Ninjatrader fills

N

nourozi

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 usually takes for my limit orders to be filled, or if they need to be penetrated.

I am testing limit order fills on touch (without price penetration) with NT simulator/Market Replay using a 1 tick range chart on the ES. I have 'Enforce Immediate Fills' unchecked but seem to be getting filled too easily on touch... not sure how accurate this is.

Does anyone have any experience with the accuracy of Ninjatrader fills with limit orders on touch compared to the live market?

Thanks.
 
I find the NT simulator generally very good- but if you are trying to test the likelihood of individual markets and how fast they fill - you can only do that in the real market.

I would guess that the NT simulator has a 'one size fits all instruments' fill simulator and is not adjusted by market, but again, that is purely a guess.
 
Quote from nourozi:

I am testing limit order fills on touch (without price penetration) with NT simulator/Market Replay using a 1 tick range chart on the ES. I have 'Enforce Immediate Fills' unchecked but seem to be getting filled too easily on touch... not sure how accurate this is.
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What you describe is absolutely impossible in live market on ES. ES typically will have 200 to 800 contracts on each size - this is displayed side, god knows if they have something not displayed as well.

From my real trading, I have experienced that if I am sitting on bid and bidsize-asksize is say 500-800, most likely at least 300-400 contracts will need to trade before I can expect a fill. In time terms, if market is trading at 1780-1780.25 and I have an order at 1780, market needs to be there for at least 1 minute before I can expect to get a fill during afternoon. During morning and evening, at least 30 seconds markets have to be there a significant number of prints must be on T&S and then only your order will get filled.
 
Quote from gmst:

What you describe is absolutely impossible in live market on ES. ES typically will have 200 to 800 contracts on each size - this is displayed side, god knows if they have something not displayed as well.

From my real trading, I have experienced that if I am sitting on bid and bidsize-asksize is say 500-800, most likely at least 300-400 contracts will need to trade before I can expect a fill. In time terms, if market is trading at 1780-1780.25 and I have an order at 1780, market needs to be there for at least 1 minute before I can expect to get a fill during afternoon. During morning and evening, at least 30 seconds markets have to be there a significant number of prints must be on T&S and then only your order will get filled.
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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.
 
Quote from nourozi:

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.
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Your question is immaterial especially for ES. Look at the market depth, every level upto 10 levels will have 500-1000 contracts. So, you can place your order 7 ticks or 40 ticks away, at that level you are behind these 500-1000 displayed size.
 
Quote from flashtrader777:

I find the NT simulator generally very good- but if you are trying to test the likelihood of individual markets and how fast they fill - you can only do that in the real market.

I would guess that the NT simulator has a 'one size fits all instruments' fill simulator and is not adjusted by market, but again, that is purely a guess.
More...

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.
 
Quote from nourozi:

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.
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unless the level gets breached, for ES I would say chance is 5%. My 98 cents
 
Thats one of the reasons I gave up day trading ES futures. You could be sitting half an hour waiting for the market to go thru your bid, but it reverses instead.

Chinese water torture.
 
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