Limit Order Fills in Strategy Analyzer

[spottysallrite]

Note that in backtest and optimizations that the default is to fill limit orders once the market price has gone through the limit order price. This is fine, and probably the best way to simulate limit orders. However, the platform then fills those orders at that next better price. This rarely happens in the real world, so is not acceptable.

One might think that enabling "Fill limit order on touch" would solve this problem. Well, that is not how limit orders are filled in the real world either (ie, you're unlikely to be first in line in the order book). Indeed, I'm surprised that this option is even offered. eg, have you ever watched the DOM and see the market hit your limit order price, but it doesn't get filled?

I pointed this out to the Help Desk a month ago. After some disbelief on their end that there was even a problem, they finally relented that this is an error. However, this was not fixed in the most recent release (yesterday). They said they have scheduled this for the next release, but have not suggested a date. Since releases are usually several months apart, this might not get fixed for awhile.

In sum, until this is fixed, do NOT use limit orders in your script if you intend to do any backtesting or optimizations with it.

[NinjaTrader_Jim]

Hello spottysallrite,

Thanks for your post.

As we have discussed over email, we are aware of the pain point here with the current fill historical processing where a limit order can get an additional tick of profit because the order has to be "ticked through."

This is something that we are looking into potential solutions for and aim to have addressed in a future release of NinjaTrader 8.

[spottysallrite]

No, as I've demonstrated to you, this is not a situation of "can get an additional tick" -- it ALWAYS gets an additional tick of price.

Further, I don't see why it's so problematic to simply correct that single line of code that ERRONEOUSLY puts in that additional tick of price.