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Ninjatrader fills
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Ninjatrader fills

  #1 (permalink)
Trading for Fun
New Zealand
 
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Ninjatrader fills

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.

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
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nourozi View Post
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.

not to be confused

a LIT (limit if touched) order will never get filled if touched. a MIT (market if touched) order will get filled immediately if touched.

a lit is similar to a stop limit order, only on the other side (a buy lit order is below market, as a buy stop limit order is above the market). and a mit is similar to a stop market order on the other side.

so if a limit if touched order reaches the "touch" price, it will turn into a normal limit order.

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  #4 (permalink)
Trading for Fun
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Silvester17 View Post
not to be confused

a LIT (limit if touched) order will never get filled if touched. a MIT (market if touched) order will get filled immediately if touched.

a lit is similar to a stop limit order, only on the other side (a buy lit order is below market, as a buy stop limit order is above the market). and a mit is similar to a stop market order on the other side.

so if a limit if touched order reaches the "touch" price, it will turn into a normal limit order.

I'm just talking about normal limit orders when they are touched and filled/or not. I seem to be getting filled too easily. So wondering if NT Market replay is as 'realistic' as people have said.

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  #5 (permalink)
Survivor
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Yes, I have the same experience. Market Replay fills limit orders without a fail whereas in real live trading that's of course not the case. My comment is based on CL (Crude Oil).

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  #6 (permalink)
Trading for Fun
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gain247 View Post
Yes, I have the same experience. Market Replay fills limit orders without a fail whereas in real live trading that's of course not the case. My comment is based on CL (Crude Oil).

Are you talking about stop-limit orders or limit orders?

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  #7 (permalink)
Survivor
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gain247's Avatar
 
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Nourozi, good clarification. In fact I meant Stop-Limit orders. They fill in Market Replay without a fail, even with 1-2 tick negative slippage (eg. buy orders fill lower price than StopLimit was set). Go figure.

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