How realistic are the order fills using live data?

[turbro21]

I've created a strategy that works well when backtested and am now ready to start running on live sim data (Ninjatrader Continuum).

I'm just wondering how realistic the fills will be when orders are triggered in terms of slippage/spread etc.

Will the orders using live data in a paper trading account be filled the exact same way (at the exact same prices) as if it were a live account? My strategy uses market orders so I know that there will be a spread and potential slippage in a live account and want to know if the sim live feed will reflect similar conditions.

Thank you.

[sledge]

I've created a strategy that works well when backtested and am now ready to start running on live sim data (Ninjatrader Continuum).

I'm just wondering how realistic the fills will be when orders are triggered in terms of slippage/spread etc.

Will the orders using live data in a paper trading account be filled the exact same way (at the exact same prices) as if it were a live account? My strategy uses market orders so I know that there will be a spread and potential slippage in a live account and want to know if the sim live feed will reflect similar conditions.

Thank you.

No- that is impossible on a live account. It will be close, but it's not instant.

What are you trading? That will affect things too.
Where are you located? Overseas? In the states?

And backtested with which NT thing? You should really run Market Replay over a good period of time.

My ES trading is pretty close to Playback-Market Replay... there is some slippage when the market is tanking fast,,,

[NinjaTrader_CodyB]

Hello,
There are discrepencies between backtesting and trading in real time. I'd recommend to read the following section of the help guide on this subject:http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Sledge is correct in that you should even expect differences between trading in simualtion versus live on the account of there will be latency in your connection to the exchange servers that could affect the order fill time. As well as the volatility of the market, whether or not there will be someone to buy what you want to sell and vice versa.