I have been testing SIM and Market Replay for a few years. I have had a very difficult time reconciling and modeling any of the testing I have done via SIM and Market replay compared to live for one primary reason. This is because the execution speeds are predefined in Market Replay and SIM and are each very far off from my real live trading scenario.
For Market Replay the execution time from Submitted > Accepted > Working is 0! There is no latency of any kind. This chain occurs instantly. Same for Submitting a cancel and landing a cancelled order state. There is no lag, you never hit 10 milliseconds at Cancel submitted, or cancel pending.
By Contrast in Live SIM you will always hit 100 to 200 milliseconds going from Submitted > Accepted > Working. And while this is a great conservative estimate for someone in Europe trading the CME in Chicago, this is too long of a latency to be relevant for everyone else.
My real trading times occur in between 5 Milliseconds to 25 milliseconds. I use a VPS in Chicago for reference.
So on the one hand the market reply times are essentially modeling the times as if I were a high frequency trader plugged directly into the exchange matching engine, which is an insanely crazy starting assumption, considering 99% of the people that use NT are retail and won't ever speed anywhere near this.
On the other hand the Live SIM at 100 to 200 milliseconds is 10x to 20x slower than my live trading speed. So in both scenarios the testing tools NinjaTrader Supplies are basically of little value to me because the underlying execution speed assumptions are so wrong.
Here is my feature request, it is very simple: Can we get a user defined delay between orderstate submitted and order state accepted, and another one between orderstate accepted and order state working and finally one between CancelOrder(NameOfOrder) and when OrderState Cancelled shows up. For example there needs to be at least 5, 10,20 millseconds between sending a cancel and landing a cancel.
These should all be user configurable in both the Market Replay and Live SIM. Without this, the entire tool only gives a realistic simulation for people trading between oceans (Live SIM) and HFT (Market Replay). Neither of these are very common use cases for most users.
Please consider this feature request as it would greatly enhance the value of these tools for all traders.
Ian
For Market Replay the execution time from Submitted > Accepted > Working is 0! There is no latency of any kind. This chain occurs instantly. Same for Submitting a cancel and landing a cancelled order state. There is no lag, you never hit 10 milliseconds at Cancel submitted, or cancel pending.
By Contrast in Live SIM you will always hit 100 to 200 milliseconds going from Submitted > Accepted > Working. And while this is a great conservative estimate for someone in Europe trading the CME in Chicago, this is too long of a latency to be relevant for everyone else.
My real trading times occur in between 5 Milliseconds to 25 milliseconds. I use a VPS in Chicago for reference.
So on the one hand the market reply times are essentially modeling the times as if I were a high frequency trader plugged directly into the exchange matching engine, which is an insanely crazy starting assumption, considering 99% of the people that use NT are retail and won't ever speed anywhere near this.
On the other hand the Live SIM at 100 to 200 milliseconds is 10x to 20x slower than my live trading speed. So in both scenarios the testing tools NinjaTrader Supplies are basically of little value to me because the underlying execution speed assumptions are so wrong.
Here is my feature request, it is very simple: Can we get a user defined delay between orderstate submitted and order state accepted, and another one between orderstate accepted and order state working and finally one between CancelOrder(NameOfOrder) and when OrderState Cancelled shows up. For example there needs to be at least 5, 10,20 millseconds between sending a cancel and landing a cancel.
These should all be user configurable in both the Market Replay and Live SIM. Without this, the entire tool only gives a realistic simulation for people trading between oceans (Live SIM) and HFT (Market Replay). Neither of these are very common use cases for most users.
Please consider this feature request as it would greatly enhance the value of these tools for all traders.
Ian
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