too much slip in my favor

[ssylwester]

I'm testing a strategy that submits launch ATM orders, using AtmStrategyCreate, with a stop/limit order, where stop price = limit price, for NG and CL. Am testing it using mkt replay. Many times it fills at stop=limit price, as expected. But I am getting too many good fills, often 2-3 ticks in my favor at the entry. Is this the issue with using L1 and L2 data? The orders are not generally during fast moving markets. Am using "default" for FillType, if that is relevant. How can i ensure more realistic fills for running in MktReplay mode? Just adding 2 ticks slippage isn't really right, b/c some of them should fill at stp=limit price

[koganam]

I'm testing a strategy that submits launch ATM orders, using AtmStrategyCreate, with a stop/limit order, where stop price = limit price, for NG and CL. Am testing it using mkt replay. Many times it fills at stop=limit price, as expected. But I am getting too many good fills, often 2-3 ticks in my favor at the entry. Is this the issue with using L1 and L2 data? The orders are not generally during fast moving markets. Am using "default" for FillType, if that is relevant. How can i ensure more realistic fills for running in MktReplay mode? Just adding 2 ticks slippage isn't really right, b/c some of them should fill at stp=limit price

Actually, using stoplimit orders, that looks pretty normal to me. A trigger and a quick spike down, and you will be filled. I see it happen in real time. Not too often, but I have had the good fortune once in a while.

I guess it really depends on what you consider "too often".

[ssylwester]

Thanks for your reply. I personally think that 3/5 trades for 2 ticks is too often, as in real time trading I don't see so many good fills.
When i run the same strategy in StrategyAnalyzer, it indiciates very little beneficial slippage. Just when i run it using ATM strategies with MarketReplay.

[koganam]

Thanks for your reply. I personally think that 3/5 trades for 2 ticks is too often, as in real time trading I don't see so many good fills.
When i run the same strategy in StrategyAnalyzer, it indiciates very little beneficial slippage. Just when i run it using ATM strategies with MarketReplay.

60% favorable fills?!!! Nope, that is definitely too much. LOL. If we got such good fills, I would not have sucked at this for so long before I got the hang of it.

[NinjaTrader_Austin]

ssylwester, have you tried running this strategy in real-time yet on a simulation account? If so, are the executions similar? CL and NG especially can move quite a bit without any trades during the off-market hours, so that is probably the reason your fills aren't what you expect them to be. There are a few scenarios that could lead to favorable slippage, such as when orders come in just a moment after your stop order is triggered in the other direction.

[ssylwester]

When i run live/sim account, i get much worse results than running MktReplay with sim account. Live/Sim.. often i get no immediate fill at the stop/limit price, until it moves 3+ ticks and then comes back to fill.
Live/Sim .. And i almost never get a +2 beneficial fill.
MktReplay/Sim was giving me +2 fills at least half the time. Substantial difference.

[NinjaTrader_Bertrand]

What simulator options were you working with then? Was for example the enforce immediate fill option checked?

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

You could also increase the delay values a bit and then check if that's more comparable then for your scenario.

[Paladin]

I use market replay simulator for discretionary trading training. I notice that the delay options in simulator tab do not apply to market replay. How do I set it up so that the limit fills and other order execution are the most conservative?

Thanks,

[NinjaTrader_Brett]

Hello,

This is expected, as these settings do not apply to market replay as this is what allows you to get the same results if your replaying at 1X speed or 500X speed. If this delay was introduced this would cause different results at different speed.

Let me know if I can be of further assistance.

[Paladin]

So my main question is, is there any way to set up market replay simulation to have conservative fills?

[NinjaTrader_Bertrand]

You could try checking to enforce partial fills to add a conservative 'penalty'.

[ssylwester]

What simulator options were you working with then? Was for example the enforce immediate fill option checked?

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

You could also increase the delay values a bit and then check if that's more comparable then for your scenario.

Thanks Bertrand. THe numerical settings are the default #s. But i did have "Enforce immediate fills" checked. I will uncheck and see if that makes a difference.