how do people handle testing strategy when it's apparent market replay doesn't perform same as real time.. seems like market replay fills if price touched but real time doesn't fill unless trades through,
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When using Sim101 or trading a live account, there will be an inherent delay the execution to account for market and environmental dynamics. The amount of time it takes to execute an order in either environment is completely random and unpredictable (uncontrolled)Originally posted by rsmtrade View Post
As you observed, it is true there is no execution in delay when using Market Replay.
Market Replay is made to be more predictable in that executions do not delay (controlled). This ensures that when you run a test in market replay the first time, that the executions happen in the same fashion the second time. Thus making your market replay tests controlled and 'repeatable'. This is much like running a backtest in the Strategy Analyzer on historical data. If we used the same method of random delays to simulate a live environment like we do with the Sim101 account, your market replay results would change every time you ran market replay.
Forward testing your strategy in Sim101 and live should not be treated as a controlled environment. Therefore Replay testing and Sim101 testing are apples to oranges when considering the timing of executions. You may optionally consider decreasing the delay time under Tools-> Options-> Simulator, but do bare in mind that these options are preset to simulate real-work market environments and that when you trade live, the results will have an inherent delay. As such, it is recommended to also leave these settings when trading in the Sim101 account.MatthewNinjaTrader Product Management
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by Max238
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