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Simulator: Limit order not filled, despite price traded through limit price

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    Simulator: Limit order not filled, despite price traded through limit price

    Hi,

    I'd be grateful if someone could shed a little light on how exactly the simulator fills limit orders. Here is an example of a situation that happened to me a few times, this time I caught it on video (20 seconds snippet):

    https://www.dropbox.com/s/o7d3rcj05d...illed.mp4?dl=0

    I have 1 contract long, with a limit sell order 5 ticks above entry. About 8 seconds into the video, the price trades through my limit order without the simulated order getting filled. This could never happen in a live market (or I would rightly complain). I closed out the position manually in the end.

    I am aware of this line in the online help:
    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.
    Is this expected behaviour? I would expect a limit order to get filled once price trades through, under all circumstances.

    I am using NT 8.0.5.2.

    Thank you,
    Stefan.

    #2
    Hello Gurko,

    Thank you for your note.

    This is not expected behavior.

    Would you please upgrade to the most recent version of NT8, (you’re about 4 behind), and let us know if you can replicate the behavior?

    Most Recent Version NT8 Current Release.

    Please let us know if you need further assistance.
    Alan P.NinjaTrader Customer Service

    Comment


      #3
      Hi Alan,

      thank you for your message - as I wrote, I am using NT 8.0.5.2, which is the latest version to my knowledge. Please see attachment.

      Kind regards,
      Stefan.
      Attached Files

      Comment


        #4
        Hello Stefan,

        I apologize. Please follow the instructions below to repair the NinjaTrader database.

        Disconnect NinjaTrader from any open connections via Control Center > Connections > Disconnect
        From the NinjaTrader Control Center window select the menu Tools > Database Management
        Click on 'Repair DB'
        Press the "Repair" button

        Please let us know if you still experience the issue after making the repair.
        Alan P.NinjaTrader Customer Service

        Comment


          #5
          Thank you Alan,

          I did a DB repair yesterday as directed. Subsequent trades both yesterday and today did not produce the issue. I am assuming it is fixed and will report again in case it reappears.

          Could you please explain in technical terms what a DB repair does and how the state of the DB can influence order handling in simulation? Would a bad DB also influence live trades? Much appreciated.

          Thank you,
          Stefan.

          Comment


            #6
            Hello Stefan,

            If the database file becomes corrupted, a repair returns it to an uncorrupted state. If the DB is corrupted, the simulation engine which attempts to replicate the market in regards to how orders are filled, can misbehave.

            If you are trading live, there is no simulation engine logic used, thus this would not influence live trades. Live trades are filled on the exchange and not on the local pc.

            Please let us know if you need further assistance.
            Alan P.NinjaTrader Customer Service

            Comment


              #7
              Hello Alan,

              I have observed the behaviour described last week again now. I assume I should try a database repair again, correct?

              I note my PC has crashed at least two times since the last database repair, while NT8 was running. Would you normally expect database corruption after a PC crash (read: blue screen)?

              Thank you,
              Stefan.

              Comment


                #8
                Hello Stefan,

                If your computer were to crash while NinjaTrader was running, database corruption could indeed occur. I would suggest repairing the database.

                If you continue to have issues with the PC crashing I would suggest taking the PC to a PC technician.

                Please let us know if you need further assistance.
                Alan P.NinjaTrader Customer Service

                Comment

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