I think that has to do with fills. If price does not move past your bid or ask price, it will be somewhat random if you get filled. It seems to me that during replay, NT is too generous on those fills, vs when running live or live sim.
Eastly August update...I still plan to run this in Market Replay, just haven't gotten around to it yet, need to get more familiar with it and download some replay data from the downloads section.
I actually looked at this "accidental discovery" a little more and realized it was doing something much simpler. I have since re-coded it in a more simplified manner (it can be easily coded with the Strategy Wizard) and am getting similar results. I turned it on live with one contract but it would occasionally lose the connection to Zen and the strategy would stop running. So I'm working on moving it off of running on the desktop in my house and over to a server at my co-location site, hopefully reducing disconnection problems. Also, I'll need to separate my auto-trading acct with my discretionary trading acct so I can have 2 instances of NT connected to Zen at the same time so the automated strategy can run on one account without my discretionary trading interrupting it.
Does anybody know how to make your strategies recover from a disconnect? I know NT has something like a OnDisconnect() event you can implement but I'm not sure what to do to re-connect. I'll have to look into NT's forums I guess.
Last edited by shodson; August 7th, 2009 at 06:49 PM.
It's not so much about market velocity, more about wide spreads, especially with forex futures (6E). I usually get worse market order fills on 6E than I do with more liquid instruments like ES. Spot forex often has even wider spreads, though I wouldn't know for sure. One person I was talking to was used to entering a FX trade 4 pips down (!) At any rate I want to handicap my strategies a bit to prevent too overly-optimistic backtesting results.