Ninjatrader realistic fills?

[nourozi]

Correct I would expect them to get very close. The usual recommended cycle would be -

Backtest > Market Replay > Live Sim > Live.

Hi again, can I expect to run an automated strategy in Market Replay at 500x speed to be just as accurate as 1x speed with level 1 and 2 data? Basically, I want to get as close to live sim results and therefore as close to real live results with market replay as fast and accurate as possible.

Thanks again.

[NinjaTrader_Bertrand]

Yes, that's what I would expect, the speed should not be affecting the sequencing of the events seen in the streams.

[nourozi]

I am testing limit order fills on touch (without price penetration) with NT simulator/Market Replay using a 1 tick range chart on the ES. I have 'Enforce Immediate Fills' unchecked but seem to be getting filled too easily on touch... not sure how accurate this is.

[NinjaTrader_Bertrand]

I would then try testing with higher delays perhaps if you wanted to increase the time to get filled.

[nourozi]

I noticed there is an issue with partial fills being simulated correctly. I placed a limit order for 20 contracts. Looking at the time and sales output window, only 1 contract was traded at my price. I also have enforce partial fills unchecked.

On the NT help guide it says:

"Enforce partial fills Enables or disables the forcing of partial fills on each order. If enabled, orders will always get filled with partial fills. When disabled orders are filled completely or partially depending on trade volume."

Trade volume was only 1 contract at my price, am I missing something here?

How is this accurate?

[NinjaTrader_Bertrand]

The actual trade volume is only one component contributing to estimating your fill probabilities - http://www.ninjatrader.com/support/h...simulation.htm

This is also still just a simulation, the actual realtime fill behavior and exact probability could not be predicted 100%, just because you see the size of 1 getting through in realtime, you would not know how the market actually had reacted live if your 20 lot was in as well.

Treat it as a simulation to see how you do with reasonable delays included, then work with smaller qty's live to compare to finetune, so you could use each testings feedback most effectively for your strategy.

[nourozi]

Are the numbers on the time and sales output accurate? Or is this also an approximation?

[NinjaTrader_Bertrand]

Actual time and sales comes directly from your broker / datafeed provider in case of live data.

[nourozi]

Actual time and sales comes directly from your broker / datafeed provider in case of live data.

Ah, of course. I am using Zenfire and Mirus.

[nourozi]

Hi, can you suggest where to get the most accurate Market Replay Data and Backtesting Data for Ninjatrader?

I know of these resources but am undecided which one to get Market Replay Data from. Do you know which of these are good, or if you have any other suggestions?

http://www.backtestdata.com

http://www.marketreplaydata.com

http://marketreplay.net/

Thanks,

Erfan.

[NinjaTrader_Matthew]

Market Replay data is recorded using a Zen-Fire connection. The resources you provided use the NinjaTrader market replay data from our servers to the best of my knowledge. In terms of accuracy, if you're happy with your live Zen-Fire data, you should see similar results on replay.

You can always record your own market replay data from your prefered data provider to be used.

[nourozi]

Hi again,

Can you take a look at the attached chart. I am not sure how getting filled on gaps work. For example in the attached chart I have a sell limit order waiting at 3180.00, and I am holding a position over the weekend. But the market gaps up on the open and I am filled 25 points above my limit order (which is a better fill). Can I expect this to happen in live trading, or would I have been filled at my limit price of 3180.00?

Thanks again,

Erfan.

[NinjaTrader_Bertrand]

Yes, I would expect that, as a limit orders means : this price or better, since the market gaps through your price level (no trade) it becomes marketable and is executed at the first possible price.

[sledge]

Things I've learned here..

Use 1 contract in market replay and multiply out the number you intend to use.
If you have more than 1 target. .Run those as separate strategies with 1 contract.

I use market orders And get excessive positive slip which skews my results.

Limit orders should be less of an issue. I Don't see slippage on ES with my targets.

Hi there, I would like to test my automated strategy in live sim with Ninjatrader. I am just wondering how accurate the live sim order engine is in Ninjatrader? Particularly, with limit orders.

Specifically I am interested in finding out what % of my limit orders are likely to fill on the touch, without penetrating.

Ninjatrader describes their own simulation engine as follows:

"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."

Will live sim give me a good idea?

Thanks, Erfan.

[pstrusi]

My experience in E-mini ( ES ) live market is that you should always use limit orders rather than market orders. Not always your orders will be filled, but I'd dare to say that around 40% of them, which might leave some money in your pockets. Obviously there are several keys aspects here:

- I imagine that you go for intraday, but How often do you trade ?

- Do you have always Stop/Target orders when trading? ( if not, you should always, remember Murhpy's laws )

- When you use market orders for reverse a position with Stop/Target orders, NT takes care nicely of reversing and changing all orders as it should, but if you want to do this with limit orders, you would be forced to code this under "unmanaged approach" method orders, cause since limit orders not always are filled NT was not intend to cover that, because there are complicated implications that everyone must think how he will handle it. Thus you must code how to react in this situation with very well thought logic procedures in order to always be protected, whether you get reversed your positions or not.

- Market replay is a great tool when you should test things like fills...etc