limit order simulation vs. live trading

[dha3936420]

My automated strategy uses limit orders for entry/exit.

It is not realistic to assume that just because price hits a limit order that it is filled, typically you need price to go through the limit in real-time trading.

Q1) does NT backtesting and real-time simulator fill a limit order when it is touched or prices trades one tick through the limit?

Q2) is there any way to include market depth information to estimate where in the order book my limit order is queue'd up so I can get a realistic simulation?

Q3) how do I keep a limit order active across 512-tick bars so that I have a better chance of being at the head of the order book queue?


Thanks,

Dave

[NinjaTrader_JoshP]

Maybe this article will provide some insight into the order fills: http://www.ninjatrader-support.com/v...ead.php?t=3271

For market depth you definitely can program it. Please see this reference sample: http://www.ninjatrader-support.com/v...ead.php?t=3478

You can keep an order alive via the liveUntilCancelled parameter on orders. The syntax is as follows: EnterLongLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName)