I've been noticing differences in order execution when running Market Replay and Strategy Analyzer. I have ran market replay and strategy analyzer and put the values into the output window and analyzed them. I found out that there are differences in the Opening and Closing values between MR and SA of certain bars.
Example:
On stock YELP 3/28/2014 2:41, the Interactive Brokers backfill gives a closing price of 77.88. But the Market Replay data gives a closing price of 78.01. I don't know which one is the correct one.
How is this possible? Does Interactive Brokers filter / fix up some things at the end of the day? Because if this is so, then the historical backfill is completely useless for backtesting intraday strategies.
Thanks
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