Realistic Fills for SIM feed [Archive] - NinjaTrader Support Forum

gambit50

04-15-2009, 12:32 PM

Who created the order placement in SIM?
It is terrible. Assuming market is not running through the price, a LIVE bid/offer, say in ES, can sit there through so many trades and often not at all of the limit price entered while the SIM mode will show it filled, quite quickly and almost always.
Does NT have any of its own ways to make this more realistic. Run them side by side, you will see. Makes a huge difference for high frequency algo and thus SIM testing useless.

NinjaTrader_Jason

04-15-2009, 12:54 PM

Hello gambit50,

Please go to Tools-->Options-->Simulator-tab to configure the sim101 account to your liking. More information can be found at the link below.
http://www.ninjatrader-support.com/HelpGuideV6/SimulatorTab.html

gambit50

04-16-2009, 06:44 AM

I don't see how any of these fields improve the situation.
Perhaps I am interpreting them incorrectly.
My issue is with the order count of inside market by SIM and subsequent placement in the queue of the order by NT.

NinjaTrader_Jason

04-16-2009, 06:59 AM

You can use 'Delay comm' and 'Delay exchange' to simulate a delay when trading the sim101 account to reflect more realistic behavior.

gambit50

04-16-2009, 01:29 PM

Those do not alter the placement in the queue as I see it.
I altered them, delay in time to send, fills were still far too soon. There would be many contracts ahead of where I was filled.
Any other solutions?

NinjaTrader_Jason

04-17-2009, 04:39 AM

Unfortunately, I do not have any other suggestions.

MiniDowTrader

02-25-2010, 01:25 PM

I am using NT 6.5 with Zenfire data. Recently I've noticed that my stop order fills in Sim mode (entry and exit) are always 1 tick "inside" the order placement. So basically I ALWAYS get the sitting order filled 1 tick in my favor, getting in and getting out.

Any ideas on how to stop this from happening? It wasn't this way before the last couple weeks. Not sure what has changed.

Thanks in advance.

NinjaTrader_RyanO

02-25-2010, 01:35 PM

Hello,

Thank you for your post.

Please go to Tools-->Options-->Simulator and please make sure that Enforce immediate fills is unchecked.

MiniDowTrader

02-25-2010, 01:54 PM

Yes, it was unchecked.

MiniDowTrader

02-25-2010, 02:48 PM

Any other suggestions?

NinjaTrader_Jason

02-26-2010, 05:22 AM

nyctrader

03-19-2010, 01:57 PM

I am testing a strategy designed to trade in fast moving markets (news related) and am curious how close the live fills would be compared to those I get in SIM. (I have it set to the most conservative setting). Can anyone with experience with this type of trading relate their experiences?

Pipskateer

03-31-2010, 04:05 PM

Unfortunately I do not have any other suggestion. Please see the link below for information regarding the simulation fill engine.
http://www.ninjatrader-support.com/HelpGuideV6/SimulatorOverview.html

I am not sure if I understand '1 tick inside the order placement'. If you submit a buy stop limit order at 1005.00 (ES), are you saying it fills at 1005.25?

Jason, I didn't see a response from MiniDowTrader to confirm/deny your follow up question here, but I am certainly having this exact same experience. If I submit a buy limit for 1005.50 (ES), then the fill is happening one tick earlier, at 1005.25. Precisely as you have described. I can only say this is happening with some regularity, not every trade, and I can only testify to DEMO trades, as I am not trading live due to what I feel might be a related ATM issue at my thread here:
http://www.ninjatrader-support2.com/vb/showthread.php?t=25894

Just wanted to let you know of my similar experience.

billspill

04-01-2010, 03:15 AM

hello NT support, i also notice that when i set a a buy or sell it will sit on my buy or sell in the DOM very shortly, like 1 milisecond before the lovely ladies voice on the sims says "order filled". how do i adjust the simulator so that it will que have to touch my order more than once, for more realistic simmming. instead of touching my order price once and filling immediately, can i adjust it so it has to touch i twice or go beyond my order point to fill to get the most realistic feel from NT? thanks a bunchhhh

i tried the delay timing and nothing really helped. thanks everyone!!! im using simulated data and sim trade.

Rienb

04-01-2010, 03:18 AM

I dont know what market you are sim-trading, but most future markets have an increased volume since the last 2 weeks, that`s why the fill is so fast right now...

billspill

04-01-2010, 03:21 AM

holy jesus thats a fast reply, lol, im just opened up my sim101 account on NT and notice everytime i use it on every sim market, TF, YM, ES, NQ, it will fill immediately, the ladies voice always says "order filled" right as it touches my order, it should atleast touch it twice or go beyond it before order filling, even a couple of days ago my friend whos trading bonds, it was so volatile he wouldnt be able to get a fill until it touched his order twice in his real live account, so i want to make my sim account mimic the same delays...

thanks for such fast reply rienb

Rienb

04-01-2010, 03:29 AM

This isn`t as fast as the other one, but i think it will do...

