Date/Time: Sun, 04 Dec 2022 21:07:24 +0000
Unrealistic limit order fills on simulated futures trading service?
View Count: 107
|benikeli - Posts: 10|
When trading my high-frequency trading strategy on the NQ through a DOM, my limit orders often get filled there where last price hasn't even touched yet. This happens more often during high volatility. The event can be described as follows:
1. Trades are taking place around a certain price area on NQ. This is around 4-8 ticks wide. For example 11000.25 bid and 11001.25 offer
2. Price moves higher or lower to a new price area very quickly (10 or more ticks away). For example it moves to 11002.50 bid/ 1003.50 offer
3. I place a limit order on the previously traded price area (11000.25 bid and 11001.25 offer) and immediately get filled without the last price even touching my limit order.
4. I exit the position at the new price area(11002.50 bid/ 1003.50 offer) very quickly with a high profit.
This process gives me fantastical trading results on the delayed trading evaluator, but I'm concerned that this order filling is unrealistic and will not be the same on live trading. Looking at the Time & Sales data, I never see a trade happening at the particular price where I'm getting filled. If this means that something isn't working properly then I would like to know how to fix the problem to avoid getting those fantastical fills and get a more realistic trading environment.
Intraday data storage time unit: 1 tick
Number of stored time & sales data: 4000
Chart update interval: 40 ms
Latest Sierra Chart version: 2442
|Sierra_Chart Engineering - Posts: 5464|
How orders are filled in the trade simulator is explained here:
Trade Simulation: How Orders are Filled
It is not based upon the last trade price.
Sierra Chart Support - Engineering Level
Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2022-10-05 22:47:57
|sgne - Posts: 36|
I used to be frustrated by this as well, in sim mode.
Basically, you have to make various adjustments to your strategy in sim mode to make it more like live trading. Otherwise you will get fills in live mode but not in sim mode. Also, you will get better and worse fills in sim mode, depending on a variety of scenarios. There's basically nothing that can be done about it. You'll have to figure out how to adjust the sim returns post hoc to know what the real live returns might actually be.
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