Would Getting a Server near the Exchange Help?

[NinjaTrader_ChelseaB]

Hi iantg,

The Default vs Liberal fill type causes an order either fill when the price passes through the trade with the default or fill when touched with the liberal. This done by using the prices of the historical data.

Any statics would be correlated based on when the order fills. (It is not random, but is predictable with the data)

Below is a link to the help guide on Backtesting a Strategy. Please see the section 'Understanding historical processing options'.
http://ninjatrader.com/support/helpG...a_strategy.htm


Would you like to submit a feature request to create a fill algorithm that allows for a simulated distance from exchange input?

Would you have any input on how this would work?

For example, this could require intra-bar granularity of 1 tick be added to the script, and require that several ticks be on the opposite side of the order, with the higher the simulated distance set in the input the more ticks are required on the opposite side of the order for the order to fill.

[iantg]

Strategy Attached

[iantg]

Good Morning,

I have an interesting question regarding the statistics that are obtained using various settings in NinjaTrader. I have enclosed a sample code so that others may see this phenomena. It uses random entries for longs and shorts based on a random number generator and a limit 2 ticks below the close of the last bar.

Here are the statistics it hits: When enforce Immediate fills is checked it hits around 58% - 62% wins in any time frame in any market, when enforce immediate fills is not checked it shaves off almost only winners and the statistics hit around 42% to 48%.

I would assume that flipping a coin using a code such as this you would typically be at 50% / 50% either way so my initial question was why is such a huge discrepancy in the fill algorithm... Then after doing some digging I came to understand that NT is trying to simulate latency and compensate for less than optimal fills, so un-checking the box will hurt more than help.

So here is my question: This NT fill algorithm must baseline the odds of getting fills at some sort of universal average so it's not overstating what a guy in Australia would achieve, but at the same time this may be understating what a guy in Chicago trading the ES would get. Since there is no way to pick your location, a global average fill approach would beat down the statistics for traders closer to the exchange to offset fills for those trading far away. I found the following post where a guy bought a server near the exchange in Chicago and claims to get nearly perfect limit fills. This would imply that (enforce immediate fills = true) may be more in line with traders close to the exchange, while unchecked may be more in line with traders far away. Take a look at the link below.... I am skeptical of course, but I do wonder if there is any merit in this.

https://futures.io/brokers-data-feeds/11342-setup-dedicated-machine-chicago-my-experience.html

I don't know if anyone has any experience with this, or if there is far more to it than just proximity, but I think it would be interesting to get feedback on the following:

A: Why such a huge difference running this code both ways. (Checked / Unchecked)
B: Would being closer to the exchange help to hit statistics closer to checked vs. unchecked?
C: Are there other factors outside of proximity to the exchange / getting in the que quicker that would impact / nullify limits from getting higher fill rates that the algorythm is trying to compensate for?

Any advise or opinions from the technical team or other traders are welcome.

Thanks,

Ian