Entering too late

[NinjaTrader_JoshP]

1. When running in simulation you could very well get filled outside of the bar. If this was real life, your fill would have moved the bar. This is a possibility.

2. In real-time the fill algorithm is very dynamic. Just because you touch the price, will not guarantee a fill. It depends on the current market dynamics, bid, ask, volume, among other things to simulate fills for you.

[MasterSepp]

I guess, this fill algorithm is quite propriate, so when it decides, that no trade happens, it is quite probable that it would also be in reality this way, right? I know it can't be always right, but it is quite probable, that it acts like in reality, right?

Regards,

Sepp

[NinjaTrader_Bertrand]

Sepp, unfortunately it's not possible to predict fills, but the simulation engine uses state of the art technology to approximate your chances - to change it's settings you can take a look at this link - http://www.ninjatrader-support.com/H...ulatorTab.html

[MasterSepp]

Thank you for the link. Am I right, that checking "Enforce immediate fills" disables this dynamic fill algorithm and could cause fills, that wouldn't have been filled in reality?

And another thing: I still observe several times per day, that a limit order gets filled above or below the limit price. How does this come? I didn't understand fully your explanation before. For example, an buy limit order with limit price 10000 gets filled at 10001, although the open price was 10000 (which would have filled the order for the right limit price). Is there an explanation for this?

Regards,

Sepp

[NinjaTrader_JoshP]

Correct. Enforce Immediate fills will just fill you.

Sure, you can get filled at prices outside of the bar if the bid/ask values were up there. If no real life trade actually occurred up there then the bar doesn't go up.

[MasterSepp]

I just don't get it right... A Long limit order means, that I offer a price as Bid, so it's only filled, if someone sells the contract for this bid price. Why shall it be sold for a worse price? Also, the limit price (which obviously was met in the last example) and the filled price both were in the bar figure, which means that both prices were touched during the bar session. But why wasn't it filled at my price? It was touched and there was no reason, why it shouldn't get filled... Can you help me?

Regards,

Sepp

[NinjaTrader_JoshP]

Suggest you use TraceOrders to see true figures as to what the limit price was, etc.