Simulation on low liquidity instruments

[TheWhiteDragon]

I am running into issues with the simulator on instruments with a wide bid-ask spread and low volume. Specifically on micro treasury futures. In particular it seems to base whether a limit order is filled based on the limit order price compared to the last traded volume. Say for instance the last volume occurred at 2.900, and the bid-ask is now 2.910-2.956. If I place a bid at 2.910, the simulator will immediately fill the limit order because it is higher than the last traded volume. In fact, it will do this even if my bid is less than the current best bid!

I would not expect a "backtest" on such an instrument to be accurate in the least, but this prevents even debugging against live data. At the very least the simulator should wait for actual volume to come through before determining fills for limit orders.

I see similar problems on charts as well. Even with the bar type set to line on close it won't print new bars on a 1m chart until more volume has come through the instrument.

[NinjaTrader_Kate]

Hello TheWhiteDragon,

Thank you for your post.

Unfortunately this is a technical limitation of the platform - there are scenarios in which there are offers placed but no trades are taking place, such as instruments with very low liquidity or in the premarket session. Its possible a working limit order could be filled, triggered by a bid/offer. This fill may appear outside the bar. Since pretty much all order types in the simulator are triggered by bid/ask prices there's not a way around this.

Please let us know if we may be of further assistance to you.

[TheWhiteDragon]

The obvious fix would be for an option to require volume to have gone through for the sim consider any of your limit orders filled.