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Fill price bet sim and Live for mkt orders
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Fill price bet sim and Live for mkt orders

  #1 (permalink)
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Fill price bet sim and Live for mkt orders

I run a strategy running in sim that gives bad fill price for mkt order and would live be better fill price or even worse?
Datafeed is zen fire
example :if signal fires at 91.05 for Long, it fills at 91.07 or even 91.09 sometimes, already lost 2-4 ticks and chance of winning 1st target is less due to bad fill.

so my quest is would live fill be better than this or worse?

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  #2 (permalink)
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  #3 (permalink)
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emini_Holy_Grail View Post
I run a strategy running in sim that gives bad fill price for mkt order and would live be better fill price or even worse?
Datafeed is zen fire
example :if signal fires at 91.05 for Long, it fills at 91.07 or even 91.09 sometimes, already lost 2-4 ticks and chance of winning 1st target is less due to bad fill.

so my quest is would live fill be better than this or worse?

From my experience it all depends on how accurate your data feed(s) are. I have found Zen-Fire to be pretty accurate as to the demo/live feed differences.

Why do you go market and not just buy/bid sell/ask and move it up/down to get filled or just buy/ask, sell/bid instead of going market? Market is always a 'shite' fill on going in/out of anything and of course you will get killed by doing market unless you are going for much further targets and/or you have big stops which I don't personally like.


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  #4 (permalink)
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Bluemele

Thks. I have a test strategy that either place mkt or limit. but never tried buy/bid sell/ask.
so how does this buy/bid sell/ask work. do they give better fill? do we have to manually do this? or modify strategy to place order this way?

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  #5 (permalink)
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emini_Holy_Grail View Post
Bluemele

Thks. I have a test strategy that either place mkt or limit. but never tried buy/bid sell/ask.
so how does this buy/bid sell/ask work. do they give better fill? do we have to manually do this? or modify strategy to place order this way?

You can do it automated (Don't know how to program this in Ninja, but I do in MQL) or Manually.

Very simple. Study the price DOM and you will see Bid/Ask. Just click where you have bid/ask. Typically I buy/bid, sell/ask as that is what my mentor taught me and that will typically get you the best price, however that will keep you from getting filled sometimes. However, when you buy/ask, sell/bid, then you are semi-market entry but you are putting in a limit to not go any higher/lower etc.. Just a little more control.

If you use the chart trader, it has buy/bid buy/ask, sell/bid, sell/ask as well as market. So does the DOM.

Good luck, but I think that answered your questions.

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  #6 (permalink)
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bluemele View Post
You can do it automated (Don't know how to program this in Ninja, but I do in MQL) or Manually.


If you use the chart trader, it has buy/bid buy/ask, sell/bid, sell/ask as well as market. So does the DOM.

In NT, you cannot run ATS using chart trader.

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  #7 (permalink)
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emini_Holy_Grail View Post
I run a strategy running in sim that gives bad fill price for mkt order and would live be better fill price or even worse?
Datafeed is zen fire
example :if signal fires at 91.05 for Long, it fills at 91.07 or even 91.09 sometimes, already lost 2-4 ticks and chance of winning 1st target is less due to bad fill.

so my quest is would live fill be better than this or worse?

If the spread between bid/ask is a tick or greater AND the instrument is thinly traded, your results may be quite livelike using market orders in sim.

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  #8 (permalink)
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emini_Holy_Grail View Post
I run a strategy running in sim that gives bad fill price for mkt order and would live be better fill price or even worse?
Datafeed is zen fire
example :if signal fires at 91.05 for Long, it fills at 91.07 or even 91.09 sometimes, already lost 2-4 ticks and chance of winning 1st target is less due to bad fill.

so my quest is would live fill be better than this or worse?

place lmt orders (@ current bid/ask/close) instead of mkt order. and check after x seconds whether the order has been filled or not. if not filled change the order by say x ticks and such.

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  #9 (permalink)
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response from Ninj'a support on fill price

"This is repeat to another thread, but posting here as well so it could help someone

Thks to all who responded,
I also recd this response from Ninj'a support folks

Hello Kumaresh,

Thank you for your note.

The clearing firm does not have any impact on the price at which the order is filled. The fill is a result of the current bids/offers that are submitted by market participants.

For understanding the Discrepancies: Real-Time vs Backtest results you will need to review the following resource for a better understanding of how this is handled in NinjaTrader: link

NinjaTrader Version 7

Please let me know if you have any additional questions.
Sincerely,
Chip McEwen
NinjaTrader Customer Service

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