Recent content by nourozi

Hi, Does anyone here have experience with running an automated strategy simultaneously, both with Ninjatraders live simulation (with enforced immediate fills unchecked) and in a Real Live account and comparing the results? I would be interested to know how the fills compared and which order...

Hi, thanks for sharing and taking the time to answer these questions. I have a couple questions: Are HFTs or Algos able to jump the order queue on the CME? Can my order be jumped even if I place my limit order before the HFT algo? How long are HFT orders sitting at the exchange for before...

because the colocated server should be closer to the broker.

Hi guys, I am sure many of you have had an automated strategy that looked really good on Market Replay or Live Simulation with Ninjatrader or other platform, but then you test it in the live dynamic crazy market and it fails to achieve the same results. If this has happened to you at...

Hi guys, I have just compared the same weeks trading results with an automated strategy using both Market Replay and Live Simulation. I ran the exact same strategy and simulator settings on Live Simulation as I did with Market Replay but the difference was quite large. Basically I was...

Hi, can someone explain how trading orders are executed and what happens if I am disconnected from the data feed or broker while trading live? Is this trading order routing process roughly correct? Data Server > My Computer > Broker > FCM > Exchange > FCM > Broker > My Computer Also, if...

Hi Guys, I am in the process of developing an automated strategy and am at the stage where I would like to test different variables across different markets over an extended period of time. Basically, I want to test a range of futures markets efficiently and accurately as possible...

There will always be contracts waiting to be filled after mine, at my bid price. SO there is a chance that the I may be filled on touch, even if it is second or third touch.

Do you find it realistic in terms of how long it takes a limit order to fill when bid/ask hits your price? e.g. on second touch. If so, on which market have you found it working well on. I think the simulation engine is meant to treat each market differently.

But how long is your limit order resting in the order book queue before your limit is at the bid or ask? I am placing my orders about 7 ticks away from the bid/ask. So my orders are waiting there for about 7 ticks until the bid/ask comes down/up to my limit price.