Strategy Analyzer: Settings; Limit Orders: Fills

[spottysallrite]

The current mode on the Strategy Analyzer (SA) is when an limit order has been placed, that it is not considered filled unless price has moved past the order price. This is better than the previous mode in which the order was filled if price merely touched the order price (in my testing this produced very impressive -- but wildly unrealistic -- results). Neither really represents reality, but the former is closer, though produces results that are lower than what would happen in real trading.

So, how about a compromise between the two? That is, could it be possible to allow the user to select the likelihood that they will get filled (eg, 80%) when the market price reaches the order price?

[NinjaTrader_ChrisL]

Hi spotty, thanks for posting. You can simulate the slippage with the "Slippage" setting in the analyzer (this is measured in Ticks). This will simulate the order fill slippage on bars that can support it. This would be the only way to modify or give variability to the fill price of limit/stop orders.

Kind regards,
-ChrisL

[spottysallrite]

Well, doesn't slippage only apply to market orders?

[NinjaTrader_ChrisL]

Hi Spotty, Sorry I should have double checked our documentation before answering. The slippage will only be applied to market / stop market / MIT orders. The only modifier for limit orders is "fill on touch".

[spottysallrite]

Ok, so I'd like to put in a request for this modification.

[NinjaTrader_ChrisL]

Hi spotty, there is an existing feature request that I will add a vote to for you.
SFT-1137 "Customizing Fill Engine Behavior / Adding Fill Engine Options"

Feature requests can be tracked from the release notes:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?release_notes.htm

Kind regards,
-ChrisL

[spottysallrite]

Awesome ! Could something similar be done for MIT orders ? Slippage doesn't fully apply because you can get filled at better than your price.

So, what I'm thinking is to allow the user to select a range of possible fills. That is, the user would provide his estimate of getting filled at a price lower than the MIT long order price (say, 10%), as well as that of getting that particular price (70%), and also that of getting filled at a higher price than the order price (20%).

Also, would it be possible to modify these amounts from within the user's script? That is, the likelihood of getting filled with an amount higher than the MIT long order might be higher if the trading volume is high and the market is going up rapidly.

[NinjaTrader_ChrisL]

Hi spotty, The feature request above would be able to cover all possible orders. I'll add a note to the Jira page for that suggestion on MIT orders specifically. In NinjaTrader 7 there was a "Fill Type" script where all aspects of the fill engine could be customized for all order types. The feature request would be to add a similar type of script to NinjaTrader 8. This is where you would modify the fill actions of the backtesting engine.

Kind regards,
-ChrisL

[spottysallrite]

Hmm, I don't remember that from NT 7, but it's been awhile since I've had that on my computer.

So, will this possible mod include the possibility of changing these amounts (whether MIT or otherwise) from user-produced scripts?

[NinjaTrader_ChrisL]

Hello, I've added your request to change the MIT Fill ranges from the strategy to the existing feature request in a private note. The developers will consider adding this feature in future updates of NInjaTrader.