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Market Replay Not Accurate?
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Created: by serac Attachments:0

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Market Replay Not Accurate?

  #11 (permalink)
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@serac, better than posting code would be to give some specific examples of what the differences are between market replay and sim trading.

I assume you are talking about differences from the same period of time?

If so, then what exactly is different?

I thought NT7 market replay data was meant to be "everything" exactly as it comes in. I haven't used it much though and I've never analysed it to check NT's claims about it.

I did do an analysis of trading differences from Interactive Brokers. I tested my strat on IB historical data (in NT) and against live trading on IB. The differences were surprising! I even had one instance where the historical data went long at the exact point in time where it went short live. I put it down to the fact that IB don't keep tick data, they keep sampled 1 second bars. Crazy fools, basically.

And that's a computer doing it - not myself taking varying amounts of time to press the mouse button.

I have often thought about ditching NT because it is so painful - but my inertia is always too great. In your case I'd do a bit more investigation before making a switch though.

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  #12 (permalink)
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Argh.

I was planning on providing some examples for real-time vs replay performance.

Somehow (and I haven't done anything out of the ordinary), while trying the market replay in NT, the database got corrupted. After many hours of tinkering with the database, reinstalling NT many times, and then trying to fix a corrupted instrument list, I've had it.

If NT is this buggy now, once/if I use real money these issues won't go away. And at the moment, there is no way I would spend $1500 for nothing but frustration and many calls and e-mails to tech support.

Multicharts is downloading as I type...

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