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Market Replay Discrepancy

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    Market Replay Discrepancy

    While testing an automated strategy in market replay, I noticed that the fills are entirely different than in simulation mode. I track the strategy in simulation mode live and backtesting shows the same results on the chart as well as in Strategy Analyzer. But when I use market replay for the same strategy, the fills and results are very different. I downloaded the market replay data from the Ninja website. Can someone give me some insight as to why this might be happening? Thanks.

    #2
    Hello JerryA,

    Thank you for your note.

    The difference here is the ability to process your strategy on each tick of data for the live market.
    The other difference is the how the orders get filled and at what price.

    The link below will explain the discrepancies more in depth on this particular subject
    http://www.ninjatrader.com/support/h...ime_vs_bac.htm
    Cal H.NinjaTrader Customer Service

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      #3
      Thanks for the reply. I loaded the MA Crossover sample strategy and it does the same thing. The trades are entirely different. Not sure what's going on here. I reset the database but nothing seems the change the fact that Market Replay doesn't trigger the same trades as the live chart.

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        #4
        Jerry, what differences in executions would you exactly see? Could you perhaps post us a screenshot for comparison? You would need to figure in that in replay trades could get filled with the live bid / ask recorded, where as in backtesting you're just going off the base series per default (usually last). Also, what chart type / series do you use?
        BertrandNinjaTrader Customer Service

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          #5
          Thanks for the reply. Will post some charts after market close.

          Comment

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