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New Zealand
Posts: 92 since Jun 2013
Thanks Given: 52
Thanks Received: 30
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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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