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Realistic Market Replay fills: NT7 vs. NT8 - help
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Realistic Market Replay fills: NT7 vs. NT8 - help

  #1 (permalink)
Market Wizard
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Realistic Market Replay fills: NT7 vs. NT8 - help

During my attempt to transition from NT7 to NT8, I am encountering a few issues. Some of them may or may not be related to my limited understanding of both systems.

I want to establish whether the following problem is due to settings, inexperience or something else:


Last Friday I placed a live trade on CL via limit order and I got filled.


When I replay the trade via NinjaTrader Market Replay and try to get filled I get two different results depending on whether I use NT7 or NT8.


I have attached a video that shows the behavior
  • On the left hand side I have NT7. You can see that my estimated place in the queue gets to 58 before being filled. You can also see that a total of 60 contracts have traded where I had placed my limit (there were 7 before price traded there).
    So on NT7 I would say it is reasonable to assume that with that amount of lots traded and my position in the queue I should have been filled

  • On NT8 however (right hand side) my place in the queue drops to 4 and then to 1. But I don't get filled. I have noticed this behavior with NT8 where basically I stay as first in the queue but I won't get filled, probably unless price traverses through my limit order


I couldn't find a setting for changing this on NT8, and while I appreciate whatever happens on Replay / SIM will always be simulated, my take is that NT7 is considerably more realistic and NT8 is not. I say this because my live trade got filled and so did my one on NT7 Market Replay, so that is mimicking what really happened in the market.


On both NT7 and NT8 the only settings I could find that are related to this are Enforce partial fills and Enforce immediate fills. Both settings are unchecked on both platforms.



Help please, do you know if it's a simple setting that I should change on NT8 to make it behave more realistically and, if so, which setting is that?

Attached Files
markRepNT78.mp4 (1.59 MB, 36 views)

Last edited by xplorer; February 21st, 2017 at 06:05 AM.
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  #2 (permalink)
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I'm sorry I don't have the answer for you, but I do have a question. What are you using that shows your place in the queue?

Thanks

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  #3 (permalink)
Market Wizard
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Trader146 View Post
I'm sorry I don't have the answer for you, but I do have a question. What are you using that shows your place in the queue?

Thanks

That's part of Jigsaw which is the DOM interface you see there.

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  #4 (permalink)
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xplorer View Post
That's part of Jigsaw which is the DOM interface you see there.



Thanks. I had no idea.


Sent from my iPhone using futures.io

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  #5 (permalink)
Market Wizard
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Refreshing the question.

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  #6 (permalink)
Market Wizard
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Refreshing...

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  #7 (permalink)
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You may want to use Market If Touched orders and sacrifice 1 tick to guarantee the fill. Hope that helps

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  #8 (permalink)
Market Wizard
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wxsim1 View Post
You may want to use Market If Touched orders and sacrifice 1 tick to guarantee the fill. Hope that helps

Hi, thanks.

I really am after trying to understand the difference as to why I got filled in NT7 and not in NT8, and whether there are settings to get one to mimic the other.

I suspect the Market if Touched in this case would not mimic what I'm looking for, but I do appreciate your suggestion.

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  #9 (permalink)
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Update

I relayed this issue to NT support, they were able to reproduce it and the development team is going to look at it.

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  #10 (permalink)
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volume dot


wrong location, please remove


Last edited by luigizerozero; February 28th, 2017 at 12:31 PM. Reason: Wrong location
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