MarketReplay Vs Live

[SMuhr]

Good morning,

I am running the same strategy with the same parameter in Live (AMP) and I replayed it with MarketReplay.

MarketReplay : Up window
Real Time Data Feed : Down window



The problem is that I do not have the same entry signal... Why ?
MarketReplay buy at 6249.5 and Live at 6251.0.
It is wired because the entry signal in live chart is out of the candle...

What can I do to have the same entry signal in MarketReplay and Live ?

Regards,
S

[NinjaTrader_Bertrand]

SMuhr, what entry order type are you using here? Although Market Replay and Live results are normally close togehter, this is still not an exact process and different fills can and do occur as you're trading in a live market environment.

[SMuhr]

I use EnterLong() EnterShort() to place order.
When I use MarketReplay, there are no delay ? (Exchange & execution)

Thank you,
S

[NinjaTrader_Bertrand]

With Market orders the fill 'outside' the bar is entirely possible - you can set delay's for your Market Replay testing under Tools > Options > Simulator.

[SMuhr]

On the NT documentation it's written :

*Delays are not used when connected to a Market Replay

http://www.ninjatrader.com/support/h...ulator_tab.htm

I suppose that I have a such difference because between MarketReplay and Live Feed because of the simulator delay.

[NinjaTrader_Bertrand]

Sorry SMuhr - you're correct - those are ineffective in replay. This will contribute to the differences you've seen.

[SMuhr]

Is there a workound like directly coding a delay on the Strategy?

Thx

[NinjaTrader_Bertrand]

Hmm - to extra 'stress test' your strategy you could for example submit the entry simply one 30 tick bar later and see how it's holding up then.

[SMuhr]

Why not
Thank you !!