I`m simtrading CL contract that is going well, if i buy at bid price it takes a while before i`m filled, buy at ask it takes about 6 ticks at that price.

it`s quite realistic in my opinion, it never gets as the real thing, because you will be a new order in line and markets will always change.

If you cant trade well with fast fills you cannot trade with slow fills.

billspill

04-01-2010, 04:34 AM

well i was asuuming filling fast would inherently be easier to trade, so i wanted slow fills to simulate slippagage all the time..i agree with wat u say, but i was specifically just looking for some ways i can adjust the sim tabs to get more delay in orders, should i set delay to a higher rate? seems even at the heighest rates it still fills orders immediately...

MiniDowTrader

04-01-2010, 09:57 AM

I use BUY STOPS and SELL STOPS to enter on breakouts. The simulator will almost always give me a fill 1 tick better than the resting order. Is that realistic? Not sure.

MiniDowTrader

04-05-2010, 09:59 AM

nyctrader

04-18-2010, 06:18 AM

Does anyone have any experience with BUY STOP entries for long trades and SELL STOP entries for shorts? On the NT simulator I almost always will be filled at the BID on a BUY STOP and at the ASK on a SELL STOP. Is this realistic when I leave the simulator? I would assume a BUY STOP would fill at the ASK and the SELL STOP at the BID for slippage. Perhaps it will all depend on Zenfire feed.

I guess the only way to find out is to trade some real $$$ !!!!!:D

I had the same question posted a few weeks ago and got no replies so far regarding live trading. There has been some discussion however on the use of stop limits on other threads and also in other forums. It seems that there is a possibility that with a stop limit you can be filled as far as 20 ticks away on certain occasions. This tells me that my sim trading results (of my volatile news strategies) have probably been unrealistic and that live trading would be considerably riskier than those results would lead me to believe.

cunparis

04-21-2010, 10:07 AM

I'm wondering about this too.

On CL, my stops would have 1-2 ticks positive slippage. Much more often than negative. That's suspicious.

I enter on limit orders. On ES my orders sit there for a long time which is realistic. I'm curious if it looks how many are in the queue and then waits for that many to trade before giving me my fill? If not how does it know when I'm filled (on sim).

jashanno

05-06-2010, 09:51 PM

I use BUY STOPS and SELL STOPS to enter on breakouts. The simulator will almost always give me a fill 1 tick better than the resting order. Is that realistic? Not sure.

I am doing the same thing and getting the same results. I enter a stop limit order for the breakout and I am getting 1 tick slippage in my favor on almost every trade and it does not seem correct to me.

For example, market traded to 1000 I enter a buy stop limit order at 1000.25. Market trades to 1000.25 and I am filled at 1000.

Do I have a setting wrong? Did anyone ever figure out how to fix this? I do not have any of the enforce fills boxes checked. Should I factor in another tick slippage on each side for every trade?

Thanks.

NinjaTrader_Jason

05-07-2010, 06:36 AM

Hello,

When I test stop limit orders on my end, I do not experience such behavior. Could it be you submit a limit order and not a stop limit order?

Please send me the log file that lists such an order and include what time you submitted the order. You can find these files at the following locations:

Start Menu--> My Documents--> NinjaTrader 6.5--> Log--> log.20100507 for today. (log.yyyymmdd for any other date)

Send it to support[at]ninjatrader[dot]com, put 'Attn Jason' in the subject header and reference this thread.

tradingGary

05-20-2010, 07:16 PM

Ninja Trader Support,

I seem to be having a similar issue. After debugging, I found that when I SellShort market (ES) the Sim sells at the Bid and then when profit target is hit, a BuyToCover Limit order uses the BID price in my favor (Instead of using the Ask price) to close the position.

I am using NT 6.5.1...14 using replay data that was saved using the zen fire feed. In the simulator tab I DO NOT have the "Enforce immediate fills" option on.

I am using NT 6.5 with Zenfire data. Recently I've noticed that my stop order fills in Sim mode (entry and exit) are always 1 tick "inside" the order placement. So basically I ALWAYS get the sitting order filled 1 tick in my favor, getting in and getting out.

Any ideas on how to stop this from happening? It wasn't this way before the last couple weeks. Not sure what has changed.

Thanks in advance.

NinjaTrader_Jason

05-21-2010, 04:56 AM

Hello tradingGary,

Orders are filled at the last traded price when trading the ES.

Please note that we released NinjaTrader 6.5.1000.15. Please download and install it on top of your current version at the following link.
http://www.ninjatrader.com/webnew/download_trading_software.htm

When I trade in simulation on my end, orders are filled as expected. Can you please check again in the latest production version.