Fellow NT'ers
I have an issue with Simulator fills that is becoming extremely problematic
I am trying to test a strategy that responds fairly quickly to moves in the market. Trading the CL contract, price moves moves from 36.65 down to 36.60. using OnMarketData information, I get the updated information tick by tick. The last "bid" update was as 36.62 and the last ask was at 36.63. Following those 'tick updates' to bid and ask, all market data events from NT where 'last' trades hitting the bid at 36.62, then 36.61 and then 36.60.
Testing a market strategy using market replay data, I have a problem. I am trying to short at the most recent price level, namely 36.60. If you use GetCurrentBid, the result is 36.62. When I enter a market order, the Simulator fills at 36.62 .... when I tried to EnterShortLimit at 36.60, it also fills at 36.62. Even when I tried to enter short stop limit at 36.60, I get a fill at 36.62 ... It seems that Simulator is using the GetCurrentBid price ? However, if there has been no 'bid update' and price has traded through say two price levels, the highest bid is clearly different.
What am I missing?.
Market execution at either bid or ask, by price (not market depth) information is :
36.65 Bid: 18| Ask: 3
36.64 Bid: 6| Ask: 0
36.63 Bid: 16| Ask: 2
36.62 Bid: 9| Ask: 0
36.61 Bid: 27| Ask: 0
36.6 Bid: 1| Ask: 0
market is - 36.62 : 36.63
last price is 36.6
Short at :36.6 with stop 36.64
Note that at the last update of bid and ask (36.62 x 36.63) , there were quantity 9 at bid and quantity 12 at ask. Then a whole series of trades hit the bid (taking all 9 contracts, then went on through the other prices...).
Recommendations? Thoughts?
Thanks
Rob
I have an issue with Simulator fills that is becoming extremely problematic
I am trying to test a strategy that responds fairly quickly to moves in the market. Trading the CL contract, price moves moves from 36.65 down to 36.60. using OnMarketData information, I get the updated information tick by tick. The last "bid" update was as 36.62 and the last ask was at 36.63. Following those 'tick updates' to bid and ask, all market data events from NT where 'last' trades hitting the bid at 36.62, then 36.61 and then 36.60.
Testing a market strategy using market replay data, I have a problem. I am trying to short at the most recent price level, namely 36.60. If you use GetCurrentBid, the result is 36.62. When I enter a market order, the Simulator fills at 36.62 .... when I tried to EnterShortLimit at 36.60, it also fills at 36.62. Even when I tried to enter short stop limit at 36.60, I get a fill at 36.62 ... It seems that Simulator is using the GetCurrentBid price ? However, if there has been no 'bid update' and price has traded through say two price levels, the highest bid is clearly different.
What am I missing?.
Market execution at either bid or ask, by price (not market depth) information is :
36.65 Bid: 18| Ask: 3
36.64 Bid: 6| Ask: 0
36.63 Bid: 16| Ask: 2
36.62 Bid: 9| Ask: 0
36.61 Bid: 27| Ask: 0
36.6 Bid: 1| Ask: 0
market is - 36.62 : 36.63
last price is 36.6
Short at :36.6 with stop 36.64
Note that at the last update of bid and ask (36.62 x 36.63) , there were quantity 9 at bid and quantity 12 at ask. Then a whole series of trades hit the bid (taking all 9 contracts, then went on through the other prices...).
Recommendations? Thoughts?
Thanks
Rob
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