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Accuracy of Replay vs. Actual Data

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    #16
    Ryan,
    I have some additional information that should help you understand my issue with market replay. You can look at the tick data for Dec CL from 10-21-2011 at time stamp 7:06:40. I have a buy stop order at 87.87 and the NT market replay simulator gives me a fill at 87.83; which is positive slippage of 4 ticks. I went through the tick data for the 7:06:40 time frame of 1 second. After the stop trigger was hit at 87.87 there were no trades below 87.87 in the 7:06:40 time frame. The price continually ticked up until my profit target (limit fill) was hit; which also generated positive slippage of 2 ticks.

    How can the market replay simulator show an 87.83 fill on my buy stop when this price was never traded during the time frame of the order?

    Here is the buy stop order and fill info:

    CL 12-11 Buy Stop 1 0 87.87 Filled 1 87.83 0 Buy Stop Gtc Replay101 Market Replay Connection cae995f302b24c20b6f89ef97df162ec 10/21/2011 7:06:40 AM

    Here is the automatically generated profit target order and fill info; this was based on the buy entry price:
    CL 12-11 Sell Limit 1 87.91 0 Filled 1 87.93 0 Profit target 30f93ebf2dbc4e26814cf0600fded961-60 Gtc Replay101 Market Replay Connection 0b046abae24347b493f2edb668240edd 10/21/2011 7:06:40 AM

    Thanks for you attention to this question,
    Tim

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      #17
      Tim, I will have Ryan or Bertrand get back to you on Monday.
      AustinNinjaTrader Customer Service

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        #18
        You're looking at two completely different data sets here with your IB historical data and a market replay feed. Market replay is only the tick by tick playback and not historical data. Differences in data feeds will usually always produce different script results.

        Your IB connection does not even supply historical tick data, so any data at this level would be brought in from a real time stream on your local computer, and they do not provide unfiltered realtime tick by tick data. It's a snapshot every so many milliseconds.
        Last edited by NinjaTrader_RyanM1; 10-24-2011, 09:26 AM.
        Ryan M.NinjaTrader Customer Service

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          #19
          Hi Ryan, My last post was only referring to the market replay data provided by NinjaTrader. I downloaded the replay data through NT for 10-21-2011. I looked at the specific order and fill time of a "Buy Stop" on the replay data. This last post has nothing to do with Interactive Brokers data, only market replay data from NT. I understand the differences in data feeds, that is why I focused the last post only on market replay data. Please re-read my last post only.

          Thanks for your help.

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            #20
            You can look at the tick data for Dec CL from 10-21-2011 at time stamp 7:06:40.
            Thanks for the reply. How did you verify tick data? What is your time zone? Can you please send trace log files for the day when you made this trade on market replay? (the calendar day, not market replay day) Easiest way is using Help menu's > Mail to support feature, but you can also attach manually to support 'at' ninjatrader 'dot' com from the following directories.

            You will find the log file in the Documents > NinjaTrader 7 > Log folder.

            * The log file will be named "log.YYYYMMDD.txt"

            You will find the trace file in the Documents > NinjaTrader 7 > Trace folder.

            * The trace file will be named "trace.YYYYMMDD.txt"
            Last edited by NinjaTrader_RyanM1; 10-24-2011, 12:26 PM.
            Ryan M.NinjaTrader Customer Service

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