Stop-limit fills: Live vs Sim

[nourozi]

Hi guys,

just thinking about testing a strategy that uses stop-limit orders. Do they fill faster live vs sim? How about on fast moving markets like FDAX and GC? My friend said they fill faster live vs sim but I would like to get other opinions based on experience.

Also do the simulator settings Delay Comm and Delay Exchange affect the fill engine for stop-limit orders?

Thanks!

[NinjaTrader_CalH]

Hello Nourozi,

Thank you for your post.

There is no determining factor that would make a order fill faster in any scenario. The Sim101 is designed to work based off of volume and price. As long there is volume and price meets the order's criteria then it will get filled.

With the live account both of these instances are there as well but there is an added factor of a queue for the orders. When you submit your order to the exchange it is held in a queue of other orders to get filled. This queue can be short or long.

The delay for the Comm and Exchange will affect the fill engine for all orders. This also relates to your automated strategies in how the order updates are received and so forth.

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


Let me know if I can be of further assistance.

[nourozi]

Ok, but you say there is an added factor live with the order queue. I thought that Ninjatrader live simulation tried to estimate your position in the order queue?

[NinjaTrader_CalH]

Nourozi,

It is based off of the incoming volume that this is determined. Its not an exact science for this, but again, this could not reflect the actual queue position of the order in a live situation. You could be at the top or at the bottom depending on the market volatility.