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Profitable or Unprofitable
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Profitable or Unprofitable

  #11 (permalink)
Taipei Taiwan
Trading Experience: Advanced
Platform: NinjaTrader
Broker/Data: Optimus
Favorite Futures: TW
Posts: 693 since Jun 2009
Thanks: 440 given, 445 received

nourozi View Post
Does X-trader Simulator produce more realistic fills for limit orders than Ninjatrader Simulator engine due to EPIQ?

EPIQ is live trading. It tries to estimate where in the queue your order is located. I have no idea how TT SIM uses it.

Math. A gateway drug to reality.
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  #12 (permalink)
Elite Member
Austin, TX
Trading Experience: Master
Platform: ninjatrader, r-trader
Favorite Futures: CL, NG, TF, NQ, YM, GC, ES
liquidcci's Avatar
Posts: 862 since Jun 2011
Thanks: 609 given, 1,059 received

nourozi View Post
Hi guys,

I have created my first automated strategy and I am wondering what I should expect from it going live, judging from the results in market replay testing with NinjaTrader.

It uses limit orders on the ES. The thing is, it is profitable when I use liberal fills (filled when limit orders touched). It loses just as much when using conservative fills (filled when price penetrates the limit price).

Let's say it loses 5K on average per week when using conservative fills, and it profits 5K when using liberal fills. The point is it seems to have a total inverse result when using these different fill settings.

The problem is with conservative fills, it touches the limit order and then reverses, leaving me unfilled and causes me to miss a trade.

The question is, what can I expect from it going live? Even if I am filled on half of the touched limit orders, I should break even.

The limit orders are typically placed about 5 mins before it is touched. But ranges from 1min to 15min.


Congratulations on automating. You will be glad you did. In regards to back testing vs live. Some strategies backtest's translate well and accurately into live and others do not. It is very important to know how well yours does because it can severely alter your results when going to live. The best way I have found to do this is run the strat live and then tediously start to compare it trade by trade to your backtests results. You will start to get a feel for where the limitations are and if the backtest is even close to what happens live.

Here is my basic process

1. Backtest
2. Run strat live feed but on SIM account and compare to my backtest (If I am getting fairly close results I go to next step). Do this trade by trade on exact same trades.
3. Run strat live feed on my real account then compare to my backtest.

I do the above on enough trades that I get comfortable my results are accurate to my backtest before "officailly" making it a part of my live trading.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #13 (permalink)
Elite Member
seoul, Korea
Trading Experience: Intermediate
Platform: Multicharts
Broker/Data: CQG, DTN IQfeed
Favorite Futures: YM 6E
treydog999's Avatar
Posts: 895 since Jul 2012
Thanks: 291 given, 1,012 received

nourozi View Post
Take a look at the linked image. Assume the market had been trading below Point A for a duration of time. Only once the market began trading above Point A ($3), would you be able to place a buy limit order at $3. Assume I place a buy limit order at Point B ($3) once the market reaches the Apex. This has given the market 5 mins to place buy limit orders before mine at $3. Another 5 minutes pass until price reaches my buy limit price at Point C. From the Apex to Point C, this has given the market 5 minutes to place buy limit orders after mine at $3.

My order should be ahead/behind 50% of buy limit orders at $3. Correct?

Buying volume and selling volume has nothing to do with the place in the order book. if you are considering looking at the inside bid and offer then once you move at least 1 tick away then the book is refilled by HFT and marking making algos already. So no that i dont believe your getting your 50%. I suggest you read larry harris's book on market micro structure to get a clear idea on how markets work and how orders work.

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