Demo fill speed difference between NT/ZF and OEC

[shinji]

In the past 2 days I tried out the demos of Ninjatrader with both zenfire and tt, and the OEC platform. Somehow I get filled alot faster with OEC platform than NT.

For example. I want to go long on es and put my limit on 1295, while its moving between 1295 and 1295.25 the whole time. OEC would fill it within like 1-3 secs while the NT demo wouldnt even fill it after 30 secs.

Is this normal and would it also occur with the retail version of NT? Or is the caused by latency issues between Europe and USA? I live in europe.

I hope reallym like to know an answer, since this will determine the broker I pick!

 

[fifty2aces]

The problem with limit orders in simulation, particularly with very liquid markets like ES, is that it is difficult to tell when you would get a fill. The reason is that generally you will start at the back of a long queue, and it's hard to tell when you are at the front, and getting filled. The only way to be sure of a fill is for price to trade right through your limit price.

So, my guess is that OEC is giving you a fill as soon as trades take place at your order price. NT is probably trying to simulate a fill more realistically - waiting until a certain number of contracts have traded at that price. Neither of these will be perfect, but Ninja's is probably better - you'll probably find that if you trade OEC with real money, your fills will be more like those that you've seen with NT. Often, you'll be able to place a limit at a price, watch 300 contracts trade at that price on the time and sales, and not get a fill.

 

[shinji]

The problem with limit orders in simulation, particularly with very liquid markets like ES, is that it is difficult to tell when you would get a fill. The reason is that generally you will start at the back of a long queue, and it's hard to tell when you are at the front, and getting filled. The only way to be sure of a fill is for price to trade right through your limit price.

So, my guess is that OEC is giving you a fill as soon as trades take place at your order price. NT is probably trying to simulate a fill more realistically - waiting until a certain number of contracts have traded at that price. Neither of these will be perfect, but Ninja's is probably better - you'll probably find that if you trade OEC with real money, your fills will be more like those that you've seen with NT. Often, you'll be able to place a limit at a price, watch 300 contracts trade at that price on the time and sales, and not get a fill.

thanks for your reply! However, yesterday I noticed another thing for example when I go long 5 contracts with OEC and NT @ 1294 and set both at sell limit 1296. When the market touched 1296 for like 0.25 sec OEC sold 2 contracts while NT didnt sell at all. which gives a better real life situation? I read on ninjatrader forum the following:

" Fills in the demo are using NinjaTrader internal simulation engine and do not actually get sent outside of your PC" and " Realtime fills with Zen-Fire are far better than the demo fills IMO. Zen-Fire + Mirus is top notch in fills."

Anyone having the same experience?

Furthermore, does it matter if I (I live in europe) take a european broker or usa broker due to latency?

 

[fifty2aces]

thanks for your reply! However, yesterday I noticed another thing for example when I go long 5 contracts with OEC and NT @ 1294 and set both at sell limit 1296. When the market touched 1296 for like 0.25 sec OEC sold 2 contracts while NT didnt sell at all. which gives a better real life situation? I read on ninjatrader forum the following:

" Fills in the demo are using NinjaTrader internal simulation engine and do not actually get sent outside of your PC" and " Realtime fills with Zen-Fire are far better than the demo fills IMO. Zen-Fire + Mirus is top notch in fills."

Anyone having the same experience?

Furthermore, does it matter if I (I live in europe) take a european broker or usa broker due to latency?

NT's fill was probably more realistic, unless you were first in the queue (which is unlikely from the sound of things). Using OEC's simulator is likely to lure you into a false sense of security, giving you simulated results which will be very difficult to emulate with real money. I'd much rather have a simulation where the fills are too conservative - as this would mean you would expect to do better with real orders.

As for latency, if you are trading ES the order has to go to chicago no matter where your broker is located. The added latency for crossing the Atlantic is pretty small - definitely less than a second, but I think closer to 0.1 seconds.

 

[shinji]

NT's fill was probably more realistic, unless you were first in the queue (which is unlikely from the sound of things). Using OEC's simulator is likely to lure you into a false sense of security, giving you simulated results which will be very difficult to emulate with real money. I'd much rather have a simulation where the fills are too conservative - as this would mean you would expect to do better with real orders.

As for latency, if you are trading ES the order has to go to chicago no matter where your broker is located. The added latency for crossing the Atlantic is pretty small - definitely less than a second, but I think closer to 0.1 seconds.

Thanks again for your reply. Does it matter if I take ninjatrader with trading technologie feed or with zenfire? Or is the difference too small to notice? All I care is about the fill speed haha

 

[fifty2aces]

No idea, but you could try asking here:

NinjaTrader Support Forum

 

[new_trader]

Thanks again for your reply. Does it matter if I take ninjatrader with trading technologie feed or with zenfire? Or is the difference too small to notice? All I care is about the fill speed haha

How can you care about fill speed if you are using limit orders?

