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Limit Orders in Simulation

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    Limit Orders in Simulation

    I've written an Add-on that is using limit orders to enter and exit trades. In my simulation testing, it looks like the limit orders are being filled when the limit price is hit, not when it is exceeded. Are the order fill assumptions different in simulation trading than they are for backtesting strategies?

    #2
    Hello SystemTrading,

    Thank you for your note.

    There would be some differences between sim trading and a backtest in the Strategy Analyzer, yes. I'd take a look at this section of our help guide first:



    When running the strategy in Simulation, is Fill Limit Orders on Touch checked in the Strategy Parameters? If so, uncheck this option.

    Thanks in advance; I look forward to assisting you further.

    Kate W.NinjaTrader Customer Service

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      #3
      My program is an Add-on, not a Strategy. So, I do not have that option. I am placing orders using the Account.Submit() method. Are limit orders placed with that method going to be filled when the price is hit?

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        #4
        Hello SystemTrading,

        Thank you for your clarification.

        Under Tools > Options > Trading, is Enforce Immediate Fills checked or unchecked? If it's checked, uncheck that box and test.

        Please let us know if we may be of further assistance to you.
        Kate W.NinjaTrader Customer Service

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          #5
          I have that option unckecked and it looks like the orders are being filled when the limit price is first touched. Is that the expected behavior?

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            #6
            Hello SystemTrading,

            Thank you for your reply.

            To clarify, in simulation Limit orders use bid/ask to trigger, so they'll trigger when that passes the limit price.

            Please let us know if we may be of further assistance to you.
            Kate W.NinjaTrader Customer Service

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              #7
              Thank you for the clarification!

              Comment

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