Market replay accuracy

[mosalem2003]

HI Ninja,
What is ur advice to download accurate market replay data for experimenting my strategies...
I do download L1 and L2 data and I got different results than the same trade I did live ...
Does this mean that downloading both L1, and L2 doesn't guranatee real situation simulation ?
What do u think ?
Thanks

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

Which data provider do you use for real-time data with the software currently?

[mosalem2003]

I use Zen-FIre

[NinjaTrader_Kyle]

Hello,

Thank you for clarifying.

Is there a specific trade (or group of trades) you could outline for us to look in to where real-time results differ from replay?

If this is information you can provide, please contact us with a note to Support AT NinjaTrader DOT com.

In your message, please include a link to this forum thread and your examples.

[paulca]

Market Replay vs RT

I'm going to hijack this thread (sorry) because of the problems I am having between Replay & RT using a Strategy & I've tried to get a resolution in that Forum & via email with no result.

I enter with stop orders and my fills during Replay almost always show a negative slip, ie I am filled 1 to 3 ticks ahead of my stop. In one instance a couple of weeks ago, when the market was moving down with large momentum Replay showed my short stop fill 5 ticks above my stop when the real entry was a large slip below.

I have to believe there is some kind of calc. or logic problem in your Sim engine for this to be so consistent but I will work around it if you can tell me a way to determine in code when I am in Replay mode so I can make an adjustment to make Replay more like reality.

Paul

[sledge]

I'm going to hijack this thread (sorry) because of the problems I am having between Replay & RT using a Strategy & I've tried to get a resolution in that Forum & via email with no result.

I enter with stop orders and my fills during Replay almost always show a negative slip, ie I am filled 1 to 3 ticks ahead of my stop. In one instance a couple of weeks ago, when the market was moving down with large momentum Replay showed my short stop fill 5 ticks above my stop when the real entry was a large slip below.

I have to believe there is some kind of calc. or logic problem in your Sim engine for this to be so consistent but I will work around it if you can tell me a way to determine in code when I am in Replay mode so I can make an adjustment to make Replay more like reality.

Paul

So you are saying Market Replay is performing worse than Live????

*I deal with market orders only....

Can you post some sort of code that can reproduce what you are seeing without giving out your logic, that one of us could run in market replay?

[paulca]

So you are saying Market Replay is performing worse than Live????

*I deal with market orders only....

Can you post some sort of code that can reproduce what you are seeing without giving out your logic, that one of us could run in market replay?

In fact the opposite is the case - Market Replay almost always fills me at a better price than my stop entry (1 to 5T), compared to RT.

So on a short stop at, say, 92.54 on CL Replay will typically fill me above that price by 1 to 3T, so between 92.55 and 92.57, and in one occasion a couple of weeks ago it was 5T above for a short stop entry in a high momentum move to the downside (clearly unrealistic).

Seems like there is a logic problem in the SIM engine that is using momentum but is not calculating correctly - I rarely get fills at a better price in RT.

I've put a property in my code to add an offset to the order entry to try correct for this while waiting for some kind of response from support.

If you trade CL and wanted to test this I can throw together something simple that would show the problem.

[NinjaTrader_PatrickH]

Hello paulca,

Thank you for your post.

I have responded to your inquiry via e-mail. Are you using a different Price Based On setting in Market Replay than Real-Time? You can check this by right clicking in your chart > select Data Series > check the Price Based On setting.

I look forward to your response.

[paulca]

Hello paulca,

Thank you for your post.

I have responded to your inquiry via e-mail. Are you using a different Price Based On setting in Market Replay than Real-Time? You can check this by right clicking in your chart > select Data Series > check the Price Based On setting.

I look forward to your response.

Responded via email, both RT & Replay are set to "Last"

[NinjaTrader_PatrickH]

Hello paulca,

Thank you for that information.

I will check into this with my colleagues and follow up with you on this matter.

