Realistic Market Replay fills: NT7 vs. NT8 - help - futures io
futures io futures trading



Realistic Market Replay fills: NT7 vs. NT8 - help


Discussion in NinjaTrader

Updated by xplorer
      Top Posters
    1. looks_one xplorer with 10 posts (8 thanks)
    2. looks_two iantg with 2 posts (3 thanks)
    3. looks_3 Trader146 with 2 posts (0 thanks)
    4. looks_4 luigizerozero with 1 posts (0 thanks)
    1. trending_up 2,621 views
    2. thumb_up 12 thanks given
    3. group 2 followers
    1. forum 15 replies
    2. attach_file 1 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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

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

 
Search this Thread
 

Realistic Market Replay fills: NT7 vs. NT8 - help

(login for full post details)
  #1 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,042 since Sep 2015
Thanks: 12,605 given, 11,317 received

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
Register to download File Type: mp4 markRepNT78.mp4 (1.59 MB, 42 views)
Reply With Quote

 
Best Threads (Most Thanked)
in the last 7 days on futures io
Are sharks watching on the other side?
52 thanks
Sierra Chart ACSIL for Beginners.
27 thanks
Earn2Trade (Helios) - "The Gauntlet"
21 thanks
VWAP for stock index futures trading?
19 thanks
Converting NT7 indicators to NT8 for free
14 thanks
 
(login for full post details)
  #2 (permalink)
Atlanta, GA/USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninjatrader/CQG
Trading: ES, NQ, CL, GC
 
Posts: 82 since Jan 2015
Thanks: 243 given, 82 received

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

Reply With Quote
 
(login for full post details)
  #3 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,042 since Sep 2015
Thanks: 12,605 given, 11,317 received



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.

Reply With Quote
 
(login for full post details)
  #4 (permalink)
Atlanta, GA/USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninjatrader/CQG
Trading: ES, NQ, CL, GC
 
Posts: 82 since Jan 2015
Thanks: 243 given, 82 received


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

Reply With Quote
 
(login for full post details)
  #5 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,042 since Sep 2015
Thanks: 12,605 given, 11,317 received

Refreshing the question.

Reply With Quote
The following user says Thank You to xplorer for this post:
 
(login for full post details)
  #6 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,042 since Sep 2015
Thanks: 12,605 given, 11,317 received

Refreshing...

Reply With Quote
 
(login for full post details)
  #7 (permalink)
Miami, FL
 
Experience: Advanced
Platform: NT
Trading: ES, CL
 
Posts: 126 since May 2013
Thanks: 274 given, 70 received

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

Reply With Quote
The following user says Thank You to wxsim1 for this post:
 
(login for full post details)
  #8 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,042 since Sep 2015
Thanks: 12,605 given, 11,317 received


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.

Reply With Quote
 
(login for full post details)
  #9 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,042 since Sep 2015
Thanks: 12,605 given, 11,317 received

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

Reply With Quote
The following 2 users say Thank You to xplorer for this post:
 
(login for full post details)
  #10 (permalink)
hong kong
 
Experience: Beginner
Platform: Ninjatrader
Trading: futures
 
Posts: 35 since Oct 2014
Thanks: 66 given, 23 received


wrong location, please remove

Reply With Quote


futures io Trading Community Platforms and Indicators NinjaTrader > Realistic Market Replay fills: NT7 vs. NT8 - help


July 28, 2018


Upcoming Webinars and Events
 

Free BloodHound Licenses for everyone!

June
 

Every journal equals ten meals for the hungry

June
     



Copyright © 2020 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