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Issue with simulator execution prices on custom futures strategy

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    Issue with simulator execution prices on custom futures strategy

    I paid a developer to create a custom strategy for me that enters and exits calendar futures spread trades at certain times of the day. The inputs to the strategy are EntryTime, ExitTime, and second leg (defining the second leg of the futures calendar spread trade). At EnterTime the strategy simultaneously goes long one futures contract and short the other. Then at ExitTime the strategy exits the position.

    I am testing the strategy on crude oil futures contracts. I am finding that I the execution prices I see in the SIM101 account are far different than the current bid ask levels I am seeing when I view the contract on SuperDOM. The guy who developed the strategy says the buy and sell orders are placed as market orders, which is what I requested. My question is, why are the execution prices in the SIM101 account so different than the current bid / ask prices I see on the SuperDOM when the strategy executes the orders? Shouldn't the Market orders that the strategy submits be executed at the current bid and offer prices of the instrument being traded in the SIM101 account?

    I amusing the strategy on the back futures contracts, i.e. not the front most actively traded contract. However, the crude oil contracts that the strategy is trading (CL 02-21, CL 03-21) are showing a continuous flow of bids and ask prices in the SuperDOM, even though they don't actually trade all that frequently.


    #2
    Hello Johnax,

    Thank you for your note.

    During simulation using real-time live market data or Playback, the fill algorithm is dynamic in that it uses incoming market data (both price and volume) to determine if an order should be filled or not at a specific price, while during real-time live brokerage trading, orders are filled according to market dynamics.

    Simulation outside of market hours or on contracts that are not the current front month can result in fill prices which are seemingly far off the last traded price based on the erratic bid/ask prices that are commonly seen with those contracts. For example, the current last price for the CL 02-21 as I'm typing this is 39.69 but the current bid is 40.22 and current ask is 40.26. Placing a market order would show the market order at the 40.26 ask price.

    Please let us know if we may be of further assistance to you.

    Kate W.NinjaTrader Customer Service

    Comment


      #3
      Hi Kate - Thank you for your response. I am aware of the information that you provided, which I believe I read in the description of simulated trading. The developer who wrote my strategy script, who is an experienced NinjaTrader user, agree with me that the executions don't look correct. Sometimes when I run the strategy the trades don't execute at all, even though there are plenty of bids and asks shown in SuperDOM at the time.

      The example you gave is a good one, but not what I see on my screen when trading in the SuperDOM. I see odd fill levels for CL 01-21 for example. The easiest thing to do would be to send you a video demonstrating the issue. If you could give me a reference number I can submit the video through the Help and you will see what I am talking about.

      Comment


        #4
        Hello Johnax,

        Thank you for your reply.

        If you'd like to send in the video, you can send it to platformsupport [at] ninjatrader [dot] com with 2630360 ATTN Kate W. in the subject line.

        Thanks in advance; I look forward to assisting you further.
        Kate W.NinjaTrader Customer Service

        Comment

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