The 20-year-old has not missed a league game as the Cobblers push for promotion from League Two, sitting fourth in the table with seven matches left.
Having previously had spells on loan at Accrington Stanley, Hartlepool, Sheffield Wednesday and Shrewsbury, Nicholls admits his current time away from the DW Stadium has been the best.
He told the Wigan Evening Post: "The other loan deals didn't go too well for me and I don't think I did enough at those other clubs.
"Getting the chance at Northampton, I knew what was wanted of me and I had a clear goal in mind.
"Both clubs have been great with me, they've both worked well together to tell me what they want from me and the agreement seems to have worked well for all parties.
"I did well in the first three months and (Northampton boss) Aidy Boothroyd said he was impressed and wanted to keep me on for longer which I was really happy about."
Nicholls is especially delighted with the number of clean sheets he has kept this term.
"My clean sheet the other day when we beat Oxford United was my 14th of the season," he said.
"My target at the start of the season was 14 so I'm made up to get that many already, especially with seven games to go."