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Market replay v's Realtime data


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Market replay v's Realtime data

  #1 (permalink)
 
tellytub's Avatar
 tellytub 
london uk
 
Experience: Beginner
Platform: NinjaTrader
Broker: Zen-Fire
Trading: Stocks
Posts: 410 since Jun 2009
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Hi

I noticed something really strange the other day, I run a simple strategy on CL, came back from work and I was down -$10.000 (dont worry it was sim). I ran the same strategy on the same chart using market replay and I was down -$1000?

Any idea why this happened? Im using Zenfire data

Thanks

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  #2 (permalink)
Ritz005
Chicago
 
Posts: 2 since Jul 2009
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welcome to my world!


it boils down to the fact that the fill engine in the market replay isnot that great... you're best bet is to do a replay of many days to see if the general strategy works based on given market conditions

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  #3 (permalink)
 
tellytub's Avatar
 tellytub 
london uk
 
Experience: Beginner
Platform: NinjaTrader
Broker: Zen-Fire
Trading: Stocks
Posts: 410 since Jun 2009
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Acaully I've just spotted this as well. Today on ES,

Realtime: $437


Market Replay speed: 500x
Money made using Market Replay : $650

Market Replay speed: 300x
Money made using Market Replay : $962

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  #4 (permalink)
BigDog
Chicago
 
Posts: 60 since Jun 2009
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tellytub,

set your delays to 0 under the simulator setting in order to be able to reproduce results

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  #5 (permalink)
 
caprica's Avatar
 caprica 
USA
 
Experience: Master
Platform: NinjaTrader
Posts: 155 since Jul 2009
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according to the online help the delays do not enter into equation in market replay mode. interesting.

delay of 0 on the CL is going to kill you because it moves so fast it will never be accurate. you should trust the sim trade more than the market replay.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #6 (permalink)
 
tellytub's Avatar
 tellytub 
london uk
 
Experience: Beginner
Platform: NinjaTrader
Broker: Zen-Fire
Trading: Stocks
Posts: 410 since Jun 2009
Thanks Given: 333
Thanks Received: 121

ok caprica, thanks for your feeedback

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  #7 (permalink)
 
caprica's Avatar
 caprica 
USA
 
Experience: Master
Platform: NinjaTrader
Posts: 155 since Jul 2009
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this is really a hot topic and one i cant believe has not been fixed by ninjatrader. what good is market replay if you cannot trust results.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #8 (permalink)
BigDog
Chicago
 
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caprica,

i can confirm for a fact that adjusting delays DOES make a difference

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  #9 (permalink)
 
caprica's Avatar
 caprica 
USA
 
Experience: Master
Platform: NinjaTrader
Posts: 155 since Jul 2009
Thanks Given: 45
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BigDog View Post
caprica,

i can confirm for a fact that adjusting delays DOES make a difference

figures, see attachment.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #10 (permalink)
 
caprica's Avatar
 caprica 
USA
 
Experience: Master
Platform: NinjaTrader
Posts: 155 since Jul 2009
Thanks Given: 45
Thanks Received: 114


oops now see attachment for real

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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Last Updated on September 5, 2009


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