Replay Data not accurate

[NinjaTrader_Austin]

dargente, I'm not sure if you saw my most recent response (post #14), but Dierk has provided me with an answer to your question and will probably not respond himself.

The answer is: nothing has changed in this area from NT6.5 to NT7.

[dargente]

I would appreciate if someone else over there at Ninja Trader besides Austin would approach my questions.

My main concern is not differences between 6.5 and 7. I have just upgraded to NT7 and i see that I am getting the same results.

However, my inquiry is regarding the differences between market replay and live simulated results. What differences should I expect between the two if any? otherwise its something else that I need to look at which is affecting the performance. Market replay is giving me many of the same trades but some other trades as well, boosting my performance results considerably.

Also, the other questions were concerning the quote regarding IB realtime data being a .7 second snapshot and doesn't contain all trades/bid/ask which occured. Is this still the case?

[NinjaTrader_JoshP]

dargente,

Market Replay vs. live simulated vs. live real are similar, but are all "different".

For instance, depending on how your indicator/strategies are programmed and what exactly is entailed in their logic you may run into limitations of L1 and L2 data in Market Replay which you would not have in live simulated. To read up on this please see the "Understanding how the Market Replay works" section here: http://www.ninjatrader.com/support/h...nt7/replay.htm In a nutshell basically the syncing of the events together may not necessarily be the exact sequence you receive if you were live simulated or live real. That could play a factor in getting things like limit fills, etc.

For the IB question I am unaware of anything changing on IB's end in this regard. It may be best to clarify with IB directly though to get firsthand information on what exact kind of data they are offering.

[dargente]

Josh thanks for the link, I will look into it. However, what I just realized after looking at my strategies today is that it appears Market Replay is not following my entry criteria. I have tested my strategy 3 different ways today as follows:

1. Live using an IB simulation account.
2. Live using the NT simulation account.
3. Market Replay.

Results:
Both simulation accounts gave me pretty much the same results. However, Market Replay is overlapping trades, even though I have setup the criteria in every circumstance as follows:

EntriesPerDirection = 1;
EntryHandling = EntryHandling.UniqueEntries;

Market Replay is allowing more than 1 entry per direction. Can you look into this or do you have any idea maybe something on my end that I need to reconfigure?

Thanks, and btw congratulations with the release of NT7, its really impressive. If i can get the same results live as i do replay, i will be very happy.

--fyi i am using OnMarketData(MarketDataEventArgs e) only, no level 2, if that makes any difference.

[NinjaTrader_JoshP]

dargente,

First things first, to set expectations, Market Replay should not be considered as definitive results that you would receive in live, real trading. No matter how good simulations are, it's never exactly the same in real-life.

As for what your strategy is doing in Market Replay I suggest you slowly debug it and step through the code as it runs through the replay to see what exactly you are facing. You will need to use Print() throughout your code and trace your orders to fully understand what is happening.