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Realistic Market Replay fills: NT7 vs. NT8 - help
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Realistic Market Replay fills: NT7 vs. NT8 - help

  #11 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
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Update from NT support

From NT support:


Quoting 
The short answer is that the simulated fill engine in NinjaTrader 8 is more conservative than the simulated fill engine in NinjaTrader 7.

There could be many cases where NinjaTrader 7 would fill but in fact in real life it would not have. In your case you experienced a time where NinjaTrader 7 replay and live agreed on the fill, but there are many other cases where it could fill 'too soon'.

The reason we changed the simulated fill engine in NinjaTrader 8 is to be consistently conservative which in the end should result in more consistent simulated fills


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  #12 (permalink)
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charlotte nc
 
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I know it's a little late but....


xplorer View Post
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Hi xplorer,

I think you and I have crossed paths before on similar threads trying to deconstruct and understand the NT simulation engine. I recently started migrating my code base from 7 to 8 to have another point of comparison and I hit some fairly significant differences in testing between 7 and 8.

I have strategies that beat one or the other or both, but there are some strategies that do very well in one and very bad in another. So I am wondering myself where the line is on what is a realistic representation of the market.

Here is a link to my thread with NT support:

https://ninjatrader.com/support/forum/showthread.php?p=524972#post524972

I offered up 2 strategies (one in 7 and one 8) and they show significantly different results. If anyone is interested in just testing and providing feedback on what behavior they think is more realistic I would be glad to get the feedback.

It sounds like from your experience, you favored the behavior of 7 more, is this correct?

Thanks for any advice in advance!

Ian

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  #13 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 3,053 since Sep 2015
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iantg View Post
Hi xplorer,

I think you and I have crossed paths before on similar threads trying to deconstruct and understand the NT simulation engine. I recently started migrating my code base from 7 to 8 to have another point of comparison and I hit some fairly significant differences in testing between 7 and 8.

I have strategies that beat one or the other or both, but there are some strategies that do very well in one and very bad in another. So I am wondering myself where the line is on what is a realistic representation of the market.

Here is a link to my thread with NT support:

https://ninjatrader.com/support/forum/showthread.php?p=524972#post524972

I offered up 2 strategies (one in 7 and one 8) and they show significantly different results. If anyone is interested in just testing and providing feedback on what behavior they think is more realistic I would be glad to get the feedback.

It sounds like from your experience, you favored the behavior of 7 more, is this correct?

Thanks for any advice in advance!

Ian

Thanks for the question Ian. I say "thanks" because it reminded me that I wanted to test something out and just now I have had the chance to do it.

In this particular case NT support suggested that NT8 is more 'conservative' when filling orders during Market Replay, which is why I had two different experiences between NT7 and NT8. This was back in February.

During last summer, however, I discovered a feature on NT8 called "tick replay" which, as I understand it, replays the trades in the same order as they occurred live.

I first tried that via Market Replay after a live trade I had placed on CL - since Tick Replay was off, I did not get filled. I tried enabling Tick Replay and replayed the CL session, this time being filled.

After having read your question today I tried again on that old trade from February, this time enabling Tick Replay, and this time too I got filled.


So it appears that this option increases accuracy - that's what NT is saying anyway.

Some overview of Tick Replay functionality is offered here
https://ninjatrader.com/support/helpGuides/nt8/en-us/?tick_replay.htm

Hope it helps.

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