Market Orders During Playback Fill Immediatly Regardless of Volume.

[ntbone]

I have doing some back testing using playback. I have been using historical tick data for playback. Every time I take a Market Order I get an execution for 100 shares, and then the rest of my order fills immediately. Regardless of the # of shares I ask for it will fill me first with 100 and then with the rest. If I am asking for 500 shares I'll get an execution of 100 and then 400. I decided to try higher and higher numbers. When I ask for 100,000 shares I'll get an execution of 100 and then 99,900. It doesn't seem to matter what I ask for.

Why does it split the market order up into 100 shares and the rest? Especially when the volume is not present for to fill the # of shares.

[NinjaTrader_ShawnB]

Hello ntbone,

Thank you for your post.

Could you please send the log and trace from your platform to look further into this inquiry.

To send me your log and trace files from within NinjaTrader. Go to Control Center-->Help-->Email Support in NinjaTrader. Put 'Att Shawn', in the subject field and enable '2531911 Log and trace files'. Also, give a reference of this thread in the body of the email.

We look forward to assisting you further.

[ntbone]

The reproduction steps

1. Download tick data for AAPL for any day using the Kinetick connection
2. Start playback using historical data.
3. Execute a Market Order for 100,000 shares.
4. Look at the execution tab. You'll see an execution for 100 shares, and an execution for 99900 shares.

[ntbone]

This also seems to happen when using recorded market replay data vs just downloaded tick data.