Slow fills on limit orders

[mtthwbrnd]

I am trying to understand how Limit orders get filled vs Market orders.

I am connected to BarChart.com using the sim101 account.

When I place a market buy order by clicking on the "Market" button on the buy side of the ladder displayed in the DOM Window, the order gets filled almost immediately.

But when I place a limit order that is at the top of the ladder (i.e. I offer to pay obscene amounts to get filled), the order takes ages to fill. In fact it looks like a $100,000 order would take about half an hour. I expected that a limit buy order which is way above the market (I click right at the top of the ladder, as high as possible) would get filled at least as quick as a market order.

Can anybody offer advice/insight?

Thanks,
Matthew.

[NinjaTrader_ChristopherJ]

Hello mtthwbrnd,

Thank you for your post.

Yes, when placing a Limit Order lets say above the current trading price in the Buy column to go Long this would be filled at the current Market price in a Live account. Keep in mind the Sim101 uses the internally generated engine to fill orders and is not actually broadcasted to your broker.

You may however set the NinjaTrader Simulator to fill orders immediately by going to Tools-->Options-->Simulator tab-->enable "Enforce immediate fills"->Click Ok.

Please let me know if I may be of further assistance.

[mtthwbrnd]

Hello Christopher,

My Tools-->Options-->Simulator tab-->enable "Enforce immediate fills" is ticked.

Please find attached screenshots of the executions and orders that occur when I do the following in DOM:

31/03/2010 13:38:03 Buy Market $500M - fills immediately
31/03/2010 13:38:07 Sell Market $500M - fills immediately

31/03/2010 13:38:31 Buy Limit $500M - takes ages to fill...

Amount of time taken to fill the limit order (actually it never filled, it is too slow) can be seen in the executions screen shot, also attached.

Something odd seems to be happening where the Market Orders get filled in two parts. $1 goes through at market and the rest, $499,999,999 goes through at 1/10 pip slippage (since I have set 1/10th pip quotes).

The Limit Order seems to be filling in single $1 lots at a time and very slowly.

Perhaps the barchart.com datafeed I am using is inappropriate for this task?

Thanks,
Matthew.

[NinjaTrader_ChristopherJ]

Hello mtthwbrnd,

I have tested this on my end with multiple connections and this is expected behavior in simulation mode. Unfortunately the Limit Order will only fill when the Ask is updated at the current price.

[mtthwbrnd]

Can you confirm that there is no way to execute a limit order for say $2M in the simulation all in one single execution and that NT will only do it at the rate of ~$1 per second [as I am experiencing]?


Thanks,
Matthew.

[NinjaTrader_ChristopherJ]

The only option available at this time in simulation is to use the Market buttons to enter into a position of this size all at once. I will forward this to our development team for future considerations.

[mtthwbrnd]

Wow. That seems like a very important facility to have left out.

So using EnterLongLimit(...) instead of EnterLong(...) is completely pointless? Now I don't understand why EnterLongLimit(...) is even provided. EnterLongLimtAtOneDollarEachSecond(...) might be a more appropiate name for the function :-).

[NinjaTrader_ChristopherJ]

I have tested this on NinjaTrader 7 and was able to fill this order type all at once when the Ask is updated.

Please send me a note to Support [AT] NinjaTrader [DOT] com with "ATTN: Chris" in the subject line so I can get you on our Beta list.

In the message, please include the following:
1.) A link to this forum thread.
2.) Your license key which may be found under Help-->License key

[mtthwbrnd]

Hi,

I can confirm that the issue of slow fills on limit orders using barchart.com which I was experiencing with NT6.5 does not exist in NT7. The limit orders in NT7 fill completely as soon as they are touched.


Thanks,
Matthew.

[NinjaTrader_ChristopherJ]

Glad to hear that did the trick.

Have a great day!