In the attached files you can find the two different charts of the same day (22nd february) of crude oil.
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Market Replay data incomplete
I downloaded market replay data for a few days of february 2016 in order to test a strategy. Unfortunately the signals on the chart created by historical data are not the same as trading market replay. I also noticed that the candlesticks look different. Am I doing something wrong or are there ticks missing in the market replay data?
In the attached files you can find the two different charts of the same day (22nd february) of crude oil.Tags: None
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Hello jzag456,
Thank you for writing in.
In NinjaTrader, please expect that a strategy running real-time (live brokerage account, live market simulation,Market Replay etc...) will produce different results than the performance results generated during a backtest/historically. This difference may be more easily seen on certain Bars types (e.g. Point and Figure) than others due to their inherent nature in bar formation.
During a backtest you can select conservative or liberal fill algorithms which will produce different results. Fills are determined based on 4 data points, OHLC of a bar since that is the only information that is known during a backtest.
During simulation using real-time live market data or Market Replay, the fill algorithm is dynamic in that it uses incoming market data (both price and volume) to determine if an order should be filled or not.
For more information about this, please take a look at this help guide link: http://ninjatrader.com/support/helpG...ime_vs_bac.htm
Additionally, I would suggest taking a look at this page in the help guide for why tick charts can look different: https://ninjatrader.com/support/help..._are_built.htmZachary G.NinjaTrader Customer Service
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