Mit ?

[spottysallrite]

In my strategies I have Market if Touched (MIT) set at 3 ticks (on the ES). When I do backtests, nearly all of those exits are 3 ticks. However, when I trade live (paper trades), those exits are at 2 ticks. Why is this?

[NinjaTrader_Jesse]

Hello spottysallrite,

In a real market there will be slippage so that could be one factor here because its a market order being used. Market orders don't have specific fill prices so it could fill around that price once the price touches the limit to make the market order.

[spottysallrite]

Since these aren't real money trades, there must be something on the NT side that is filling them. So, is that fill price set for something less than the MIT price? (This is on the ES during RTH, so there is plenty of volume to fill at pretty much any price.)

[NinjaTrader_Jesse]

Hello spottysallrite,

In backtests you can enable slippage by entering an amount into the slippage field to simulate slippage. In a live test with a sim account slippage would be simulated based on the market. On a live account slippage can happen based on the current market as well.

The MIT order is intended to send a market order when a specific price is met, this keeps the order off the order books but does not secure a fixed price for fills. If you want a fixed price for fills it would be suggested to use the appropriate limit/stoplimit type order which has a fixed price to fill at. That would prevent any kind of slippage but may not be executed based on the type of order and price action.

[spottysallrite]

Well, in backtesting I get almost no slippage (which might be somewhat realistic since this is on the ES during RTH). When in live paper trading I get slippage nearly all the time. (Is the NT code set for always at least one tick of slippage?) Seems for the live trading there should be at least some trades where I don't get slippage, or even a tick or two better than the target price.) Yes, I could set the backtesting for slippage, but that slippage amount would be applied to every trade, which isn't what really happens in live trading. Perhaps there should also be a setting for how often the slippage occurs (eg, 20% of the time), and perhaps based on volume.

[NinjaTrader_Jesse]

Hello spottysallrite,

In backtesting slippage is disabled by default, you need to enter an amount if you want to simulate it.

If you want to have fixed offsets for prices using market orders would not be suggested, an MIT is no different than a standard market order. It just triggered to submit at a certain time which is when a price is met.

[spottysallrite]

Well, I just want the live paper trading to simulate real trading as closely as possible. Always applying a 1 tick slip isn't consistent with actual trading.

[NinjaTrader_Jesse]

Hello spottysallrite,

The result you are getting while using it live would be the consistent result, if you want to match that in a backtest you would need to enable slippage by entering at least 1 as the amount. Alternatively if you wanted a consistent result for fills you should avoid using market orders which don't have a guaranteed fill price.

[spottysallrite]

? I'm not applying that 1 tick slip, NT is (I have set slippage to 0, but I'm still getting 1 tick of slip). I'd like to get rid of that. Is that possible ? Shouldn't the user be allowed to apply the amount of slip they feel is appropriate ?

[NinjaTrader_Jesse]

Hello spottysallrite,

In historical tests no slippage is applied unless you specify it, you can type in an amount during the backtest. When a script processes historical before realtime you cannot specify the slippage, that is only used in the analyzer, Once the script moves into Realtime with a live market there can be slippage even on sim, you don't need to apply any setting there.

If you don't want any slippage then you should not use market orders, market orders can have variable fill prices based on the current market.

[spottysallrite]

You said above "market orders can have variable fill prices based on the current market." Yes, that's my point -- EVERY ONE of my MIT trades has filled at 1 tick below the price specified by the MIT sell order. It really looks like NT's software is filling the order at one tick below the specified MIT price, rather than providing an actual market fill. So, is there a way to fix this?

[NinjaTrader_Jesse]

Hello spottysallrite,

If that is the price the order filled at then that was the determined market fill. The price you specified in the MIT may or may not be the fill price, it likely will not be when using market orders.

If you want a filled at a fixed price without any offset you need to use a different type of order like a limit type order where you can specific a pre determined fill price.

if you want to change how that order is filling you can use a different type of order which does not submit a market order or you can use your own logic to submit market orders where the time is appropriate to try and get closer to your pre defined price. In a live market a market order is not expected to fill at a pre defined price, the market decides on where that fill will happen which could be somewhere around the price you defined.

[spottysallrite]

Well, NT doesn't simulate limit orders all that well. In particular, in backtesting, price has to go past the limit order price by at least one tick before it is filled, and then it's filled at the specified limit order price. While this is not the best, in the past, NT's filling of limit orders was on touch, which was even worse.

So, again, in live trading a sim account, does NT automatically apply any slippage on MIT orders?

[NinjaTrader_Jesse]

Hello spottysallrite,

You can turn on fill limit orders on touch in the backtest settings. https://ninjatrader.com/support/help...a_strategy.htm

In live trading slippage is controlled by the active market. A market order is defined as an order which is filled at the next best available price. The orders fill would be determined by the current market price at the time the order is accepted. There may be slippage based on when that order was submitted and when it was filled. Market orders are the fastest filling type of orders but have a variable fill price.

[spottysallrite]

Ok, since you won't answer the question, I'm going to conclude that NT automatically applies slippage to MIT orders in sim live trading, and this is not changeable by the user.

So, I'd like to put in a modification request for this. That is, either for NT to change the code so that slippage isn't applied to MIT orders when trading live on sim, or (better) to allow the user to select how much slippage is applied (just like is possible in backtesting). (Or, are you saying brokers always take a tick or more for themselves?)