Market Replay Fill Question (Enforce Immediate Fills checked vs. unchecked) - NinjaTrader | futures io social day trading
futures io futures trading


Market Replay Fill Question (Enforce Immediate Fills checked vs. unchecked)
Updated: Views / Replies:764 / 5
Created: by iantg Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Market Replay Fill Question (Enforce Immediate Fills checked vs. unchecked)

  #1 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 68 since Jan 2015
Thanks: 4 given, 148 received

Market Replay Fill Question (Enforce Immediate Fills checked vs. unchecked)

Greetings all,

I have been running through several years of backtesting market replay in ninja trader 7. I have ran into a bit of a moral dellima with one of the critical settings (Enforce Immediate Fills). This seems to either extremely overstate or extremely understate limit orders depending on which is checked. My research has let me to believe that if checked it will simulate fills on price touch, but if unchecked it will only simulate fills on price pass-through. I doubt that the real market is this black and white but rather grey, and I also would imagine that proximity to the exchanges would dictate immediate fills to a point. So with all this in mind, my question is: Would buying a server a few blocks from the exchange get me closer to (price touch / enforce immediate fills), or is the market going to be a mix of both price touch and price pass-through either way? I like to trade emini futures so any of them would apply in this scenario. If anyone has any experience with limit orders in real trading and can speak to ninja traders fill algorithms this would be greatly appreciated.

Reply With Quote
 
  #2 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 68 since Jan 2015
Thanks: 4 given, 148 received

Update

So let me just update this by saying I have found a way to get better fills...... There called resting limit orders.

Still wondering about the server at the exchange. I bought one recently but haven't traded live with it yet. I figure it would make an impact though. .... We'll see.

Reply With Quote
 
  #3 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 3,039 since Sep 2015
Thanks: 6,541 given, 4,793 received
Forum Reputation: Legendary



iantg View Post
So let me just update this by saying I have found a way to get better fills...... There called resting limit orders.

Still wondering about the server at the exchange. I bought one recently but haven't traded live with it yet. I figure it would make an impact though. .... We'll see.

Hi there iantg

Since I'm having an issue similar to the one you posted about, I wanted to clarify: are you saying that you found something called 'resting limit orders', and these are different from 'limit orders'?

Reply With Quote
 
  #4 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 68 since Jan 2015
Thanks: 4 given, 148 received

Hi xplorer. Thanks for reaching out. I am happy to explain further what I mean by resting limit orders. These are technically just regular limit orders, but in algorithmic trading a resting limit order implies that they stay in place beyond the standard "On Bar Update" event. In NT you can program a trading strategy where on each bar update, the algorythm performs X,Y, or Z. And on each bar update it will re-run the code. If you place a new limit order on each bar update event, then you will always be later in the queue. But if you place a resting limit order. I.E: After you initially place the order, on future bar update events, you don't kill it and replace it with a new order... You will have a significantly better position in the queue and a higher likelihood of getting a fill that does not require a price pass-through. Resting limit orders are typically placed considerably farther away from the current price, and you just hang out there for 10-20 bars depending. If and when the price moves your way, you will have a better position vs, trying to get a fill 1-2 ticks away from the current price on every new bar update. Hope this helps a little.

I did read your original question on your post, and I may have some insight about 7 vs. 8 with regard to the fill algorythm. In addition to the enforce immediate fills and enforce partial fills, there is also a fill limit orders on touch option in 8. I am not too sure about discretionary trading, but for algo trading this is something you can turn off and on in your code. From what I understand and have seen both 7 and 8 are fairly similar in their treatment of limit orders under the same settings. The difference is that market events in 7 are recorded and played by each second, and in 8 they are recorded as granular as the actual market events occurred. So in theory 8 would have more granularity and could produce different results, but i wouldn't expect this to have more than a small difference overall.

If there is anything else I could potentially help you with let me know.

Ian

Reply With Quote
The following user says Thank You to iantg for this post:
 
  #5 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 3,039 since Sep 2015
Thanks: 6,541 given, 4,793 received
Forum Reputation: Legendary

Ok many thanks for taking the time to reply @iantg

Reply With Quote
 
  #6 (permalink)
Trading Apprentice
louisville kentucky us
 
Futures Experience: None
Platform: undecided
Favorite Futures: futures
 
Posts: 2 since Jul 2017
Thanks: 0 given, 1 received

Enforce immediate fills?

Answer
This post has been selected as an answer to the original posters question Answer

If your new to all of this and searching this topic for clarification,

DO NOT *REPEAT* DO NOT check this button!

It is not for you!

It is as far away from real world as you can get!

In the real world you &your order will sit there @ market price, looking stupid for a long time before it is filled.

Just saying.....

Not that this happened to me or anything.

Reply With Quote
The following user says Thank You to firstlast for this post:

Reply



futures io > > > > Market Replay Fill Question (Enforce Immediate Fills checked vs. unchecked)

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Market Replay Data Question drago1 The Elite Circle 3 June 17th, 2014 12:27 PM
Market Replay fills vs Live Sim fills nourozi NinjaTrader 8 January 12th, 2014 05:47 AM
Order fills on real time vs market replay calhawk01 NinjaTrader 4 November 16th, 2013 03:22 AM
Slippage/Partial fills question JS12 Traders Hideout 8 February 14th, 2012 11:57 AM
Market Replay Data Question - NT7 Todd NinjaTrader 20 September 12th, 2010 12:50 AM


All times are GMT -4. The time now is 10:28 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-10 in 0.10 seconds with 31 queries on phoenix via your IP 54.221.73.186