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Realistic Market Replay fills: NT7 vs. NT8

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    Realistic Market Replay fills: NT7 vs. NT8

    I recently placed a live trade on CL via limit order - I got filled.

    When I replay the trade via NinjaTrader Market Replay and try to get filled I get two different results depending on whether I use NT7 or NT8.


    I have attached a video that shows the behavior

    https://vid.me/bhRp

    • On the left hand side I have NT7. You can see that my estimated place in the queue gets to 58 right before being filled. You can also see that a total of 60 contracts have traded where I had placed my limit.
      So it is reasonable to assume that with that amount of lots traded and my position in the queue I should have been filled, which is what happened both 'live' and on NT7 Market Replay


    • On NT8 Market Replay however (right hand side) my place in the queue drops to 4 and then to 1. But I don't get filled. I have noticed this behavior with NT8 where I tend to stay as first in the queue but I won't get filled, probably unless price traverses through my limit order



    I couldn't find a setting for changing this on NT8, and while I appreciate whatever happens on Replay / SIM will always be a simulation, my take is that NT7 is considerably more realistic and NT8 is not at the moment.

    I say this because my live trade got filled and so did my one on NT7 Market Replay, so that is mimicking what really happened in the market.

    On both NT7 and NT8 the only settings I could find that are related to this are Enforce partial fills and Enforce immediate fills. Both settings are unchecked on both platforms.


    Do you know if it's a simple setting that I should change on NT8 to make it behave more realistically and, if so, which setting is that?

    Thank you

    #2
    Do you recall if you migrated your replay data from NinjaTrader 7 to NinjaTrader 8?

    Or did you download or record the NinjaTrader 8 replay data from within NinjaTrader 8?

    I'd like to try and replicate what you're reporting here. Can you tell me what time zone you're in? This will allow me to test at the exact time you have shown in your video.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_PatrickG View Post
      Do you recall if you migrated your replay data from NinjaTrader 7 to NinjaTrader 8?

      Or did you download or record the NinjaTrader 8 replay data from within NinjaTrader 8?

      I'd like to try and replicate what you're reporting here. Can you tell me what time zone you're in? This will allow me to test at the exact time you have shown in your video.
      Hi Patrick, thanks.

      I did not migrate, so it's a NT8 installation 'from scratch'.

      The replay data has been downloaded separately for both platforms. To clarify, I downloaded NT7 Replay data from within NT7 and I downloaded NT8 Replay data from within NT8.

      Timezone is GMT, i.e. London time.

      My live CL trade was filled at 13:08:44 London time.

      Thank you

      Comment


        #4
        I am able to reproduce a similar scenario in market replay using the SuperDOM in NT7 and NT8. The NT7 order fills while the NT8 order does not. I will be forwarding this to the Development Team for further analysis and I will update this page with any relevant information. This is being tracked internally as QA-2746.
        Last edited by NinjaTrader_PatrickG; 02-21-2017, 12:07 PM.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_PatrickG View Post
          I am able to reproduce a similar scenario in market replay using the SuperDOM in NT7 and NT8. The NT7 order fills while the NT8 order does not. I will be forwarding this to the Development Team for further analysis and I will update this page with any relevant information. This is being tracked internally as QA-2746.
          Thank you very much Patrick, I look forward to any updates.

          Comment


            #6
            @NinjaTrader_PatrickG

            Hi there Patrick

            Do you know whether there are any updates to this?

            Thank you

            Comment


              #7
              I just received an update this morning.

              The short answer is that the simulated fill engine in NinjaTrader 8 is more conservative than the simulated fill engine in NinjaTrader 7.

              There could be many cases where NinjaTrader 7 would fill but in fact in real life it would not have. In your case you experienced a time where NinjaTrader 7 replay and live agreed on the fill, but there are many other cases where it could fill 'too soon'.

              The reason we changed the simulated fill engine in NinjaTrader 8 is to be consistently conservative which in the end should result in more consistent simulated fills.
              Patrick G.NinjaTrader Customer Service

              Comment


                #8
                Originally posted by NinjaTrader_PatrickG View Post
                I just received an update this morning.

                The short answer is that the simulated fill engine in NinjaTrader 8 is more conservative than the simulated fill engine in NinjaTrader 7.

                There could be many cases where NinjaTrader 7 would fill but in fact in real life it would not have. In your case you experienced a time where NinjaTrader 7 replay and live agreed on the fill, but there are many other cases where it could fill 'too soon'.

                The reason we changed the simulated fill engine in NinjaTrader 8 is to be consistently conservative which in the end should result in more consistent simulated fills.
                Ok thanks Patrick.

                Comment

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