CME Fill Engine

Hi,

Has anyone successfully created a fill engine to backtest limit orders on CME?

I could do with some advice.

Moon

 

Is this the wrong forum for CME? Could someone point me to the right place please?

 

what do you mean fill engine? do you just mean backtesting?

 

Try using OEC trader and their market replay plug in.
It records all tick, volume & DOM data and lets you play back and simulate fills.

 

In addition to that, whenever I use limit orders for backtesting purposes, I always place my order 1t above/below the actual exit point. If this extra 1t level is touched, then you know your actual exit was filled.

Example: I want exit my CL long trade @ 85.05 with a limit order. When backtesting or sim forward trading something, I always place my exit @ 85.06. If .06 is touched, even briefly, my .05 is guaranteed to have been filled. Reverse idea for shorts.

As the above post says, OEC has a nice replay plug in as well.

http://www.openecry.com