader Customer Service

          Comment


            #6
            The suggestion has been added to the list of possible future enhancements and is assigned to SFT-905.
            JasonNinjaTrader Customer Service

            Comment

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