[NinjaTrader_PatrickH]

Hello paulca,

Thank you for your patience on this matter.

I checked with my colleagues and there is no additional control over how the Market Replay simulation engine fills orders. No matter the order method used in Market Replay there is no additional control over these fills. You can change the 'Enforce Partial Fills' or 'Enforce Immediate Fills' when going to Tools > Options > Simulator, but the Delay Comm and Delay Exchange have no effect on the Market Replay simulation engine.

Please let me know if I may be of further assistance.

[paulca]

Market Reply vs. RT

I'm going to try to re-open this issue after no joy from TS in email and today's market action comparison between Replay and RT.:

I added 2 extra ticks to my entry when in Replay mode to compensate for the SIM engine "too generous" entries when in Replay mode. Mostly works OK to match RT.

This morning at Pit Open, again, I got filled in RT on CL with a 1T slip. Short order at 91.77, filled at 91.76. This happened a few weeks ago too - in both cases the market was in a huge momentum move to the downside.

When running Replay to compare I see a fill which was way before my entry order by 7T (above my short stop order). Not even close to reality.

Got to be a bug in your SIM engine code. Please have someone look at it, how can I possibly use your platform to test with these kind of discrepancies?

TIA,

Paul

[koganam]

I'm going to try to re-open this issue after no joy from TS in email and today's market action comparison between Replay and RT.:

I added 2 extra ticks to my entry when in Replay mode to compensate for the SIM engine "too generous" entries when in Replay mode. Mostly works OK to match RT.

This morning at Pit Open, again, I got filled in RT on CL with a 1T slip. Short order at 91.77, filled at 91.76. This happened a few weeks ago too - in both cases the market was in a huge momentum move to the downside.

When running Replay to compare I see a fill which was way before my entry order by 7T (above my short stop order). Not even close to reality.

Got to be a bug in your SIM engine code. Please have someone look at it, how can I possibly use your platform to test with these kind of discrepancies?

TIA,

Paul

What kind of bars are you using on the chart to drive the strategy?
Maybe you could post a picture that shows what you are saying?

[paulca]

Replay vs Live

What kind of bars are you using on the chart to drive the strategy?
Maybe you could post a picture that shows what you are saying?

Sure, 1 min chart, I've attached both the RT & Replay charts. Any feedback u have would be great.

The output window log is as follows & shows the order accepted at 91.75 short, which was due to my 2T adjusted to compensate for the SIM engine problems I have seen. RT I got slipped in at 91.76 with the short order at 91.77. The big difference between RT & Replay causes a lot of problems testing a strategy.

This was a big momentum move to the downside & there's no way I could have got a fill so far above my short stop entry (I'm happy that I only got a 1T slip live!)

REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: Entry Signal CurrentBar=5931
REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: Entries adjusted by 2 Ticks (dumb Ninja Sim engine)
REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: STFLAT, Start ST_SIGNAL, LONG=91.98,SHORT=91.75
REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: Long Entry1 SubmitOrder 91.98,Strat Long 1
4/25/2013 7:00:00 AM Entered internal SubmitOrder() method at 4/25/2013 7:00:00 AM: Action=Buy OrderType=Stop Quantity=2 LimitPrice=0 StopPrice=91.98 OcoId='EntryOCO' Name='Strat Long 1'
REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: Short Entry1 SubmitOrder 91.75,Strat Short 1
4/25/2013 7:00:00 AM Entered internal SubmitOrder() method at 4/25/2013 7:00:00 AM: Action=SellShort OrderType=Stop Quantity=2 LimitPrice=0 StopPrice=91.75 OcoId='EntryOCO' Name='Strat Short 1'
REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: OnExecution a553136055fa4bafa2aa4aad02cfd038 ST_SIGNAL Action SellShort Time 4/25/2013 7:00:13 AM
REPLAY MODE TID:1 04/25/2013 07:01:00 5931R: OnExecution() SIGSHORT, entered position at 91.81,Strat Short 1