Disparity between replay and live charts

[johnjax]

Hi All,

Attached are charts from the same time period, one is from replay data and the other from the live market.

Note that on the replay chart the MACD fast and slow line are below the zero line and above on the live chart at the beginning of the session.

The replay results using an automated strategy do not match executions in the live markets with the replay performing much better than live.

Any tips on getting the two to align would be greatly appreciated.

Regards,

John

[koganam]

Hi All,

Attached are charts from the same time period, one is from replay data and the other from the live market.

Note that on the replay chart the MACD fast and slow line are below the zero line and above on the live chart at the beginning of the session.

The replay results using an automated strategy do not match executions in the live markets with the replay performing much better than live.

Any tips on getting the two to align would be greatly appreciated.

Regards,

John

Just on the pictures that you show, the price data on the first 9 candles is very different. Who is your data provider?

[johnjax]

Kinetick is the data provider. IB the broker.
This was recorded live this morning. I get similar results when downloading from the replay function in NT.

Thank You,

John

[NinjaTrader_ChelseaB]

Hi johnjax,

Thanks for your note.

Kognam is correct, the first 9 bars are different between the screenshots.

Tick based bars can sometimes be hard to match.

What time did your replay playback begin?

Do you have historical data on your chart before the playback began? Does this historical data that is on the chart before you start playback match when you are connected to Kinetick?

[johnjax]

Chelsea,

Recording began at 6 am.
Historical data does match when connected Kinetick.

Thank you for taking a look at this.

John

[NinjaTrader_ChelseaB]

Hi johnjax,

I'm not going to be able to get my chart to match yours as any tick based chart pretty hard to sync up.

I'd like to schedule a call with you to assist you on your end.

Please send an email to platformsupport [at] ninjatrader [dot] com. In the email please include a link to this forum thread.

[Harry]

I think that there is an explanation. NinjaTrader cuts off all bars at the session break. After the session break NinjaTrader starts with a new bar. Therefore you will get different range bars with different session breaks.


Session breaks cut off bars

When you start NinjaTrader in replay mode, it starts at midnight Eastern time (or 6:00 AM Central European Time). In case that the live chart had no session break introduced at 6:00 AM there needs to be a discrepancy as the live feed will not restart a new bar at 6:00 AM.

Training Period of a MACD(20, 29, 9) is about 87 bars

Regarding the MACD, please notice that the absolute values are very much different. This is because different data was used. The MACD looks back 29 bars and is based on EMAs. The EMA is a infinite impulse response filter, which means that it is not sufficient to have 29 identical price bars to get identical MACDs. With an EMA you need a training period of at least about 3 times 29 = 87 identical bars, before the outputs will match. Therefore you need to wait until 8:50 AM, before you are allowed to use the MACD values on your replay feed.

And indeed if you watch your MACD attentively you will find that the low value around 8:15 AM was -0.030 on your live chart, but -0.034 on your replay chart. Only around 8:50 AM this difference has gone away. To wait three times the indicator is a rule of thumb for an EMA. In fact for the signal line of the MACD you would need a few bars more, something like 87 + 27 = 114 bars.

For example if you replace the MACD with the Awesome Oscillator, which is built from SMAs, you can reduce the training period. The SMA is a finite impulse response filter, and a SMA(29) only depends from the prior 29 values, for bar number 29 it is 100% correct. This would also apply to the Awesome Oscillator.

[arbuthnot]

Hi Harry

Thanks for going into this detail. It's really helpful to know.