This is a little bit hard to describe.. hard to replicate. But in my code, I've seen my real-time trading results differ from historical execution... there are trades *not* executing real-time that, according to my historical execution, should have executed.
Now, I understand that can often happen. But I thought I was careful to stay away from anything that would make that possible... I'm primarily working in 10m-30m bars. I'm only using OHLC bars, nothing else that should be very tricky.
The only thing I can come up with is maybe my use of Median. Median doesn't come from the broker, right? NinjaTrader calculates it off of OHLC? Is it possible that Median could change substantially from time to time...? (I've also seen, I believe, even historical executions change... which really baffles my mind.)
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