I'm testing a strategy on Market Replay using Market Replay data that was downloaded from NT.
I am getting different fills during a live replay depending on the replay speed that was set.
What I did to verify the issue.
Started the Market Replay from the beginning on MAX speed.
Once the first order was filled and completed I stopped the replay. It entered long @ 3369.00 with a market order.
This didn't seem right since it should have been 1 tick above the previous bar's high.
I then restarted the Market Replay from the beginning (same starting spot as when testing it on max speed)
I ran the replay on high speeds until it got within a few minutes of the previous trade.
I then turned the speed down to "1x" and it entered long @ 3368.00 with a market order, in this case I got a whole point better on "1x" than when on "max"
I've tested this scenario multiple times and the same thing happens.
I noticed the issue due to awful fills when running the replay on high speeds.
I don't see how this could be related to my strategy since it's the same exact scenario, only with different speeds. This seems to be a bug with the market replay feature.
Thanks!
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