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Ninjatrader realistic fills?
Started:October 29th, 2013 (05:38 AM) by nourozi Views / Replies:335 / 1
Last Reply:October 29th, 2013 (05:38 AM) Attachments:0

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Ninjatrader realistic fills?

Old October 29th, 2013, 05:38 AM   #1 (permalink)
Trading for Fun
New Zealand
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: ZB
Posts: 92 since Jun 2013
Thanks: 52 given, 29 received

Ninjatrader realistic fills?

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 touch, without penetrating.

Ninjatrader describes their own simulation engine as follows:

"The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. The engine uses a scientific approach to determine fill probability by including a number of variables including: ask/bid volume, trade volume, time (to simulate order queue position), and random time delays for switching between order states."

Will live sim give me a good idea?

Thanks, Erfan.

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Old October 29th, 2013, 05:38 AM   #2 (permalink)
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