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