We present some methodological lessons and thoughts inferred from a research we are making on a simulation of the Rungis Wholesale Market (in France) using cognitive agents. The implication of using cognitive agents with an objective of realism at the individual level question some of the classical methodological assertions about simulations. Three such lessons are of particular interest: the calibration and validation focus on individuals rather than global values (1); the definition of the simulation model is made independently from the research objectives (2), and without targeting the usual objective of hypothesis simplicity (3).