Terrible fills in simulator on CL

[JoshDance]

In testing some new strategies, I started taking some sim trades early last week. This week, I began to notice terrible fills even when there's not much movement -- almost every market order such as a stop on a breakout or a stop loss fill, I'm getting 2 ticks of slippage.

The attached chart shows my red line stop market entry, and where I was filled--that's right, 13 ticks of slippage, and it's not like this was the breakout of the century. My settings are delays of 75 and 150, the defaults, and I have not changed them. I've never gotten that kind of slippage on a live account, and certainly not for a breakout such as this, being relatively normal and mild for CL. Even the stop loss slippage is annoying, as I normally get a max of 1 tick slippage on stop outs, but I'm routinely getting 1 and 2 ticks in the sim. I don't really care except that it throws my stats off. Any ideas?

[NinjaTrader_Brett]

Hello,

Just to confirm is this with NS strategies or manual trades placed.

Live or historical?

I look forward to assisting you further.

[JoshDance]

Brett, this is in the live market, manual trades (though using an ATM strategy).

By the way don't get me wrong, I'd much rather have poor fills than favorable fills, but something more realistic is what I want.

[JoshDance]

Any word on something to try for this problem?

[NinjaTrader_Bertrand]

Sorry for the late reply - what entry order type are you using here? So other markets would behave fine using the exact same approach? For the ATM stop order exits : are you using markets or stop limits here?

[JoshDance]

Sorry for the late reply - what entry order type are you using here? So other markets would behave fine using the exact same approach? For the ATM stop order exits : are you using markets or stop limits here?

Hi Bertrand,

These are all market order entries. I'm not sure about other markets, all I can relate the fills to are what are common in the live market, and getting this much slippage, this consistently, just doesn't happen in real life. These are all market orders, but my point is that real market orders don't yield this much slippage.

Again, don't get me wrong, I'd prefer bad fills to perfect fills as it gives me a challenge, but it does cause me to mismanage trades sometimes because I forget the slippage, and move the stop to a place I would not normally move it had I gotten the right fill. Also, none of the other people I chat with are getting this type of fill on sim trades.

[NinjaTrader_Bertrand]

I can understand JoshDance, what kind of connection setup are you using here? What technology provider do you connect to? By now you would be trading 08-11 now, correct?

[JoshDance]

Kinetick data, TT broker feed. Yes trading August contract. It's only strange because it didn't used to do this, and it doesn't happen to anyone else. Out of the blue one day it started, and nothing I know of changed that caused that.

[NinjaTrader_Bertrand]

Does it happen, too if you for example only trade on the TT feed? Do you have a live Kinetick subscription that would also include the needed live Nymex entitlements?

Thanks,

[JoshDance]

I have not tried trading the live TT feed only but unfortunately this isn't an option so I can't try it. I do have a live kinetick subscription and if I understand your second question correctly, yes I have nymex access (otherwise I think I couldn't get the data to begin with).

[NinjaTrader_Brett]

Hello,

You can get live data from TT. This would be a good test. Connect to TT first and only. Then place a simulation trade to test fill time. Does it change or remain the same?

I look forward to assisting you further.

[laredo]

terrible fills sim

bad fills really bad on sim

[NinjaTrader_Matthew]

Can you give me a specific example so we may look into this?

What data provider? What instrument? What type of orders? How much slippage are you receiving in terms of ticks?

You can always adjust the simulator option under Tools--> Options--> Simulator tab to increase or decrease the fill times. You can also check "Force Immediate Fills" to get filled without any sort of delay

[laredo]

bad fills

mirus zen fire feed

CL

ask
bid
1800$ so thats 180 tic

force immediate fills wil lfill u anywhere ?? a bad fill?

[laredo]

I bot the ask and this is what happened to give u the problem

http://screencast.com/t/mOtEb9mWIM