Quick Question on Market Replay and delays....

[BigDog008]

Quick question regarding market replay and delays...

from what I'm reading... running at 1x vs 500x will give significantly different results.... but setting delays to 0 will give identical results...

how realistic or unrealistic of results will this provide?

[NinjaTrader_Kyle]

Hi BigDog008,

Thank you for your post.

Can you clarify what you mean when you say different results?

In what respect?

[BigDog008]

in terms of when i run a replay at 500x i'll get a P&L of say +$300, run it in 1x I get a P&L of +$750 or something...

[NinjaTrader_Kyle]

Hi BigDog008,

Thank you for your reply.

I take it you're using an automated trading strategy?

[BigDog008]

Hi BigDog008,

Thank you for your reply.

I take it you're using an automated trading strategy?

Kyle, yes I'm using an auto trading strategy, I'm dealing with tick sizes of 50, 60, 70, 80, 90

[NinjaTrader_Kyle]

Hi BigDog008,

Thank you for your reply.

Someone will get back with you on Monday Morning.
Thank you for your patience!

[NinjaTrader_Dierk]

... running at 1x vs 500x will give significantly different results.... but setting delays to 0 will give identical results...

...

Expected. Any delay in milliseconds will have impact on when orders on the simulator are filled. Apparently it makes a difference whether you run replay at 1x or 500x speed in regards to the delays.

-> to have reproducible results on different replay speeds you should set all delays to 0.

[ctrlbrk]

The NT 6.5.1000.9 help suggests delays are not used with Market Replay.



Can we get a definitive "I looked at the source code and know" answer, and then either the forum or help file corrected?

Thanks,
Mike

[BigDog008]

Mike,

I've toyed around with the delays and do seem to see some difference in results when delays are set to default values and when delays are set to 0...

its frustrating as hell... all I really want (and I'm sure many others) is a reasonable way to run backtests on tick data....

[NinjaTrader_Dierk]

My apologies, I was mistaken: As of current 6.5.1000.9 all delays are ignored if connected to market replay connection.

-> it really should not matter what delay values you have set while connected to the market replay connection

If you experience something different, then we would need detailed steps on how to reproduce, preferable based on a standard strategy like SampleMACrossOver.

Note: as soon as you had coded some custom timer logic (or equivalent custom delay logic) in the strategy, results would be highly dependent on actual replay speed.