Historical Order Backfill vs Playback Connection vs Live

[12tkram]

Hi All, I can see this has been discussed numerous times, but what is the current state of play ? backtesting in no way represents playback or live strategy running ..

https://ninjatrader.com/support/helpGuides/nt8/?historical_order_backfill_logic.htm

Is anything in the pipeline to bring backtesting a little closer to reality ? or are there some tweaks or other application type settings that I need to take into consideration .. i mean latency between my server and the NT servers is one thing, performance of my server is another, but this does/should not come into play for playback mode.

Any help / direction greatly appreciated.

Cheers
Mark

[12tkram]

To clarify this a little more, I am using 2 x data series, 1 x standard and 1 x tick adddataseries using Calculate.OnEachTick .. and then entries are ( BarsInProgress == 1 )//check for entry .. which works great in backtest, but in playback not so much ..

i know there is no way to get this exactly the same as its a bit of a guessing game in backtest, but, trying to get it as close as possible if anyone here has hit this before ?

[NinjaTrader_Jesse]

Hello 12tkram,

Without more specific details on the differences you are seeing it would be hard to say if that could be mitigated or not. I could suggest reviewing the following post which goes into detail in comparing the different testing modes to see if anything you are doing sticks out.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance

As you noted there is not a way to get the results exactly the same as they are not doing the exact same processing or using the same data. Historical data processing has expected differences from realtime and playback due to granularity and how data is processed. You can try to mitigate the differences by using added series or extra logic however there can still be differences in processing depending on the use case. You can find some expected items that come up listed here: https://ninjatrader.com/support/help...ightsub=discre

I am unsure if anything is in the pipeline for this topic as there is nothing public for new or unreleased features that I can provide to detail that.


I look forward to being of further assistance.

[12tkram]

great, thats exactly the start point I am looking for .. many thanks ..

[12tkram]

fixed it ....................................... now my backtests are equally as dire as my forward testing lol ... smh!