Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Why is Replay never the same as Real time?

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Why is Replay never the same as Real time?

    Every time I test a strat in Replay mode I never have the same results in Real time. I use exactly the same time and day so the feed is the same as real time. What do I need to do to resolve this?

    #2
    relogical,

    In market replay delays are not taken into account for simulator fills. You can see details of these settings used in simulator here:
    http://www.ninjatrader.com/support/h...ulator_tab.htm

    There can be differences in the feed if you are downloading replay files compared to recording from your own real time stream. Any local issues present on your system like internet disconnects, or NT restarts would not be seen on the downloaded replay files. If you want to replay the same real time data you should check the record for market replay option under tools > options > data.

    If the strategy is started at different points, this can lead to different sequences and different results. If you can post an execution list from both runs, this may provide more insight on what were the main factors.

    Your NinjaScript / C# Code will always be logically processed and evaluate according to your set logic – this can of course lead to unexpected results at times, thus we would suggest to simplify and debug your code to better understand the event sequence it would go through.
    Last edited by NinjaTrader_RyanM1; 07-11-2012, 06:47 AM.
    Ryan M.NinjaTrader Customer Service

    Comment


      #3
      Replay not the same as Real-time

      Hi Ryan

      I also have the same issue. I have a strategy that I ran live on Friday July 20, 2012. I got positive results. However, when I run on Market replay with data downloaded from NT server, I get negative results. I run at 500X I get -$159. I run at 10X I get -$118. I run at 1X I get -$118 Realtime results give +$250.

      For market replay I download ES data from NT servers. My data feed is from Trading Technologies. So whose Market Replay data feed am I getting the tick data from? TT, Kinetick or neither? Is the replay data filtered or unfiltered tick data?

      I have 2 strategies for each chart one for long, one for short. I use almost identical strategies for 3 different time frames for a total of 6 strategies. They are not overly computer intensive. COBC = false.

      I can certainly share results with NT R&D, as I will run these strategies live on a daily basis & compare with market replay.

      Comment


        #4
        Hello,

        Thanks for the post.

        Did you take into affect the simulator fill time that Ryan mentioned in his post. This would be critical to get results to match this is in sync.

        Essentially one major difference from market replay to live is that in live simulator will add some latency to fills to simulate the order going over the internet. In market replay you cannot do this when you can change the playback time so it is disabled all the time in replay.

        You would need to disable it also in live to get similar results especially with a strategy that is sensitive on fills for PnL.

        Control Center->Tools->Options->Simulator Tab.

        Dela comm -> 0
        Delay exchange -> 0

        Furthermore the market replay data comes from NT replay servers recording on an unfiltered feed.

        -Brett
        BrettNinjaTrader Product Management

        Comment

        Latest Posts

        Collapse

        Topics Statistics Last Post
        Started by jhjhawkins, Today, 02:57 PM
        1 response
        9 views
        0 likes
        Last Post Lancer
        by Lancer
         
        Started by aaadetos, Today, 06:46 PM
        0 responses
        1 view
        0 likes
        Last Post aaadetos  
        Started by daywalker1970, Today, 04:44 PM
        0 responses
        14 views
        0 likes
        Last Post daywalker1970  
        Started by kaywai, Today, 02:40 PM
        0 responses
        25 views
        0 likes
        Last Post kaywai
        by kaywai
         
        Started by Angus7, Today, 06:03 AM
        2 responses
        53 views
        0 likes
        Last Post Angus7
        by Angus7
         
        Working...
        X