Market Replay vs Backtest

[ccx105]

Hello everyone and thanks for reading this.

I have a simple 1 minute EURUSD Forex Strategy that I have ran in the backtest environment and on the market replay.

The market replay seems to act very differently from the backtest in certain circumstances.

My orders are all sent using:
EnterShortStop(0, true, 100000, Close[0] - tick_size, "Short Entry");

and they are closed with ExitShort();

I also have CalculateOnBarClose = true;

Can you guys please take a look at the pictures and let me know if this is normal behaviour?

Thanks a million,

Colby

[NinjaTrader_CalH]

Hello Colby,

Thank you for your note.

There are going to be differences when using the backtest versus real time data.
Please read the link below for more information on what is involved in these differences.
http://www.ninjatrader.com/support/h...ime_vs_bac.htm

Let me know if I can be of further assistance.

[ccx105]

Market Replay vs Backtest

Hi Cal,

Thanks a lot for your reply. I know that there can be differences between the two and with live data. But is it normal that the following is occuring with the market replay:

1. All of my orders have a first order with an amount of 1 @ price and a second with 99,999 @ worst price.

2. When I exit my position, the amounts are significantly above the bar

(please see the thumbnail I attached for a visual)

Can I expect live trading to have the same behavior?

Thanks again, your help is very appreciated,

Colby

[NinjaTrader_CalH]

ccx105,

Who are you connected to for real time and historical data? This is displayed in the lower left hand corner of the Control Center

Additionally, do you see different results from when you play through the market replay and skipping ahead in time?

[ccx105]

ccx105,

Who are you connected to for real time and historical data? This is displayed in the lower left hand corner of the Control Center

Additionally, do you see different results from when you play through the market replay and skipping ahead in time?

I am connected to fxcm for my realtime and historical data. I just replayed the market at 1x speed and it gave me the exact same results as with faster speeds.

On the other hand, when I skip forward using the 'go to' option in market replay to go ahead of the time where the executions were made, then the entry and exit points being investigated previous to the 'go to' time are the same as in the backtest.

[NinjaTrader_CalH]

Colby,

Thank you for your info.

Since, the Buy to Cover order is going to get filled at the ask price, it is more than likely that your orders are getting filled by the ask price, or the spread in this case.