For Kraken and GDAX you may wish to use --order_type="taker", this uses market orders instead of limit orders. You usually pay a higher fee, but you can be sure that your order is filled instantly. This means that the sim will more closely match your live trading. Please note that GDAX does not charge maker fees (limit orders), so you will need to choose between not paying fees and running the risk orders do not get filled on time, or paying somewhat high % of fees and making sure your orders are always filled on time.