Simulator engine fills

[dave1992]

Hello,

Are there any plans to improve the simulator engine fill algorithm so it is better able to handle fast markets? Currently to achieve any sort of decent testing, I have to save the trades afterwards and then filter out trades which would have been clearly impossible to fill, then generate my own results stats. Rather anoying.

One example of a trade which would never have filled.

Someone hits the whole bid at price 10, then the whole bid at 9, then I issue a limit sell at 9, then the whole bid at 8 is hit. In a fast moving market this happens before a bid level one is received. I then get filled at 9 even though all the trading is now at 6/7.

Or is this only a problem in replay because of the 1 second granularity?

[dave1992]

Also, the functionality mentioned here would really fix a load of problems

When you are using replay files that may not necessarily be the case. The L1 and L2 data are stored on different files and the granularity is recorded down to the second. These two files are only synced to the second and the exact intra-second sequencing would not be there.

This is an area we are going to be looking to improve post NT7 by combining both L1 and L2 into the same file where everything will be preserved as they occurred in real-time.

At the moment, I can be filled after an entry call at a price that was only traded at before the call. That can't be right.

[NinjaTrader_Chip]

Hello dave1992,

Thank you for your post & feedback.

I have forwarded this post to our Development Department for further review