Whey difference between Sim and Actual trading, during live trading?

[timmbbo]

Hi there,

I've seen this question come up in different formats, in different ways on this forum; yet, I hope to gain some new insight.

During the live market during the day, I'm running one strategy on a chart for simulation trading. Then, I'm running that excat same strategy, on the same chart, with the same parameters, on my live account. That is, the only difference between these two is the sim account vs. live account. But, as you can see, the sim account ended up $100 for the day, while the live account ended up at ($100). Of course, I'd rather have the $100 than the ($100)!

I understand how sim trading is not going to be exactly the same as living trading. Sim trading seems to always assume orders get filled at the price level, while not always so in live trading. Yet, as you can see from the chart, three different trades went bad on the live account, while they all went good on the sim account. I wouldn't expect that much of a gap between sim and live trading.

First, would you have any thoughts on this? Why is there is difference, when I'm holding all possible parameters to be the same? Second, how can I get my simulated trading to mimic the market as closely as possbile? I'm running my strategies sim accounts on live market data during the day, to eliminated the discrepencies that can come in during playback. Besdies this, is there anything I can do to get my simulationed strategies as close as possible to the behavior of strategies running on a live account?

Thanks for your help,

[NinjaTrader_Kate]

Hello timmbbo,

Thank you for your post.

Sim has some random random delays between order states to simulate latency.

Live accounts have actual latency for orders to reach the order routing server and exchange. You also have to wait for the order to be filled according to the position in the order book, and the order in which the order routing server receives orders.

Some further notes on discrepancies between real time trading, sim trading and backtests may be found here:

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm

Running a strategy in Sim on live data would be the closest you'd be able to get to real time performance.

Please let us know if we may be of further assistance to you.

[eDanny]

I assume you should know that a fill at a different price may then be a loss according to your rules on one account but be a winner according to the same rules on the other. If your fill is two ticks high on a long it may not hit your profit ticks but turn around and stop out. On the other account it may fill lower and be able to hit profit. You need to understand your rules and how they will act on different fill prices.