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Fill of Limit Orders


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Fill of Limit Orders

  #11 (permalink)
nourozi
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cory View Post
it's more strict than real meaning it's more difficult to get a fill in sim than live in ninja.

How have you come to the conclusion that it is more strict than a real live account?

I am assuming this is from your own testing as I have not heard anywhere from Ninjatrader stating or implying that live sim is more strict than real live at filling limit orders.

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  #12 (permalink)
 
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 cory 
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nourozi View Post
How have you come to the conclusion that it is more strict than a real live account?

...

How? by trading live that is how.

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  #13 (permalink)
 
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 Angelo1 
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cory View Post
How? by trading live that is how.

Hi @cory

I am also skeptical about how my orders are being filled,, i was scalping a few ticks on the ES and couldn't believe my results given what i've read i expect that the live results should have been better but i have found the opposite

when i put orders in a live market and i'm only talking 5-7 contracts they were being run over and left behind,
so I take seriously your live experience but wonder if you could offer any insight on how orders are filled, have you found that it varies from broker to broker, or is it something else,
recently i was told by a vendor that the Euro markets are first in first off but the US are not that way,

any thoughts would help

cheers

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  #14 (permalink)
 
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 ratfink 
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@nourozi, @Angelo1

Noticing your locations I'm wondering if latency is interfering more for you, are you 'normal' direct discretionary/bot or do you use a VPS? Depends what access your broker is using I guess, I don't know much about this area but am interested.

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  #15 (permalink)
 
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 cory 
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Quoting 

Noticing your locations I'm wondering if latency is interfering more for you, are you 'normal' direct discretionary/bot or do you use a VPS? Depends what access your broker is using I guess, I don't know much about this area but am interested.

I have very fast internet access my order was filled by OEC now owned by diff owner using diff technology. So to conclude each broker will have diff fill and it's not easy to tell why the fill is different or to compare them.

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 rleplae 
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cory View Post
I have very fast internet access my order was filled by OEC now owned by diff owner using diff technology. So to conclude each broker will have diff fill and it's not easy to tell why the fill is different or to compare them.

having worked in brokerage and banking space
there is also something like 'on us'.

means if you do an order and a customer of the same house is on the opposite side
the order might be compensated 'in the house' and you get a faster fill,
you are then not at the end of the queue

same for payments,
'on us' is always faster than going through an interbank network

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  #17 (permalink)
 
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 ratfink 
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rleplae View Post
having worked in brokerage and banking space
there is also something like 'on us'.

means if you do an order and a customer of the same house is on the opposite side
the order might be compensated 'in the house' and you get a faster fill,
you are then not at the end of the queue

same for payments,
'on us' is always faster than going through an interbank network

Yes, its the usual route for UK spread bet companies who also only hedge their outstanding offsets. Of course some also take the other sides, though this is not so bad now.

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