discrepancy between live & sim

[safetrading]

I've been extensively back testing a strategy and just started using it this morning with a live feed. It produced 1 winning trade. I stopped my trading at 11am as always, then connected to the Market Replay feed and ran the same strategy for this morning again. This time however, it produced 4 trades! The live session did not even have other entry orders that did not get filled, just the one trade.

I'm using "Fill Type" default, although I don't think that should matter because my strategy enters only with Buy / Sell Stops. With my sim trading, 3 of the 4 trades were winners and as such the price passed the entry point by at least 6 ticks (my target). The one loser however, only advanced by one tick, so I could see a possible discepancy with that trade perhaps not being filled due to "real" conditions at the time. Of the other three, one of those was the trade that occured with the live feed, but I see no reason why the remaining 2 would not have been executed.

Are there any other settings inside NT that could be effecting this? Please tell me I've missed something, because if not, there wouldn't be much use for the backtesting, as it would not closely resemble live trading to produce confidence to use for live trading with real money.

Looking forward to your assistance.

Safetrading

[safetrading]

addendum

I dont' think I clarified that the when I said I used the strategy for live trading this morning, I meant "live sim" and not "live" with actual orders being submitted.

Thanks,

Safetrading

[NinjaTrader_JC]

Hello safetrading,

How are you downloading your Market Replay data?

Please note that generally discrepancies are expected to be seen when comparing results achieved in backtesting vs Market Replay vs live trading, you can view the following documented Help Guide entry at the following link.
http://www.ninjatrader.com/support/h...ime_vs_bac.htm

Happy to be of further assistance.

[safetrading]

Reply

As regards how I download my data, in the Options menu, under the Data Tab, in the Real Time Data section, I have "record for market replay" checked off.

I looked at the link you referred to below. It mentions differences between Replay and Live simulated trading for reasons of not getting filled and for simulated vs real time delays. This makes sense to me, as I can see there could be differences between simulated and real liquidity, etc. In my case however, I'm not even seeing the order submitted either. I could see it if the order was submitted, and just not filled, but that is not happening.

I also do not see how time delays could effect my ordes being submitted in this case. My strategy looks for a setup, then when the price is withing 4 ticks of the intended entry price, it submits a BuyStop order and waits for the price to hit it. This often takes between 1 to 3 seconds, plenty of time for any real or simulated delays. Please tell me if my logic is incorrect on this matter, or if I should be looking at something else.

I understand you link mentions that I should expect to see some differenced between Live & Replay trades, but under these circumstances should I really expect to see a difference of 1 trade on one and 4 trades on the other during a 3 hour period?

Is there anything else I could look into?

Thanks,

Safetrading

Hello safetrading,

How are you downloading your Market Replay data?

Please note that generally discrepancies are expected to be seen when comparing results achieved in backtesting vs Market Replay vs live trading, you can view the following documented Help Guide entry at the following link.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?discrepancies_real_time_vs_bac.htm

Happy to be of further assistance.

[NinjaTrader_JC]

Hello safetrading,

When you are using the Market Replay Connection, the delay for the orders are going to be set to 0 rather than the normal setting that you have defined as the Delay comm.

http://www.ninjatrader.com/support/h...ulator_tab.htm

With this, it can affect the orders that follow if a new order waits for another to be filled. This includes profit targets and stop loss orders as well.


Let us know if we can be of further assistance.

[safetrading]

reply

I read your reply & associated link, but I think this does not address what I said in my last correspondence. If my strategy places a BuyStop order that normally takes 1 to 3 seconds for the price to hit it, then how would these millisecond delays effect the Replay trades vs the Live feed to be any different?

Safetrading

Hello safetrading,

When you are using the Market Replay Connection, the delay for the orders are going to be set to 0 rather than the normal setting that you have defined as the Delay comm.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?simulator_tab.htm

With this, it can affect the orders that follow if a new order waits for another to be filled. This includes profit targets and stop loss orders as well.


Let us know if we can be of further assistance.

[Harry]

I read your reply & associated link, but I think this does not address what I said in my last correspondence. If my strategy places a BuyStop order that normally takes 1 to 3 seconds for the price to hit it, then how would these millisecond delays effect the Replay trades vs the Live feed to be any different?

Safetrading

With the information you have made available here, your questions cannot be answered.

You would need to produce log and trace files for both the live trading and replay session, you would also need to disclose bar type, indicators used and the strategy used. Further the data you used for both purposes - this incldues the lookback period of the chart - would need to be disclosed. You would have to show us your charts. You would also need to check the account values of the simulation account of your broker and the SIM account, as some of the orders may not have been executed for insufficient margin.

If indicators are not coded properly they may not work on replay data. Indicator values may have been different on replay data, if your chart was not properly backfilled. Some indicators need longer training periods. All this cannot be explained without analyzing the material availble.

Just start working and analyze what happened and you will find an answer.

[NinjaTrader_JC]

Hello safetrading,

Depending on how your strategy is setup, if you have a on order waiting to entered in a time fame with the delay it could stop an order from being processed.

Also we can try to get a specific part that may be causing this as well.

1. Could you clarify that you have the option checked under Real-Time data to Record for market replay?
2. Did you start the strategies at the same time and end at the same time?
3. Can you verify that the settings of the strategy was the same? Including Calculate on bar close.
4. What was the time frame that you were using on your strategy? Example 1 Min, 5 Min, 150 Tick, etc..
5. Can you reproduce this affect so that we may test it on our end?

Happy to be of further assistance.