Hi there, I would like to test my automated strategy in live sim with Ninjatrader. I am just wondering how accurate the live sim order engine is in Ninjatrader? Particularly, with limit orders. Specifically I am interested in finding out what % of my limit orders are likely to fill on the touch, without penetrating. Ninjatrader describes their own simulation engine as follows: "The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. 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." Will live sim give me a good idea? Thanks, Erfan.
I've heard its pretty realistic, for super liquid instruments like ES slippage is 0-.25 points but I would go with markets because with limits you can get yourself into trouble.
In my experience, the NT simulator is actually pretty accurate. Of course, no software can 100% simulate real market conditions, because they are constantly adjusting, but NT does a good enough job for my purposes.
How does NT simulator compares with IB papertrader? What other good stock simulators are there in the market?
I haven't used IB's papertrader, so I can't comment on that, but I do like NT's algorithm. I remember using the DOM at some points where it would bounce off my target several times before filling leaving me pretty anxious (just like live trading )
I am mainly concerned with the percentage of limit orders that fill when price just touches then bounces off and does not penetrate the limit order. What degree of accuracy would ninjatrader simulate this and does it simulate better on any particular market? Do you know the likelyhood of limit orders being filled on "touch and bounce" (without penetration)when its placed about 7 ticks away from the price? Thanks.