Here's two charts, from today (Sept 20th). In both charts, I'm running the same strategy. As you can see, the bar formation is the same in both charts. However, in one of these charts, I ran in real-time, and the other I ran in tick-by-tick replay. Despite running the same strategy, to apparently the same data, I get two different results. As you can see, two of the trades are the same, and two of the trades are different.
Of course, I'm trying to wrap my head around this. In the end, what I want to do is reliably run back testing on tick-by-tick, and have it be accurate to my real time environment.
Your thoughts and suggestions? Thanks.
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