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Fill of Limit Orders
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Fill of Limit Orders

  #1 (permalink)
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Fill of Limit Orders

When backtesting I always require price to go at least 1 tick beyond limit orders to consider the limit order as filled. However, in live trading I've seen a number of times that my chart does not show price going beyond my limit order but yet it is filled. What is the real deal here? Something I've always wondered but would like to know the real reason why this happens.

Thanks

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  #3 (permalink)
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sim/backtesting works on the premise of worst case scenario. hence unless price crosses your limit price it wont get filled. in realtime order is filled as per price-time priority.

smart order routing can also be a case.

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MWinfrey View Post
in live trading

Live cash, or live sim?

If it's live cash like bukkan said, it's FIFO so the level does not have to be penetrated for you to get filled, depending on your position in the order queue.

If it's live sim, then NT is just trying to be smart and estimating whether you would have got filled by looking at how many orders were in the queue at the time your order was submitted, and will count it as 'filled' once that number of orders has been filled at that level.

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MWinfrey View Post
When backtesting I always require price to go at least 1 tick beyond limit orders to consider the limit order as filled. However, in live trading I've seen a number of times that my chart does not show price going beyond my limit order but yet it is filled. What is the real deal here? Something I've always wondered but would like to know the real reason why this happens.

Thanks

This is one of the major difference between Futures and Forex. On the Forex market to be filled, price would need to go the size of the spread passed your limit order. This is not necessarily the case with Futures as others have mentionnned.

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trendisyourfriend View Post
This is one of the major difference between Futures and Forex. On the Forex market to be filled, price would need to go the size of the spread passed your limit order. This is not necessarily the case with Futures as others have mentionnned.


This depends what broker you use. If you use an ECN it does not apply.

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bukkan View Post
smart order routing can also be a case.

How does this work?

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For the reasons mentioned if you are back testing or sim trading you should tend towards conservatism in the level that you get filled to avoid having a false view especially if you're in positions for relatively shorter intervals (e.g., scalps).

This is also why many traders do not rely too much on sim, because in many examples it does not reflect the real markets well. In my opinion only I'd recommend using it as a blunt tool to test rather than a precision measure of a strat, algo, etc unless as stated you're looking at much higher timeframes.

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Big Mike View Post
Live cash, or live sim?

If it's live cash like bukkan said, it's FIFO so the level does not have to be penetrated for you to get filled, depending on your position in the order queue.

If it's live sim, then NT is just trying to be smart and estimating whether you would have got filled by looking at how many orders were in the queue at the time your order was submitted, and will count it as 'filled' once that number of orders has been filled at that level.

Mike

Well, does NT Live Simulation Engine also factor in a certain percentage of pulled orders from the book?

My point is, no one really knows how the live sim engine works. NT is very secretive about any sort of details of their fill algo.

But I would be interested to know if anyone knows how realistic the Live Sim engine is at filling limit orders? Has anyone tested against a live account to compare the difference?

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nourozi View Post
..
But I would be interested to know if anyone knows how realistic the Live Sim engine is at filling limit orders? ..

it's more strict than real meaning it's more difficult to get a fill in sim than live in ninja.

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