How do Limit orders work during simulation?

[MrBaffalo]

Hi all!

While simulating a full automated strategy, how do limit orders get filled? What is the principle of executions while simulating (replay session or live data)? For example 20 bid before my order, how does my order get a filled? After that 20 or when bid switches to offer side?

Thanks

Marcello

[NinjaTrader_Ray]

imported post

There is an algorithm that takes into account both depth size and time to determine when and how many contracts a limit order is filled. Generally speaking, if you place a limit to buy at the bid, once the captured bid size has been filled at that price, you will start to get filled.

Ray

[MrBaffalo]

imported post

Many thanks for your time

Mb