Different limit order fills in Replay and Sim101

[User13]

When trading ES on live connection and Sim101 price almost always has to tick through the limit order price to fill it. And this is how it's supposed to be on ES. Contrary to this when trading ES on (downloaded, not recorded) replay data price seems to never need to tick through to fill a limit. I consider this a bug.

[NinjaTrader_Jason]

Hello User13,

Unfortunately this can be as expected. Orders are filled as per the simulator fill engine, see the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/simulation.htm

NinjaTrader provides a state of the art internal simulation engine that can be used to test trading ideas and hone your skills. The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. The engine uses a scientific approach to determine fill probability by including a number of variables including: ask/bid volume, trade volume, time (to simulate order queue position), and random time delays for switching between order states.

You can workaround it by enabling 'Enforce immediate executions' at Control Center-->Tools-->Options-->Simulator-tab.

[User13]

Still I don't see why fills should be different providing replay data flow is the same as live and that simulation engine consumes the replay data correctly.

I don't know maybe replay data is filtered/sampled compared to full live feed. And judging by the size of replay files I would say replay data is filtered. I haven't tried to replay recorded data though, but then again I don't know if NT would filter data when recording.

If replay data is not filtered, then the problem is in the simulation engine.

Either way the problem exists and it greatly reduces the value of replay mode.

[NinjaTrader_Jason]

Replay data is not filtered. It is related to the simulator fill engine. You can workaround it by enabling 'Enforce immediate fills'.

[mcosta72]

Hi User13,

I am facing pretty much the same issue. Today my strategy ran different on live market and replay. I understand that the software is real complex and helps a lot to develop better strategies but they should look at this issue.
In the REPLAY mode, NT accepted 3 orders that didnt fill in the live mode. In most of the cases REPLAY is giving more profits then it should.
NT developers team - go ahead and fix this!!!

[sledge]

Hi User13,

I am facing pretty much the same issue. Today my strategy ran different on live market and replay. I understand that the software is real complex and helps a lot to develop better strategies but they should look at this issue.
In the REPLAY mode, NT accepted 3 orders that didnt fill in the live mode. In most of the cases REPLAY is giving more profits then it should.
NT developers team - go ahead and fix this!!!

This is to be expected. You wait in line in LIVE.

Replay - not so much - this can't be emulated.

This has also been discussed many times before over the last several years.

[User13]

You wait in line in LIVE.

It's live data feed, but Sim101. To my understanding replay is recorded data feed plus the same Sim101. I can't see any reasons for differences to exist (except for poor implementation), providing data is recorded accurately.

[sledge]

It's live data feed, but Sim101. To my understanding replay is recorded data feed plus the same Sim101. I can't see any reasons for differences to exist (except for poor implementation), providing data is recorded accurately.

Please review here:

http://www.ninjatrader.com/support/forum/showthread.php?t=68716&highlight=sim101+fills

Also market replay record supposedly doesn't record every tick.

[User13]

Please review here:

http://www.ninjatrader.com/support/f...t=sim101+fills

Though useful to know, that's not quite relevant to this issue.

Also market replay record supposedly doesn't record every tick.

Though I'm probably not entirely convinced but, according to NinjaTrader_Jason, replay data is supposed to be complete

[sledge]

Though useful to know, that's not quite relevant to this issue.

Though I'm probably not entirely convinced but, according to NinjaTrader_Jason, replay data is supposed to be complete

Are you downloading it or recording yourself?

[sledge]

Though useful to know, that's not quite relevant to this issue.

Though I'm probably not entirely convinced but, according to NinjaTrader_Jason, replay data is supposed to be complete

Hmmmm... Read the NT_J post - it might be referring to playback - what you have is what gets replayed.. not about what is recorded...


"1/4 second intervals"

http://www.ninjatrader.com/support/forum/showthread.php?t=57599&highlight=market+replay+data+recording

"tick by tick basis"

http://www.ninjatrader.com/support/forum/showthread.php?t=63827&highlight=market+replay+recording

[User13]

I use downloaded, not recorded replay data.

"1/4 second intervals"

http://www.ninjatrader.com/support/forum/showthread.php?t=57599&highlight=market+replay+data+recording

"tick by tick basis"
http://www.ninjatrader.com/support/f...play+recording

So according to some NT guys replay data is aggregated (your first link) and according to others (Jason and your second link) it's not.
Or maybe downloaded replay data is aggregated while recorded locally would not be aggregated. We need NT guys to clarify this.

Either way it's clear replay doesn't work the way sim works on live feed and that's a BIG shame on NT.

[User13]

Replay data is not filtered. It is related to the simulator fill engine. You can workaround it by enabling 'Enforce immediate fills'.

I tried it and it doesn't have any positive effect on the issue.

[NinjaTrader_Jason]

The 'Enforce immediate fills' setting should cause orders to fill sooner. You should see orders fill when the price is met, not when the market goes through the limit order price as you initially reported.

I will check with my superiors for clarification regarding market replay data.

[User13]

You should see orders fill when the price is met, not when the market goes through the limit order price as you initially reported.

Why did you suggest it then?