limit order fills without price penetration

[nourozi]

Hello there!

I am currently testing a strategy and would like to know the likelihood of limit orders being filled when touched and not penetrated. i.e when price goes up/down to a limit, touches the limit, then reverses without penetrating the limit order.

I am placing a limit order about 5 ticks above/below the price on the es and 6e.

Does anyone have any idea what the percentage might be or how I could simulate this? Would I be able to get an approximate idea with Market Replay?

My strategy depends on me being able to find this percentage out, preferably before testing live.

Thanks!

[NinjaTrader_JC]

Hello Nourozi,

When your orders are going to be filled live will depend on your broker and the volume at the given prices.

NinjaTrader does have a simulation engine that does take into account factor like these that you may test out with the Market Replay, but they still can be different than your broker.

When testing out your strategy if you would like your historical order to be filled when the price just touches your limit orders you will want to set the "Historical Fill Processing" to "Liberal". Having it set to "Default" will have the limit orders filled only if the price is traded through.

Let us know if we can be of further assistance.