Partial Fills On Entry During Simulation

[kcsystemtrader]

I am running a strategy right now with position size set 'by strategy' of 100 shares. Almost everytime an entry occurs, it fills in lots of 95 shares, 2, and 3 shares (or some variation thereof). Sometimes it is two executions, sometimes three.

Is there a way to make the entry orders be "all or nothing", so that it will only execute if 100 shares can be filled? I believe that most brokerages support an All or Nothing order type.

For exit, I use a trailing stop and have the Stop and Target Submission set to "ByStrategyPosition", so it only has one trailing stop order for all three entries, but then it will also create partial fills once it is executed.

Thanks,

kc

[NinjaTrader_Josh]

If you are in sim mode you can try this: Tools->Options->Simulator->Uncheck "Enforce partial fills". In real-life, there is no guarantee that you do not get partial fills.

[kcsystemtrader]

Originally Posted by NinjaTrader_Josh

If you are in sim mode you can try this: Tools->Options->Simulator->Uncheck "Enforce partial fills". In real-life, there is no guarantee that you do not get partial fills.

I should have mentioned that I already have that box unchecked, yet am still getting parital fills in simulation.

[NinjaTrader_Josh]

Right. There is no guarantees you do not get a partial fill. Being partially filled is a function of what is happening in the market. It is even more prevalent if you are using limit order types.

[kcsystemtrader]

You would think that in simulation mode, which is what I am in, by unchecking that box that would force it to fill you only once. What is the point of the "enforce partial fills" box if unchecking it does not do anything?

As far as I can tell, partial fills are enforced whether the box is checked or not.

[NinjaTrader_Josh]

No. Enforce partial fills helps you test partial fills in a liquid market where it would otherwise not happen. In illiquid markets this is a different story. The simulator takes into consideration bid price, ask price, bid/ask volume, last price/volume, etc. The algorithm is highly dynamic and no matter how you play it, if you are in an illiquid market you will get partial fills.

[kcsystemtrader]

Yeah, I hear ya, but it still isn't quite right. Would you consider MSFT or AAPL a liquid market? I'm not sure gets any more liquid. That is what I'm testing on. I'm using market orders.

In real life, if you place a 100 share market order on pretty much any Nasdaq 100 stock, you will get filled instantly, no partial fill. For some reason, with eSignal data and in simulation mode, NT doesn't seem to think it could obtain that execution. I guess I'll have to wait and see how it performs in real-time, but still not sure I understand why you can't configure the simulator to not have partial fills. Thanks,

kc

[NinjaTrader_Josh]

http://www.ninjatrader-support.com/H...ulatorOverview

Check your delay settings.