Different limit order fills in Replay and Sim101

[NinjaTrader_Jason]

I see, sorry I misunderstood your initial response. I thought you needed orders to fill immediately when its price was hit. Please disable this setting.

Both the replay101 and sim101 account use the simulator fill engine to execute orders.

The engine uses a scientific approach to determine fill probability by including a number of variables including: ask/bid volume, trade volume, time (to simulate order queue position), and random time delays for switching between order states.

It is not always the same due to many variables, some of them random.

[User13]

So as engine is the same then data must be different, meaning replay data is filtered is some way.

[NinjaTrader_Jason]

I have been informed that market replay data is recorded tick by tick, however the UI is only updated every 1/4 second.

[koganam]

Though useful to know, that's not quite relevant to this issue.

Though I'm probably not entirely convinced but, according to NinjaTrader_Jason, replay data is supposed to be complete

The real issue is that you are expecting the Market Replay fill engine to exactly duplicate the live market. It never can; nothing ever can. The real intraday market is a true random walk, and its conditions at any given time cannot even be captured with fidelity.

What the Market Replay fill engine can do, and does, is make a simulation that attempts to fill orders as an orderly market might do, by introducing variables other than just a price touch or trade-through. Market Replay duplicates and plays back data: it does not record and play back market conditions.

That having been said, as the worst-case scenario is, trades that always get filled only on a trade-through, there might be some value to being able to force that condition, in addition to, or rather than, the best case scenario of filling trades when price is touched (so called "Enforce immediate fills").

[User13]

koganam, have you missed the fact that I compared replay to Sim101, not to exchange fills?

But I agree that in view of replay's inability to simulate even what NT's own Sim101 does on live data having an option opposite to "Enforce immediate fills", something like "Enforce trade-through fills" would be quite useful. Or even better to be able to specify percentage of fills that require trade-through. Keep dreaming

[koganam]

koganam, have you missed the fact that I compared replay to Sim101, not to exchange fills?

But I agree that in view of replay's inability to simulate even what NT's own Sim101 does on live data having an option opposite to "Enforce immediate fills", something like "Enforce trade-through fills" would be quite useful. Or even better to be able to specify percentage of fills that require trade-through. Keep dreaming

No, I did not miss that. Maybe I was not very clear in what I was trying to convey. I was saying that as the fill engine tries to simulate fills based on how a market might behave, it perforce must use some random elements. Therefore, just like a market has some randomness in its fills, so will the fill engine. Those random elements will mean that fills on any given sets of runs will not necessarily be the same on price-touch: I would expect them, to be pretty much the same on trade-through though. That is just the effect of introducing randomness into the matter.