Hello there! This is my first post to this forum, glad to be part of the community. I am currently testing a strategy and would like to know the likelihood of limit orders being filled when touched and not penetrated. i.e when price goes up/down to a limit, touches the limit, then reverses without penetrating the limit order. I am placing a limit order about 5 ticks above/below the price on the es and 6e. Does anyone have any idea what the percentage might be or how I could simulate this (maybe NinjaTrader Market Replay)? My strategy depends on me being able to find this percentage out, preferably before testing live. Thanks!
You would need to keep track of every update to the book and also figure out where you are in queue and determine where you would be given the given updates and given price point you float your order based on your strategy. I don't think NT market replay stores all that data. ie. you need to make your own