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Difference in quotations between Market Replay and Simulating

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    Difference in quotations between Market Replay and Simulating

    Dear developers,
    I have some questions, to which I find no answers.
    1. Is there any difference in quotations between Market Replay and Simulating?
    2. If I put Delay comm = 0, and Delay exchange = 0, will there be any differences in the trading results as compared to the results achieved by trading in Simulation and Market Replay?
    3. What is the difference between the fill algorithms for Simulation and Market Replay?
    4. To what extent the fill algorithm for Market Replay trading is reliable?

    #2
    Welcome to our forums here :

    Yes, the simulated feed is an internal generated feed for testing - it has not much relation to realtime / historical market data. Market Replay in contrast is recorded or downloaded realtime data that can be replayed then at various speeds for higher fidelity testing (as the intrabar formation is known).

    The same scientific approach to fill probability estimation and simulation is used for Market Replay and trading with live on our internal Sim101 account.

    Testing on the replay data with our simulation engine will close to live trading and generally more accurate than regular backtesting - however of course realtime fills and queue behavior will be still the 'ultimate' test for any algorithm.
    BertrandNinjaTrader Customer Service

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