Comparing simulated trading to reality: mini-Dow on Ninja

[Haylavshik]

Quote from piezoe:

THat's good that the price trades through your limit before fill. That way you won't get a false sense of your superiority as a brilliant trader. Some simulator platforms, notably TOS, fill limit buys on the bid and limit sells on the ask. Just the opposite of how they should be filled, gives you a two tick advantage over real life, as we know it.

P.S. make sure that you don't mean, for example, that when the ask is at your limit buy order and last flashes at the bid price one tick below your limit that price is trading through. That's a normal kind of "through." That's OK, because that leaves the ask at your limit price and when last =ask=your limit you will get filled. That's how it should work. In other words make sure you are buying on the ask and selling on the bid, not the other way round. Of course, when selling it also should work against you, so that the ask will rise above your limit and the bid will go to your limit before you can sell. Again that's the way it is supposed to work. Remember last can occur at either bid or ask, depending on whether the last trade took place at the bid or ask price. I hope your suitably confused. Confounded damn market!

P.P.S. Just pay attention to what Rasko says below. We are both talking about the same thing, but he won't confuse you like i will.

I guess I should just ask Advantage or the exchange whether the mini-Dow is FIFO or pro-rata. Either way I should get an edge sometimes. It's a good thing that the simulation is more difficult than real trading because it really doesn't evoke much feeling when i am trading on it. I hope that carries over to when I go live.

 

[maxpi]

I don't get filled when price touches very often at all...

I've spent the last five weeks researching all the various softwares that are available to retail traders.. few of them backtest on Bid /Ask data. Sierracharts can test a strategy by replaying data and that data can be Bid /Ask data, it can't, at this point in time, do an optimization. So it hit me that one could take the results of a backtest done on Trade data and compare it to running it on Sierracharts over the exact same time period with Bid /Ask data to see how fills affect things...

Regarding psychology when trading the sim... if your life trading the sim is sort of boring, about as exciting as watching paint dry or grass grow for the most part, probably it's going be exactly the same after just a little time trading real money... if it's like a computer game then psychology could make a lot of difference, I don't know, I have strategies and they are as boring as can be pretty muchly all day every day.. In fact, I can't stand to screen trade, I'm working like mad to automate or at least semi automate.. it makes not a lot of difference which because I have to be here tending the computers either way... I wind up sleeping with my eyes open and entries just come and go while I'm dreaming..

 

[daytrader2010]

if you want your limit orders filled when the market first touches the price that's really easy, just put your orders in a couple weeks in advance then you will be first on the list.

if you don't want to do this then just get used to, and plan on being the very last person at that level, and don't expect a fill until all contracts are gone, I would say it works that way about 9 out of 10 times.
about 1 out of 10 the market will hit my price 4 or 5 times and I can see the number of contracts drop and then build back up, after this happens a couple times, then I get filled and it doesn't go through that price.
so it can happen, just not very often.

I almost always just use market orders when I want to get in, and every couple days on the open when the market is moving fast and lots of trading going on, I will get a fill that is several ticks off where the current market price is,
I think this happens when someone enters an order for 500 or 1000 contracts and I happen to be unlucky enough to put my order right behind them.

 

[Cadence]

I think for mini Dow, the contract is quite liquid, so any limit order should likely be filled if the price is traded.

 

[maxpi]

I like to set things up so I enter with stops or stop limits that are placed as far ahead of time as possible.. I have to look ahead when I see the first possibility of an entry signal and place an order so I'm further ahead in the queue... still, price gets touched and not filled.. unless it's stop loss then they get filled almost before price touches :eek:

 

[college_trad3r]

Quote from Haylavshik:

I plan on putting $20k in the account to trade a max of 10 contracts. Of course, I will be trading one lots and only going up to 5 if I see a fantastic trade that must go my way or I'm out.

What is bothering me is the high cost per contract. I am going to get a membership, IDEM I think, but still it is over a dollar/contract with most of the fee being Advantages cut. I have been with them since 2002 so I am hoping to talk them down a little since I am an old timer.

If I were you I'd trade 6 months with not even 2-3 contracts. 6 months don't matter in the long run how much money you'll make, if your strategy makes money it should make money after 6 months too, but $20k pissed away means alot in the long run.

Unless the strategy is price action

 

[NetTecture]

Quote from Cadence:

I think for mini Dow, the contract is quite liquid, so any limit order should likely be filled if the price is traded.

Why? that does not change the mechanis of a list. You have 500 contracts in front of you, 400 trade, you still are not executed. Liquidity does not change the mechanics at all, you know.