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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.

Hi, I have been told by a few people that Ninjatraders' Market Replay and Live Simulator can give a realistic perspective on order fills. In particular, I want to test how fast my limit orders get filled on various markets. For example, I want to get a good idea of how many touches it...

Hi guys, I have been trying out the NT live sim as I have been told by a few people that it produces near realistic results. Just experimenting with limit order fills on a few markets... I noticed that I would almost always get positive slippage on a market like GC with live simulation in...

Yes, I am aware of that. I'll give you an extreme example. If I place a limit order 100 points away from the current price, and say, 1 month later the price reaches my limit order.. I should probably be the first in queue at that price, right?

For example, if price was trading at 1740 and I placed a buy limit order at 1738. Could I expect to be near the top of the order queue once the price touches my limit order? I wonder if anyone has a rough idea at least?

Sorry, I have no idea what you mean.

On the ES or 6e, how many ticks away from the price would you need to place your limit order (without moving it) to be one of the first in queue, say, top 30% of the queue at that price? 5 ticks? 25 ticks? Is there any way to work out an approximation? Thanks, Erfan.

I am mainly concerned with the percentage of limit orders that fill when price just touches then bounces off and does not penetrate the limit order. What degree of accuracy would ninjatrader simulate this and does it simulate better on any particular market? Do you know the likelyhood of...

Hi there, I would like to test my automated strategy in live sim with Ninjatrader. I am just wondering how accurate the live sim order engine is in Ninjatrader? Particularly, with limit orders. Specifically I am interested in finding out what % of my limit orders are likely to fill on the...

Well, I tried it live today on the 6b and I did in fact pay the spread with a stop-limit order as I thought. My sell stop-limit order was at 150.61 Market filled me a tick below at 150.60 and I had to pay the difference between my trigger price and the price I was filled at which was 1...

Ok, thanks, not sure why anyone would want to use a market order... why not just use a stop-limit with a large offset?