Limit order not executed on live data with SIM01

[jakjak74]

Hello

If I let run a strategy on live data on the SIM01 account, at some rare occasions I can see some orders (limit orders) that are not executed as if they were totally ignored by NT.
For instance I had a ShortSell limit order for AUDJPY at 84.70 this morning, the market reached 85 and the order was still visible on the simulation report. Besides that makes the position report wrong as well too.
If I deactivate and activate again the strategy and it backtests this time on the same data, the order would be executed and the position report becomes correct. But then it requires from time to time to desactivate the strategy!

What is the cause of that? How can we have more reliable executions simulted when testing a strategy on live data? What is the best way of testing a strategy on live data without starting Trading?

Thanks for your help

[NinjaTrader_Jason]

Hello jakjak74,

When trading the Sim101 account, orders are filled as per the simulator fill engine. Please see the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/simulation.htm

NinjaTrader provides a state of the art internal simulation engine that can be used to test trading ideas and hone your skills. 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.

You can force executions in the Sim101 account by enabling 'Enforce immediate fills'. You can find this setting at Control Center-->Tools-->Options-->Simulator-tab.

[jakjak74]

Thanks for your help

[BMM73]

You can force executions in the Sim101 account by enabling 'Enforce immediate fills'. You can find this setting at Control Center-->Tools-->Options-->Simulator-tab.

Hello Jason,

I would like to completely disable the simulation fill engine to have market and limit orders completely filled with just one execution not depending on trade volume.

I tried to use "Enforce partial fills" and "Enforce immediate fills" but orders are still executed considering bid/ask size splitting in more than one executions

I mean, if I do a market orders of 15 lots but on DOM there is 9 - 4 - 2 lots at different prices I still don't have just one execution of 15 lots but still three executions of 9 - 4 - 2 lots

How can I have just one 15 lots execution?

thank you in advance

[NinjaTrader_Ray]

Hello Jason,

I would like to completely disable the simulation fill engine to have market and limit orders completely filled with just one execution not depending on trade volume.

I tried to use "Enforce partial fills" and "Enforce immediate fills" but orders are still executed considering bid/ask size splitting in more than one executions

I mean, if I do a market orders of 15 lots but on DOM there is 9 - 4 - 2 lots at different prices I still don't have just one execution of 15 lots but still three executions of 9 - 4 - 2 lots

How can I have just one 15 lots execution?

thank you in advance

This is unfortunately not possible.

[BMM73]

This is unfortunately not possible.

thanks for your reply

could you please confirm that with:

Enforce partial fills OFF ( checked )



Enforce immediate fills ON ( not checked )



I would have the best approximation to my desire?

[NinjaTrader_Ray]

thanks for your reply

could you please confirm that with:

Enforce partial fills OFF ( checked )



Enforce immediate fills ON ( not checked )



I would have the best approximation to my desire?

I can confirm. You will still get partial fills but the order will be filled as soon as market trading at limit price.