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Market Replay fills vs Live Sim fills
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Market Replay fills vs Live Sim fills

  #1 (permalink)
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Market Replay fills vs Live Sim fills

Hi guys,

I have just compared the same weeks trading results with an automated strategy using both Market Replay and Live Simulation. I ran the exact same strategy and simulator settings on Live Simulation as I did with Market Replay but the difference was quite large.

Basically I was getting filled much more easily/faster with Market Replay than I did with Live Simulation.

I thought the results were meant to be similar?

Why would there be such a big difference?

Thanks,

Erfan

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  #2 (permalink)
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nourozi View Post
Hi guys,

I have just compared the same weeks trading results with an automated strategy using both Market Replay and Live Simulation. I ran the exact same strategy and simulator settings on Live Simulation as I did with Market Replay but the difference was quite large.

Basically I was getting filled much more easily/faster with Market Replay than I did with Live Simulation.

I thought the results were meant to be similar?

Why would there be such a big difference?

Thanks,

Erfan

I am no market wizard, but this is expected and others can explain the finer details better than I can. What I do know from experience is that market replay will give you some slippage on a particular trade (a tick, maybe two, and very rarely three, in my experience), when the exact same trade from a VPS in Chicago could give you 3 to 8 ticks of slippage (on average when there is a breakout for the markets I trade). A breakout is when the market moves very fast and hundreds of orders are submitted milliseconds apart when a certain level is broke or approached. Basically you are not there fast enough or the initial order was too large and you had no chance at all.

Use limit orders in your strategy, adjust your parameters to deal with the slippage, or attempt to predict pre breakout. One way to call BS on market replay is to view the data on a a smaller time frame (seconds, volume, tick, etc) and see if the bars were created at the same time. If the bars are all time stamped with the exact same time, don't expect to get filled until the bar after all those bars. Also, I find SIM to be fairly similar to live, definitely not 100%, but for me and how I trade close enough to get a good idea. Going live is the true test for a strategy and is not for the faint of heart, be careful.

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  #3 (permalink)
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Hammerhorn View Post
I am no market wizard, but this is expected and others can explain the finer details better than I can. What I do know from experience is that market replay will give you some slippage on a particular trade (a tick, maybe two, and very rarely three, in my experience), when the exact same trade from a VPS in Chicago could give you 3 to 8 ticks of slippage (on average when there is a breakout for the markets I trade). A breakout is when the market moves very fast and hundreds of orders are submitted milliseconds apart when a certain level is broke or approached. Basically you are not there fast enough or the initial order was too large and you had no chance at all.

Use limit orders in your strategy, adjust your parameters to deal with the slippage, or attempt to predict pre breakout. One way to call BS on market replay is to view the data on a a smaller time frame (seconds, volume, tick, etc) and see if the bars were created at the same time. If the bars are all time stamped with the exact same time, don't expect to get filled until the bar after all those bars. Also, I find SIM to be fairly similar to live, definitely not 100%, but for me and how I trade close enough to get a good idea. Going live is the true test for a strategy and is not for the faint of heart, be careful.

Thanks for the reply, I am actually using limit orders for entry. Do you generally find you are filled faster on a live sim or real account? I heard Ninjatraders live simulation fills are actually more conservative than going live.

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  #4 (permalink)
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In a live / live environment, the orders are being moved up and down rapidly in an order que.

In a live sim environment, you get much friendlier order fills without being constantly bumped in the order que.

In any kind of replay, even tick by tick, that dynamic aspect of order fills is missing. You dont get bumped at all.
This could affect fill prices greatly, depending on volume and volatility.

This is my observation and I could be wrong.

I would think that an instrument that has a lot of institutional algorithmic activity would be worse for order fills. Perhaps all the instruments are over-run by algos.


shane

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  #5 (permalink)
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nourozi View Post
Thanks for the reply, I am actually using limit orders for entry. Do you generally find you are filled faster on a live sim or real account? I heard Ninjatraders live simulation fills are actually more conservative than going live.

You can actually adjust the simulators (not market replay) setting under Options>Simulator. Find out what your delay is and increase it so you are being conservative. Others can give you advice on those settings, that is above me.

What I did before I ever traded live was, ran market replay to death, ran simulator (realized market replay can really inflate your profitability on smaller target strategies, not as much on larger target), then did one morning of live. I watched every trade my supposedly brilliant strategy made and did comparisons for each trade between market replay, simulator, and live. Without pulling my journal, I don't think all three ever were the same. The simulator and live would be close. Since then I have not done this comparison. I also want to note that everyday is different, some days the simulator may work better than live and vice versa. This also depends on your strategy, like I was told when I first started, go big on your stop, target, and chart. By doing this you can have better faith in your tests.

Oh, market replay will also give you some very, very good fills on profit targets. This can happen, but not to the extent market replay portrays. I always extracted the data from NT and changed the numbers for a worst case before I ever went live. Again, this worked for me and my strategies. Everybody is different and you need to find what works for you. It may take a years. I am not even truly there yet.

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  #6 (permalink)
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nourozi View Post
Thanks for the reply, I am actually using limit orders for entry. Do you generally find you are filled faster on a live sim or real account? I heard Ninjatraders live simulation fills are actually more conservative than going live.

Oh, I was also told to not use limit orders on simulation, NT does not handle them well. Again, somebody else can explain why.

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shanemcdonald28 View Post
In a live / live environment, the orders are being moved up and down rapidly in an order que.

In a live sim environment, you get much friendlier order fills without being constantly bumped in the order que.

In any kind of replay, even tick by tick, that dynamic aspect of order fills is missing. You dont get bumped at all.
This could affect fill prices greatly, depending on volume and volatility.

This is my observation and I could be wrong.

I would think that an instrument that has a lot of institutional algorithmic activity would be worse for order fills. Perhaps all the instruments are over-run by algos.


shane

What do you mean by bumped? I thought it was FIFO as in, if I place my limit order before someone else, then I will be filled before them. Are you saying your limit order is constantly being jumped illegally by other limit orders? Algos jumping the queue?

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Hammerhorn View Post
Oh, I was also told to not use limit orders on simulation, NT does not handle them well. Again, somebody else can explain why.

My strategy uses limit orders and works well in Market Replay, I am now just doing live simulation and finding the fills are not as fast. Often the limit order is touched and not filled. Once I decide to go live, ill compare Market Replay vs Live Sim vs Live on a tick chart.

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  #9 (permalink)
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nourozi View Post
What do you mean by bumped? I thought it was FIFO as in, if I place my limit order before someone else, then I will be filled before them. Are you saying your limit order is constantly being jumped illegally by other limit orders? Algos jumping the queue?

I go under that assumption considering a lot of resources are put into algos that do exactly that.
I did not realize it was illegal, and I would not think that it would matter anyway.
Keep in mind that I am extremely cynical concerning the exchanges and how they operate.

Also, I have trade mostly GC, and there are times when the volatility is whacked. Something goes on in that order flow.

I am not an expert, and these are just things I notice and would not put alot of weight on my opinions.
I could be way off base on this.

shane

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