OEC orders are kept SERVER SIDE so it makes little difference if you send your order from Chicago or the moon. Market orders are a different issue entirely.

 

[shinji]

How can you care about fill speed if you are using limit orders?

OEC orders are kept SERVER SIDE so it makes little difference if you send your order from Chicago or the moon. Market orders are a different issue entirely.

If you are willing to read the other post in this thread you should get a better view of what I mean. Ofcourse I use limit orders, but im told that with live trading, your orders wont get filled immediately when the market price hit your target.

 

[new_trader]

If you are willing to read the other post in this thread you should get a better view of what I mean. Ofcourse I use limit orders, but im told that with live trading, your orders wont get filled immediately when the market price hit your target.

I don't think you understand what I am saying. Why are you using limit orders if you are concerned with fill speed? Limit orders are used if you care about fill PRICE. Do you see? If you care about speed you should trade with MARKET orders, do you see?

 

[shinji]

I don't think you understand what I am saying. Why are you using limit orders if you are concerned with fill speed? Limit orders are used if you care about fill PRICE. Do you see? If you care about speed you should trade with MARKET orders, do you see?

ahh I see what you mean. But what I'm concerned with is that for example when I went long at 1295 and I had my sell limit at 1297. If the market price reaches 1297 and after 1-2 secs went back to 1296.75 , it wont get sold with NT, but it does with EOC

 

[new_trader]

ahh I see what you mean. But what I'm concerned with is that for example when I went long at 1295 and I had my sell limit at 1297. If the market price reaches 1297 and after 1-2 secs went back to 1296.75 , it wont get sold with NT, but it does with EOC

I trade the ES with OEC. There have been times where the market has moved so fast that my stop or limit order has been executed and I could swear the market price was still 0.5 point away. There have also been times where the market has moved within 1 tick of my limit price and didn't get filled :-0

A while back I developed a bespoke trading application using the OEC production server. Although the production server reflected the price of the live server it also took trades from others developing their applications. So there were very slight differences in the market price at times. I don't know if the same thing happens with their demo application. Maybe your trades are actually placed on a demo server and will be executed by other demo orders. I honestly don't know.

 

[shinji]

I trade the ES with OEC. There have been times where the market has moved so fast that my stop or limit order has been executed and I could swear the market price was still 0.5 point away. There have also been times where the market has moved within 1 tick of my limit price and didn't get filled :-0

A while back I developed a bespoke trading application using the OEC production server. Although the production server reflected the price of the live server it also took trades from others developing their applications. So there were very slight differences in the market price at times. I don't know if the same thing happens with their demo application. Maybe your trades are actually placed on a demo server and will be executed by other demo orders. I honestly don't know.

Thanks for your input so far, it really cleared some stuff for me ^^. How's your experience with OEC? I'm want to pick either Ninjatrader with Zenfire or tt or just OEC. The commissions are near the same.

 

[new_trader]

Thanks for your input so far, it really cleared some stuff for me ^^. How's your experience with OEC? I'm want to pick either Ninjatrader with Zenfire or tt or just OEC. The commissions are near the same.

I have only ever traded DMA with OEC so I can't compare them to anyone else. But in my experience they have been VERY helpful and VERY responsive to any technical issues/problems I have had. They have had connection problems in the past but they appear to be resolved. They do not charge platform fees or data fees and if you are handy with Excel and VBA you can use the DDE link facility to develop your own trading application.

NB: OEC is now owned by optionsXpress Holdings, Inc. I have been assured OEC will continue business as usual.

 

[shinji]

I trade the ES with OEC. There have been times where the market has moved so fast that my stop or limit order has been executed and I could swear the market price was still 0.5 point away. There have also been times where the market has moved within 1 tick of my limit price and didn't get filled :-0

A while back I developed a bespoke trading application using the OEC production server. Although the production server reflected the price of the live server it also took trades from others developing their applications. So there were very slight differences in the market price at times. I don't know if the same thing happens with their demo application. Maybe your trades are actually placed on a demo server and will be executed by other demo orders. I honestly don't know.

the part where you said within 1 tick your fill, do you mean 1 tick before your limit or 1 tick after your limit?

 

[new_trader]

the part where you said within 1 tick your fill, do you mean 1 tick before your limit or 1 tick after your limit?

Yes, I could have written that better, I meant 1 tick to be filled. In the real trading world you don't always get what you want. If you trade with limit orders you risk not being filled. If you trade with market orders you might get a 'bad' fill. It doesn't matter how many demo platforms you try, these are the risks when trading the live market.